JPM Options History — July 2016

In July 2016, JPM traded between $59.52 and $64.31. ATM implied volatility averaged 19.3%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 14.4% (HV 20d: 33.6%). Max pain ranged from $62.50 to $62.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.01.

Notable Days

2016-07-14: Highest Volume — 164,411 contracts
2016-07-14: Largest IV drop — 16.1% change
2016-07-05: Highest IV Rank — 45.3%
2016-07-05: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.04	$59.52	$64.31	$61.39	$64.00
Max Pain	$62.50	$62.50	$62.50	$62.50	$62.50
ATM IV	19.3%	15.2%	27.2%	24.0%	16.3%
Expected Move	5.5%	4.4%	7.4%	7.4%	4.5%
HV 20d	33.6%	17.7%	38.4%	35.7%	17.7%
HV 60d	26.1%	25.2%	27.5%	26.7%	25.2%
IV Rank	17.4%	2.7%	45.3%	34.2%	6.5%
IV Percentile	26.2%	1.6%	77.4%	62.3%	5.2%
Term Structure	-0.0%	-1.5%	0.6%	-0.9%	0.6%
VWIV	19.1%	15.1%	26.4%	26.0%	15.1%
Skew 25d	4.0%	3.1%	5.6%	4.9%	3.5%
Skew 10d	7.7%	-2.4%	12.1%	8.2%	7.3%
Call IV 25d	17.6%	13.9%	25.0%	22.2%	14.7%
Put IV 25d	21.6%	17.0%	29.9%	27.1%	18.1%
Bid-Ask Spread %	7.96	5.20	10.51	9.59	10.32
Gamma HHI	0.18	0.09	0.34	0.14	0.21
Net GEX	66.5M	-16.1M	193.7M	-16.1M	126.5M
Net DEX	-692.6M	-1.30B	314.7M	-93.9M	-902.2M
Net VEX	-11.3M	-11.7M	-10.7M	-11.3M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.62	1.67	0.97	0.91
Total Volume	81,472.35	41,444	164,411	90,812	53,704
Total OI	1,216,482.4	1,118,793	1,335,778	1,217,352	1,226,503

Daily Data (20 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
2016-07-01	$61.39	$62.50	24.0%	7.4%	35.7%	34.2%	26.0%	4.9%	-0.9%	-16.1M	-93.9M	-11.3M	0.97	9.59	N/A	N/A	46,194	44,618	584,276	633,076
2016-07-05	$59.52	$62.50	27.2%	7.4%	36.6%	45.3%	26.4%	4.9%	-0.6%	-6.0M	314.7M	-10.7M	1.22	7.29	N/A	N/A	46,072	56,027	574,200	600,080
2016-07-06	$60.24	$62.50	26.4%	7.2%	37.1%	42.6%	24.9%	5.0%	-0.6%	3.2M	134.9M	-10.9M	0.71	5.20	N/A	N/A	55,427	39,545	586,088	608,700
2016-07-07	$60.52	$62.50	25.8%	7.1%	37.2%	40.6%	22.8%	4.8%	-0.7%	10.4M	1.4M	-11.1M	1.09	8.68	N/A	N/A	46,619	50,764	606,409	615,216
2016-07-08	$61.88	$62.50	21.9%	6.0%	38.3%	27.2%	21.8%	5.6%	-0.4%	38.6M	-425.5M	-11.2M	0.86	8.72	N/A	N/A	54,476	46,998	621,246	625,720
2016-07-11	$62.36	$62.50	20.9%	5.9%	38.1%	23.8%	19.7%	4.5%	-0.2%	37.5M	-509.9M	-11.1M	0.97	6.75	N/A	N/A	43,494	42,066	609,737	619,827
2016-07-12	$63.30	$62.50	20.5%	6.0%	38.4%	22.4%	20.6%	4.4%	0.5%	55.1M	-851.2M	-11.1M	0.97	7.98	N/A	N/A	43,713	42,541	618,637	629,598
2016-07-13	$63.15	$62.50	21.0%	6.0%	37.8%	24.1%	21.1%	4.1%	-0.0%	53.8M	-777.7M	-11.2M	1.16	8.55	N/A	N/A	55,640	64,417	627,638	640,490
2016-07-14	$64.28	$62.50	17.6%	5.0%	38.2%	12.6%	18.0%	3.4%	-0.3%	105.2M	-1.30B	-11.2M	0.62	8.02	N/A	N/A	101,342	63,069	645,774	662,108
2016-07-15	$64.22	$62.50	16.4%	4.5%	38.2%	8.5%	16.4%	3.2%	-1.5%	99.8M	-1.23B	-11.3M	0.64	8.63	N/A	N/A	67,205	43,177	664,756	671,022
2016-07-18	$63.98	$62.50	16.0%	4.6%	38.3%	6.7%	16.4%	3.6%	0.1%	68.0M	-885.2M	-11.0M	0.63	10.51	N/A	N/A	53,605	33,996	563,192	555,601
2016-07-19	$63.82	$62.50	16.0%	4.6%	38.3%	5.5%	16.1%	3.6%	0.5%	76.6M	-878.7M	-11.4M	0.82	5.49	N/A	N/A	31,592	25,819	600,339	564,466
2016-07-20	$63.99	$62.50	15.2%	4.4%	38.2%	2.7%	16.0%	3.1%	0.5%	85.0M	-924.6M	-11.4M	1.23	7.67	N/A	N/A	27,190	33,391	604,300	568,996
2016-07-21	$63.71	$62.50	16.6%	4.7%	38.2%	7.6%	16.7%	3.8%	0.3%	74.5M	-837.9M	-11.7M	1.48	7.98	N/A	N/A	19,257	28,499	613,713	580,473
2016-07-22	$63.99	$62.50	16.0%	4.6%	37.7%	5.6%	15.8%	3.3%	0.1%	193.7M	-942.1M	-11.7M	0.83	6.73	N/A	N/A	38,885	32,189	618,286	585,629
2016-07-25	$63.84	$62.50	17.2%	4.9%	27.2%	9.6%	17.8%	4.2%	0.2%	69.4M	-853.8M	-11.6M	1.50	7.88	N/A	N/A	16,780	25,109	605,746	574,401
2016-07-26	$64.09	$62.50	16.9%	4.8%	22.7%	8.6%	17.1%	3.8%	0.4%	78.7M	-923.9M	-11.7M	1.67	5.91	N/A	N/A	18,655	31,071	612,589	579,458
2016-07-27	$64.31	$62.50	16.3%	4.6%	20.1%	6.5%	16.3%	3.6%	0.5%	87.8M	-1.03B	-11.7M	0.68	9.57	N/A	N/A	38,565	26,292	617,858	589,733
2016-07-28	$64.14	$62.50	16.8%	4.8%	18.1%	8.1%	17.0%	3.6%	0.5%	88.0M	-945.0M	-11.7M	1.22	7.83	N/A	N/A	18,648	22,796	633,805	589,962
2016-07-29	$64.00	$62.50	16.3%	4.5%	17.7%	6.5%	15.1%	3.5%	0.6%	126.5M	-902.2M	-11.6M	0.91	10.32	N/A	N/A	28,172	25,532	635,362	591,141