JPM Options History — May 2016

In May 2016, JPM traded between $61.16 and $65.53. ATM implied volatility averaged 19.9%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.4% (HV 20d: 20.3%). Max pain ranged from $61.00 to $62.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2016-05-25: Highest Volume — 104,548 contracts
  • 2016-05-31: Largest IV spike — 11.3% change
  • 2016-05-19: Highest IV Rank — 26.5%
  • 2016-05-05: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.96$61.16$65.53$63.74$65.29
Max Pain$62.33$61.00$62.50$61.00$62.50
ATM IV19.9%18.1%21.7%19.1%20.1%
Expected Move5.7%4.9%6.5%5.5%5.3%
HV 20d20.3%15.0%25.4%24.0%20.2%
HV 60d24.9%20.9%30.4%30.2%20.9%
IV Rank20.5%14.2%26.5%17.5%21.2%
IV Percentile40.5%18.7%53.6%36.5%42.1%
Term Structure0.8%-0.5%2.6%0.1%-0.5%
VWIV19.7%17.3%22.0%19.1%18.9%
Skew 25d4.1%3.1%4.9%4.0%3.9%
Skew 10d7.7%0.3%10.7%8.1%7.2%
Call IV 25d18.2%16.4%19.8%17.3%18.0%
Put IV 25d22.3%19.5%24.7%21.3%21.9%
Bid-Ask Spread %8.045.0412.115.498.88
Gamma HHI0.150.110.230.150.16
Net GEX59.0M25.6M99.2M62.9M74.6M
Net DEX-676.4M-1.38B-148.2M-931.6M-1.18B
Net VEX-10.7M-11.1M-10.4M-11.1M-10.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.231.050.930.93
Total Volume61,32436,261104,54836,26161,097
Total OI1,102,685.4291,031,8561,192,1181,045,6401,089,658

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$63.74$61.0019.1%5.5%24.0%17.5%19.1%4.0%0.1%62.9M-931.6M-11.1M0.935.49N/AN/A18,82117,440548,987496,653
2016-05-03$62.51$61.5020.3%5.8%24.6%21.6%20.7%4.0%0.4%45.2M-544.1M-11.1M1.018.25N/AN/A36,80137,002555,501504,310
2016-05-04$61.57$61.5021.4%6.3%25.4%25.6%22.0%4.9%0.7%31.2M-270.1M-11.0M0.888.55N/AN/A24,49421,630568,494518,532
2016-05-05$61.16$62.5021.5%6.5%23.1%25.8%21.4%4.7%0.1%25.6M-148.2M-10.8M0.557.03N/AN/A35,12919,342572,477522,431
2016-05-06$61.55$62.5020.4%5.7%23.1%22.0%20.5%4.0%0.7%52.4M-245.8M-10.8M0.737.55N/AN/A37,28227,324582,337527,758
2016-05-09$61.20$62.5020.6%6.3%23.1%22.9%20.7%4.6%1.1%30.7M-176.1M-10.6M0.715.04N/AN/A23,34916,572565,939515,301
2016-05-10$62.07$62.5019.1%5.5%23.0%17.7%19.7%3.9%-0.1%49.1M-440.5M-10.5M0.577.29N/AN/A29,05316,662571,323520,887
2016-05-11$61.85$62.5019.2%5.5%16.9%17.8%19.7%3.7%0.1%46.8M-368.9M-10.7M0.626.39N/AN/A33,91220,959577,113523,624
2016-05-12$61.76$62.5019.2%5.5%16.4%18.0%19.9%3.9%0.2%43.0M-362.0M-10.7M0.558.50N/AN/A35,17919,315584,806530,184
2016-05-13$61.23$62.5021.0%6.3%16.2%24.1%19.4%4.3%1.5%29.2M-183.7M-10.6M0.637.86N/AN/A39,11724,493589,993532,218
2016-05-16$61.66$62.5019.4%5.5%16.2%18.7%19.3%4.7%1.9%41.4M-301.2M-10.4M0.238.10N/AN/A49,01011,200582,070529,114
2016-05-17$61.61$62.5019.6%5.6%15.0%19.4%19.7%4.6%2.6%41.6M-279.8M-10.4M0.267.64N/AN/A30,5597,811601,951532,002
2016-05-18$63.97$62.5020.0%5.7%19.6%20.5%20.8%4.4%1.8%93.0M-1.16B-10.8M0.5410.30N/AN/A67,09936,353614,679532,736
2016-05-19$63.47$62.5021.7%6.2%19.6%26.5%20.0%4.4%0.2%86.4M-1.00B-10.8M0.438.72N/AN/A66,23628,341634,809543,527
2016-05-20$63.51$62.5020.6%5.9%19.5%22.7%19.0%4.3%0.2%99.2M-1.01B-10.7M0.498.10N/AN/A41,39220,394644,664547,454
2016-05-23$63.51$62.5019.4%5.4%19.3%18.7%18.4%4.4%1.2%53.7M-713.8M-10.6M0.807.12N/AN/A24,81419,827551,137480,719
2016-05-24$64.63$62.5019.6%5.4%20.2%19.5%18.5%3.7%1.1%73.1M-1.05B-10.7M0.498.38N/AN/A44,08621,611560,348491,340
2016-05-25$65.53$62.5019.4%5.5%20.7%18.5%19.6%3.6%0.7%91.2M-1.38B-10.6M0.758.20N/AN/A59,83544,713577,586499,692
2016-05-26$65.03$62.5018.9%5.3%20.5%17.1%19.1%3.3%1.0%83.4M-1.18B-10.7M0.5812.11N/AN/A39,56522,901595,194514,078
2016-05-27$65.32$62.5018.1%4.9%20.4%14.2%17.3%3.1%1.1%85.9M-1.29B-10.6M1.059.27N/AN/A27,82029,264603,637521,131
2016-05-31$65.29$62.5020.1%5.3%20.2%21.2%18.9%3.9%-0.5%74.6M-1.18B-10.4M0.938.88N/AN/A31,63229,465573,123516,535