JPM Options History — April 2016

In April 2016, JPM traded between $57.24 and $64.25. ATM implied volatility averaged 20.3%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.7% (HV 20d: 23.0%). Max pain ranged from $58.50 to $61.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-04-13: Highest Volume — 181,017 contracts
  • 2016-04-13: Largest IV drop — 17.7% change
  • 2016-04-07: Highest IV Rank — 42.5%
  • 2016-04-07: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.47$57.24$64.25$59.92$63.21
Max Pain$59.98$58.50$61.00$58.50$61.00
ATM IV20.3%17.6%26.4%20.4%20.0%
Expected Move5.8%5.0%7.1%6.2%5.8%
HV 20d23.0%18.0%26.7%18.0%24.7%
HV 60d31.7%30.3%32.6%32.6%30.3%
IV Rank21.8%12.5%42.5%22.2%20.8%
IV Percentile44.7%27.0%76.6%50.0%43.7%
Term Structure-0.2%-1.1%0.6%-0.3%-0.2%
VWIV20.3%17.7%24.5%21.9%20.4%
Skew 25d4.3%3.2%5.9%3.8%3.7%
Skew 10d8.7%6.7%11.5%7.5%10.3%
Call IV 25d18.5%16.0%23.6%19.3%18.3%
Put IV 25d22.8%19.4%29.4%23.1%22.0%
Bid-Ask Spread %8.163.4814.9711.188.71
Gamma HHI0.150.100.370.250.14
Net GEX49.7M1.7M136.9M73.0M50.6M
Net DEX-575.6M-1.17B327.3M-265.2M-770.8M
Net VEX-10.1M-11.2M-9.0M-9.4M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.451.330.450.98
Total Volume72,697.38137,888181,01775,38858,380
Total OI1,008,393.619936,6821,103,334982,6111,081,027

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$59.92$58.5020.4%6.2%18.0%22.2%21.9%3.8%-0.3%73.0M-265.2M-9.4M0.4511.18N/AN/A51,98823,400525,607457,004
2016-04-04$59.15$60.0021.9%5.9%18.5%27.1%22.3%5.0%-0.2%32.9M-69.4M-9.2M0.707.15N/AN/A23,40016,416502,133446,491
2016-04-05$58.31$60.0023.5%6.8%19.1%32.8%22.8%5.5%-0.3%17.9M115.6M-9.2M0.603.48N/AN/A26,67315,942506,417450,281
2016-04-06$58.83$60.0023.0%6.1%18.4%30.8%22.6%4.9%-0.5%28.4M-1.9M-9.2M0.689.69N/AN/A24,28416,606511,671454,598
2016-04-07$57.24$60.0026.4%7.1%20.8%42.5%24.5%5.8%-0.4%1.7M327.3M-9.0M0.745.68N/AN/A34,19525,254517,404458,484
2016-04-08$57.75$60.0024.3%6.8%21.0%35.5%22.7%5.9%-0.7%7.4M224.7M-9.0M0.706.32N/AN/A29,11320,396530,068467,349
2016-04-11$58.32$60.0023.7%6.9%20.5%33.4%21.9%5.7%0.6%18.0M106.3M-9.1M0.707.87N/AN/A35,42024,782488,496458,193
2016-04-12$59.24$60.0022.4%6.1%21.2%28.8%23.6%5.7%-1.1%36.8M-111.4M-9.3M1.038.37N/AN/A42,97744,425500,846470,858
2016-04-13$61.93$60.0018.4%5.1%26.4%15.3%18.9%4.3%-0.4%94.1M-925.5M-9.5M0.479.29N/AN/A123,49557,522513,150489,822
2016-04-14$62.56$60.0018.5%5.4%26.5%15.7%18.3%3.9%0.5%136.9M-1.15B-9.8M0.609.40N/AN/A78,89747,442546,799506,600
2016-04-15$61.84$60.0018.3%5.1%26.7%14.8%18.4%3.5%-0.5%38.7M-783.1M-10.0M0.558.80N/AN/A70,49038,992573,476529,858
2016-04-18$62.26$60.0018.8%5.4%24.1%16.7%19.0%3.6%-0.3%43.4M-638.2M-10.2M0.627.50N/AN/A46,84628,954484,531452,151
2016-04-19$63.26$60.0018.4%5.3%24.6%15.1%18.8%3.5%-0.4%55.0M-903.1M-10.4M1.338.69N/AN/A33,74145,031507,928465,054
2016-04-20$64.25$60.0017.6%5.0%24.9%12.5%17.7%3.3%0.1%55.3M-1.17B-10.3M0.707.37N/AN/A53,37137,368517,314484,703
2016-04-21$63.67$60.0018.9%5.4%25.2%16.9%18.9%3.6%0.4%58.7M-1.05B-10.8M1.217.45N/AN/A38,42346,561541,245481,897
2016-04-22$64.00$60.0018.2%5.2%24.7%14.6%18.6%3.5%0.5%48.2M-1.13B-11.2M1.066.72N/AN/A38,21340,406552,181498,979
2016-04-25$63.52$60.0018.5%5.2%25.0%15.6%18.3%4.2%-0.1%61.0M-920.4M-11.0M1.196.66N/AN/A17,28920,599542,912491,032
2016-04-26$63.88$60.0018.2%5.2%24.7%14.6%18.4%3.5%0.0%64.3M-998.6M-11.1M0.807.18N/AN/A27,66422,123544,760495,195
2016-04-27$64.19$60.0018.1%5.2%24.4%14.2%18.0%3.2%0.2%68.9M-1.11B-11.1M1.2814.97N/AN/A18,98224,207556,189503,393
2016-04-28$63.49$60.0019.1%5.6%24.7%17.6%19.4%3.6%-0.3%53.6M-867.8M-11.2M1.088.86N/AN/A27,06229,316558,922511,248
2016-04-29$63.21$61.0020.0%5.8%24.7%20.8%20.4%3.7%-0.2%50.6M-770.8M-11.2M0.988.71N/AN/A29,48528,895563,236517,791