JPM Options History — August 2016 In August 2016, JPM traded between $63.70 and $67.59. ATM implied volatility averaged 16.6%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.6% (HV 20d: 13.0%). Max pain ranged from $62.50 to $62.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.92.
Notable Days 2016-08-05 : Highest Volume — 96,244 contracts2016-08-24 : Largest IV spike — 10.2% change2016-08-02 : Highest IV Rank — 12.4%2016-08-08 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $65.74 $63.70 $67.59 $63.70 $67.43 Max Pain $62.50 $62.50 $62.50 $62.50 $62.50 ATM IV 16.6% 15.3% 18.1% 17.4% 17.0% Expected Move 4.7% 4.0% 5.1% 4.9% 4.5% HV 20d 13.0% 12.0% 17.4% 17.4% 12.0% HV 60d 24.7% 23.8% 25.7% 25.2% 23.8% IV Rank 5.6% 0.4% 12.4% 10.2% 6.5% IV Percentile 5.8% 0.4% 13.5% 9.1% 10.7% Term Structure 0.4% -0.2% 1.4% 0.2% 0.4% VWIV 16.8% 14.7% 18.6% 16.6% 16.7% Skew 25d 4.2% 3.4% 4.8% 3.9% 4.8% Skew 10d 9.1% 4.5% 15.4% 4.5% 8.7% Call IV 25d 14.9% 13.4% 16.2% 15.7% 15.2% Put IV 25d 19.1% 17.8% 20.7% 19.5% 20.0% Bid-Ask Spread % 7.44 3.88 10.72 9.28 7.00 Gamma HHI 0.18 0.13 0.25 0.20 0.15 Net GEX 104.9M 71.0M 132.0M 71.0M 108.3M Net DEX -1.38B -1.80B -767.1M -767.1M -1.75B Net VEX -11.4M -11.7M -10.5M -11.5M -11.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.36 1.44 0.77 1.11 Total Volume 57,246.957 35,976 96,244 42,839 68,542 Total OI 1,243,936.478 1,161,950 1,335,717 1,196,352 1,249,795
Daily Data (23 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 2016-08-01 $63.70 $62.50 17.4% 4.9% 17.4% 10.2% 16.6% 3.9% 0.2% 71.0M -767.1M -11.5M 0.77 9.28 N/A N/A 24,138 18,701 621,882 574,470 2016-08-02 $63.70 $62.50 18.0% 5.0% 12.4% 12.4% 17.4% 4.2% 0.2% 73.4M -772.1M -11.7M 1.14 8.15 N/A N/A 22,277 25,432 629,805 579,066 2016-08-03 $64.63 $62.50 16.3% 4.5% 12.7% 6.6% 16.3% 3.8% 0.4% 101.3M -1.10B -11.7M 1.20 9.16 N/A N/A 22,792 27,245 636,326 585,138 2016-08-04 $64.57 $62.50 16.9% 5.0% 12.8% 8.7% 18.2% 3.8% 0.2% 101.1M -1.09B -11.7M 0.83 7.80 N/A N/A 32,604 27,105 643,046 592,332 2016-08-05 $66.36 $62.50 15.6% 4.5% 13.9% 3.9% 17.8% 3.4% 0.2% 108.1M -1.80B -10.9M 0.53 6.19 N/A N/A 63,107 33,137 648,201 600,808 2016-08-08 $66.05 $62.50 16.6% 5.1% 14.1% 7.5% 18.2% 4.1% 1.3% 108.8M -1.55B -11.7M 1.19 5.32 N/A N/A 22,362 26,578 646,290 596,961 2016-08-09 $65.91 $62.50 15.6% 4.9% 13.4% 4.0% 17.9% 3.6% 1.4% 117.2M -1.54B -11.4M 1.44 7.18 N/A N/A 16,863 24,303 654,578 599,451 2016-08-10 $65.28 $62.50 16.4% 5.0% 14.0% 4.4% 18.1% 4.1% 1.2% 111.7M -1.28B -11.6M 0.88 6.46 N/A N/A 35,859 31,536 656,809 604,880 2016-08-11 $65.51 $62.50 16.3% 4.9% 12.6% 4.1% 18.6% 3.5% 1.1% 118.9M -1.40B -11.7M 1.32 6.43 N/A N/A 21,825 28,763 671,379 616,920 2016-08-12 $65.30 $62.50 16.2% 4.8% 12.7% 3.5% 16.4% 3.9% 1.0% 122.5M -1.29B -11.7M 1.01 7.11 N/A N/A 25,445 25,646 671,455 621,465 2016-08-15 $65.78 $62.50 17.0% 5.0% 12.8% 6.3% 17.7% 4.3% -0.1% 121.9M -1.48B -11.3M 1.12 6.71 N/A N/A 19,804 22,235 662,070 612,395 2016-08-16 $65.79 $62.50 17.4% 5.0% 12.7% 7.9% 17.9% 4.5% -0.2% 132.0M -1.50B -11.3M 1.07 6.51 N/A N/A 21,636 23,176 668,783 615,851 2016-08-17 $65.89 $62.50 16.5% 4.7% 12.7% 4.7% 16.4% 4.5% 0.4% 129.3M -1.55B -11.2M 0.58 10.72 N/A N/A 22,724 13,252 674,017 623,410 2016-08-18 $65.95 $62.50 15.9% 4.6% 12.5% 2.4% 15.6% 4.8% 0.2% 129.6M -1.61B -11.1M 0.36 7.88 N/A N/A 68,798 24,624 680,177 627,518 2016-08-19 $65.84 $62.50 15.8% 4.5% 12.5% 2.3% 16.1% 4.6% 0.6% 75.4M -1.54B -11.4M 0.76 6.62 N/A N/A 46,140 35,109 698,744 636,973 2016-08-22 $65.81 $62.50 15.3% 4.0% 12.5% 0.4% 14.7% 4.1% 0.0% 82.6M -1.22B -10.5M 1.13 9.91 N/A N/A 24,831 28,147 602,515 559,435 2016-08-23 $65.81 $62.50 15.8% 4.3% 12.5% 2.3% 15.4% 3.8% 0.0% 87.7M -1.20B -11.2M 1.23 3.88 N/A N/A 22,277 27,352 612,033 568,529 2016-08-24 $65.95 $62.50 17.4% 4.8% 12.4% 8.0% 16.7% 4.7% -0.0% 85.1M -1.23B -11.5M 0.56 6.10 N/A N/A 25,782 14,361 617,609 578,631 2016-08-25 $66.05 $62.50 18.1% 4.8% 12.4% 10.3% 17.3% 4.5% -0.1% 94.3M -1.32B -10.9M 0.88 9.72 N/A N/A 26,674 23,478 626,157 583,968 2016-08-26 $66.28 $62.50 16.8% 4.4% 12.3% 5.8% 16.4% 4.4% -0.0% 130.5M -1.38B -11.4M 0.74 8.79 N/A N/A 46,816 34,744 637,811 592,247 2016-08-29 $66.86 $62.50 16.1% 4.2% 12.3% 3.3% 15.9% 4.6% 0.4% 96.8M -1.52B -11.2M 0.61 7.05 N/A N/A 37,192 22,739 618,797 587,352 2016-08-30 $67.59 $62.50 16.4% 4.4% 12.6% 4.4% 15.3% 4.8% 0.5% 104.7M -1.78B -11.1M 0.66 7.11 N/A N/A 36,479 24,050 630,404 594,056 2016-08-31 $67.43 $62.50 17.0% 4.5% 12.0% 6.5% 16.7% 4.8% 0.4% 108.3M -1.75B -11.5M 1.11 7.00 N/A N/A 32,479 36,063 648,999 600,796
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