JPM Options History — June 2016

In June 2016, JPM traded between $57.53 and $65.72. ATM implied volatility averaged 24.5%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.4% (HV 20d: 21.1%). Max pain ranged from $62.50 to $62.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.04.

Notable Days

2016-06-27: Highest Volume — 191,136 contracts
2016-06-24: Largest IV spike — 40.3% change
2016-06-27: Highest IV Rank — 68.7%
2016-06-27: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.92	$57.53	$65.72	$65.70	$61.98
Max Pain	$62.50	$62.50	$62.50	$62.50	$62.50
ATM IV	24.5%	18.6%	34.1%	20.1%	23.2%
Expected Move	7.3%	5.3%	10.7%	5.3%	7.1%
HV 20d	21.1%	14.1%	35.9%	18.8%	35.9%
HV 60d	21.8%	20.1%	27.2%	20.9%	27.2%
IV Rank	36.0%	15.8%	68.7%	21.1%	31.4%
IV Percentile	62.1%	24.6%	97.2%	41.7%	56.0%
Term Structure	-0.4%	-2.8%	2.7%	-0.7%	-0.5%
VWIV	25.7%	18.9%	37.3%	18.9%	24.6%
Skew 25d	5.8%	3.0%	8.4%	3.0%	4.1%
Skew 10d	11.4%	6.1%	15.2%	8.8%	8.1%
Call IV 25d	22.0%	16.5%	31.1%	18.3%	21.9%
Put IV 25d	27.8%	20.6%	39.6%	21.2%	26.1%
Bid-Ask Spread %	11.59	6.73	50.70	14.08	9.10
Gamma HHI	0.13	0.08	0.21	0.15	0.10
Net GEX	34.9M	-12.1M	89.4M	82.5M	19.7M
Net DEX	-431.0M	-1.35B	720.7M	-1.33B	-405.7M
Net VEX	-10.6M	-11.0M	-10.1M	-10.4M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.57	1.65	0.98	0.73
Total Volume	89,041.045	46,250	191,136	55,623	144,728
Total OI	1,154,444.545	1,027,096	1,265,531	1,105,938	1,209,170

