JPM Options History — September 2016

In September 2016, JPM traded between $65.76 and $67.43. ATM implied volatility averaged 19.3%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 9.9% (HV 20d: 9.5%). Max pain ranged from $63.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2016-09-26: Highest Volume — 95,881 contracts
  • 2016-09-26: Largest IV spike — 25.0% change
  • 2016-09-13: Highest IV Rank — 28.1%
  • 2016-09-29: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.75$65.76$67.43$67.18$66.83
Max Pain$64.86$63.00$65.00$63.00$65.00
ATM IV19.3%15.5%23.1%18.1%19.3%
Expected Move5.5%3.6%6.5%4.9%5.7%
HV 20d9.5%6.3%14.5%12.1%14.5%
HV 60d19.5%12.6%23.9%23.9%13.1%
IV Rank14.7%1.0%28.1%10.4%14.8%
IV Percentile31.7%0.8%59.9%16.3%32.5%
Term Structure-0.1%-2.0%1.2%0.4%0.1%
VWIV20.1%13.1%23.3%18.3%21.1%
Skew 25d5.5%3.6%7.0%4.7%5.6%
Skew 10d10.9%8.1%18.2%8.1%13.2%
Call IV 25d17.3%13.8%20.5%16.0%17.8%
Put IV 25d22.8%17.4%27.2%20.8%23.3%
Bid-Ask Spread %7.535.4510.048.568.78
Gamma HHI0.170.130.240.150.16
Net GEX87.0M41.9M132.8M101.4M80.4M
Net DEX-1.30B-1.78B-738.3M-1.62B-1.17B
Net VEX-11.3M-11.7M-10.8M-11.6M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.471.361.010.47
Total Volume62,373.47633,87195,88159,86480,580
Total OI1,247,3351,121,6081,357,3051,265,1471,236,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$67.18$63.0018.1%4.9%12.1%10.4%18.3%4.7%0.4%101.4M-1.62B-11.6M1.018.56N/AN/A29,71130,153654,241610,906
2016-09-02$67.43$64.0015.5%3.6%7.6%1.0%13.1%3.6%0.7%132.8M-1.78B-11.2M0.997.09N/AN/A40,86340,264662,814617,209
2016-09-06$67.34$65.0016.7%5.1%7.4%5.2%18.4%4.7%1.2%109.8M-1.67B-11.1M0.956.41N/AN/A28,47427,053656,939612,509
2016-09-07$67.16$65.0017.4%5.2%7.4%8.0%20.5%4.6%1.0%110.5M-1.62B-11.1M1.048.66N/AN/A25,33826,269663,181618,098
2016-09-08$67.31$65.0016.5%5.0%6.3%4.7%19.0%4.7%1.1%126.0M-1.73B-11.0M0.807.27N/AN/A27,87222,174673,699623,400
2016-09-09$66.89$65.0019.8%5.5%6.8%16.3%20.1%5.8%0.7%93.1M-1.49B-11.5M0.807.19N/AN/A48,50138,971678,161627,628
2016-09-12$67.16$65.0019.5%5.4%6.7%15.3%20.7%5.8%-0.7%112.4M-1.58B-11.2M1.019.10N/AN/A33,79034,263669,454623,180
2016-09-13$66.47$65.0023.1%6.1%7.5%28.1%23.2%7.0%-2.0%90.1M-1.31B-11.6M1.1110.04N/AN/A33,08136,574678,976632,730
2016-09-14$66.40$65.0022.4%6.0%7.5%25.7%22.3%6.7%-1.6%92.9M-1.29B-11.7M1.125.45N/AN/A19,87922,215692,444637,490
2016-09-15$66.75$65.0020.4%5.5%7.7%18.4%19.7%5.6%-1.7%99.0M-1.45B-11.4M0.689.26N/AN/A33,45922,704695,090641,953
2016-09-16$65.92$65.0020.9%6.1%9.0%20.3%22.3%5.9%0.5%41.9M-1.11B-10.8M0.979.42N/AN/A41,36840,080709,744647,561
2016-09-19$66.22$65.0020.0%5.7%9.1%17.3%19.5%6.2%-0.3%64.2M-952.6M-11.3M1.056.85N/AN/A26,89228,262585,244536,364
2016-09-20$66.59$65.0019.4%5.6%9.3%15.2%19.1%5.9%-0.2%72.0M-1.05B-11.3M1.296.51N/AN/A22,73129,269596,802546,902
2016-09-21$66.93$65.0018.3%5.2%9.4%11.0%18.3%5.6%0.2%78.7M-1.20B-11.1M0.797.95N/AN/A36,78829,212609,573560,620
2016-09-22$67.36$65.0017.5%5.0%9.6%8.3%18.9%5.2%0.2%93.8M-1.40B-11.1M1.366.47N/AN/A23,41331,786624,144578,733
2016-09-23$67.33$65.0017.5%5.0%9.6%8.1%18.5%5.2%-0.1%101.0M-1.38B-11.2M0.965.80N/AN/A25,95124,859629,679580,914
2016-09-26$65.76$65.0021.8%6.4%12.9%23.6%23.1%5.9%-0.3%49.0M-757.8M-11.4M1.025.65N/AN/A47,54448,337608,013562,546
2016-09-27$66.25$65.0020.3%6.0%12.8%18.4%22.0%5.4%-0.1%56.9M-890.7M-11.3M0.986.19N/AN/A17,09216,779617,876578,475
2016-09-28$66.65$65.0019.3%5.7%12.4%14.6%21.0%5.6%0.1%72.0M-1.07B-11.1M0.936.21N/AN/A19,18417,841624,296578,390
2016-09-29$65.76$65.0022.2%6.5%13.2%25.1%23.3%5.9%-0.3%49.3M-738.3M-11.3M1.069.17N/AN/A38,93241,335629,663581,690
2016-09-30$66.83$65.0019.3%5.7%14.5%14.8%21.1%5.6%0.1%80.4M-1.17B-11.3M0.478.78N/AN/A54,63425,946645,397591,307