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-06-01	$65.70	$62.50	20.1%	5.3%	18.8%	21.1%	18.9%	3.0%	-0.7%	82.5M	-1.33B	-10.4M	0.98	14.08	N/A	N/A	28,098	27,525	580,921	525,017
2016-06-02	$65.72	$62.50	19.9%	6.0%	17.6%	20.2%	20.2%	3.5%	-0.8%	87.7M	-1.35B	-10.4M	1.57	8.32	N/A	N/A	21,360	33,500	591,657	529,035
2016-06-03	$64.68	$62.50	20.3%	5.9%	18.6%	21.8%	21.2%	3.3%	-1.0%	62.2M	-953.0M	-10.4M	1.10	9.50	N/A	N/A	56,639	62,237	599,415	536,049
2016-06-06	$65.39	$62.50	18.6%	5.9%	18.8%	15.8%	20.0%	4.1%	2.7%	89.4M	-1.20B	-10.5M	1.10	9.40	N/A	N/A	35,165	38,788	601,046	541,637
2016-06-07	$65.10	$62.50	18.8%	5.9%	18.7%	16.7%	20.8%	4.3%	1.9%	83.0M	-1.08B	-10.4M	1.65	7.73	N/A	N/A	17,432	28,818	605,324	558,973
2016-06-08	$65.23	$62.50	19.3%	5.9%	18.2%	18.3%	21.0%	3.8%	1.4%	84.1M	-1.13B	-10.3M	1.35	8.91	N/A	N/A	21,297	28,841	608,622	569,106
2016-06-09	$64.83	$62.50	19.9%	6.1%	18.4%	20.3%	22.6%	4.4%	1.7%	74.9M	-972.7M	-10.6M	1.20	50.70	N/A	N/A	24,729	29,779	614,637	570,856
2016-06-10	$63.79	$62.50	22.3%	6.5%	19.5%	28.6%	23.8%	5.2%	0.6%	55.1M	-552.4M	-10.7M	1.10	8.08	N/A	N/A	31,847	34,911	618,294	579,598
2016-06-13	$63.30	$62.50	27.2%	7.9%	19.4%	45.1%	27.3%	7.4%	-2.8%	33.0M	-404.8M	-10.8M	1.35	8.79	N/A	N/A	27,505	37,098	605,230	572,705
2016-06-14	$62.09	$62.50	27.4%	7.9%	20.7%	45.9%	28.2%	7.7%	-0.8%	4.1M	-16.7M	-10.5M	1.30	7.82	N/A	N/A	44,896	58,396	609,912	581,644
2016-06-15	$61.94	$62.50	27.0%	7.7%	20.7%	44.4%	27.4%	7.2%	-0.6%	-496.8K	24.6M	-10.5M	0.89	11.34	N/A	N/A	40,527	35,904	624,457	598,107
2016-06-16	$62.13	$62.50	26.0%	7.5%	15.4%	41.1%	26.4%	7.8%	-0.2%	-3.4M	13.7M	-10.5M	0.67	8.28	N/A	N/A	77,780	51,751	632,467	605,118
2016-06-17	$62.24	$62.50	26.1%	7.5%	15.2%	41.4%	25.9%	7.2%	-0.0%	5.9M	1.1M	-10.7M	1.24	9.16	N/A	N/A	35,456	44,101	643,332	622,199
2016-06-20	$62.36	$62.50	25.2%	7.5%	15.2%	38.3%	26.1%	6.2%	-1.4%	11.9M	-171.4M	-10.5M	0.67	9.50	N/A	N/A	41,531	28,017	503,812	523,284
2016-06-21	$62.93	$62.50	24.6%	7.4%	15.6%	36.5%	25.8%	6.4%	-1.1%	18.9M	-316.3M	-10.5M	0.57	6.73	N/A	N/A	38,415	21,787	516,594	534,132
2016-06-22	$62.84	$62.50	26.5%	8.2%	14.1%	42.9%	28.6%	7.0%	-1.9%	22.1M	-328.7M	-10.8M	0.84	9.11	N/A	N/A	44,279	37,332	533,422	540,142
2016-06-23	$64.01	$62.50	23.5%	7.0%	14.9%	32.5%	25.4%	6.6%	-0.9%	42.5M	-657.3M	-11.0M	0.91	11.82	N/A	N/A	29,079	26,543	554,210	556,605
2016-06-24	$59.69	$62.50	32.9%	10.3%	28.6%	64.8%	36.4%	7.7%	-1.7%	-10.3M	443.6M	-10.5M	1.31	14.60	N/A	N/A	71,277	93,600	558,999	563,938
2016-06-27	$57.53	$62.50	34.1%	10.7%	30.6%	68.7%	37.3%	8.4%	-0.7%	-12.1M	720.7M	-10.1M	0.75	10.13	N/A	N/A	109,379	81,757	544,240	563,998
2016-06-28	$59.50	$62.50	30.6%	8.3%	33.7%	56.9%	29.5%	5.7%	-0.9%	1.3M	316.6M	-10.8M	0.98	12.11	N/A	N/A	57,937	56,707	584,624	592,929
2016-06-29	$61.18	$62.50	25.4%	7.9%	35.4%	39.1%	28.5%	5.3%	-0.2%	16.0M	-126.3M	-11.0M	0.64	9.69	N/A	N/A	62,265	39,890	592,895	599,428
2016-06-30	$61.98	$62.50	23.2%	7.1%	35.9%	31.4%	24.6%	4.1%	-0.5%	19.7M	-405.7M	-11.0M	0.73	9.10	N/A	N/A	83,521	61,207	601,439	607,731