JPM Options History — October 2016

In October 2016, JPM traded between $66.45 and $69.41. ATM implied volatility averaged 18.4%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.0% (HV 20d: 14.4%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2016-10-14: Highest Volume — 137,743 contracts
2016-10-24: Largest IV drop — 9.3% change
2016-10-13: Highest IV Rank — 21.3%
2016-10-04: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.20	$66.45	$69.41	$66.45	$69.41
Max Pain	$65.29	$65.00	$67.50	$65.00	$67.50
ATM IV	18.4%	15.2%	21.2%	20.4%	16.3%
Expected Move	5.4%	4.4%	6.3%	6.2%	4.9%
HV 20d	14.4%	10.1%	15.9%	14.5%	10.1%
HV 60d	12.3%	11.1%	12.6%	12.5%	11.1%
IV Rank	11.3%	0.0%	21.3%	18.7%	4.0%
IV Percentile	26.2%	0.4%	56.0%	46.8%	7.9%
Term Structure	0.2%	-1.7%	3.5%	3.5%	0.2%
VWIV	19.0%	15.6%	22.1%	21.5%	17.6%
Skew 25d	5.2%	4.3%	6.1%	5.5%	5.0%
Skew 10d	11.1%	6.0%	19.3%	19.3%	8.5%
Call IV 25d	16.2%	13.2%	19.0%	18.6%	14.5%
Put IV 25d	21.4%	17.4%	25.1%	24.1%	19.6%
Bid-Ask Spread %	10.35	6.74	17.47	17.47	7.79
Gamma HHI	0.21	0.17	0.27	0.18	0.27
Net GEX	112.7M	67.9M	160.3M	67.9M	119.9M
Net DEX	-1.43B	-1.75B	-926.3M	-1.04B	-1.57B
Net VEX	-11.4M	-12.1M	-10.8M	-11.4M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.36	1.37	0.45	0.99
Total Volume	75,998.524	39,900	137,743	78,591	52,183
Total OI	1,300,747.476	1,200,262	1,414,913	1,224,228	1,329,550

Daily Data (21 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
2016-10-03	$66.45	$65.00	20.4%	6.2%	14.5%	18.7%	21.5%	5.5%	3.5%	67.9M	-1.04B	-11.4M	0.45	17.47	N/A	N/A	54,078	24,513	643,971	580,257
2016-10-04	$66.71	$65.50	20.7%	6.3%	14.6%	19.7%	22.1%	5.6%	0.1%	78.4M	-999.5M	-11.1M	0.75	6.94	N/A	N/A	41,124	30,866	611,211	589,051
2016-10-05	$67.87	$65.50	19.3%	5.9%	15.9%	14.5%	21.3%	5.3%	0.6%	101.6M	-1.50B	-11.3M	0.66	8.93	N/A	N/A	44,016	29,238	623,518	596,615
2016-10-06	$67.82	$65.00	19.4%	5.8%	15.9%	15.0%	20.8%	5.3%	0.9%	104.0M	-1.49B	-11.4M	1.21	8.15	N/A	N/A	28,880	34,844	637,612	605,369
2016-10-07	$68.04	$65.00	19.0%	5.7%	15.7%	13.6%	21.0%	4.9%	1.5%	116.2M	-1.55B	-11.4M	0.80	9.38	N/A	N/A	44,450	35,544	645,540	620,434
2016-10-10	$68.66	$65.00	19.9%	5.9%	15.9%	16.6%	19.3%	5.1%	0.3%	108.7M	-1.68B	-11.4M	0.73	9.18	N/A	N/A	45,333	33,224	646,271	612,772
2016-10-11	$68.32	$65.00	20.2%	6.1%	15.5%	17.9%	20.2%	5.5%	0.9%	100.6M	-1.53B	-11.7M	1.34	8.63	N/A	N/A	39,497	53,105	656,401	629,887
2016-10-12	$68.21	$65.00	20.9%	6.0%	15.5%	20.2%	19.3%	5.2%	0.3%	98.0M	-1.45B	-11.9M	1.37	7.34	N/A	N/A	16,816	23,084	661,179	651,935
2016-10-13	$67.81	$65.00	21.2%	6.0%	15.7%	21.3%	20.5%	6.1%	0.1%	93.9M	-1.28B	-11.9M	0.62	11.04	N/A	N/A	76,992	47,852	663,471	655,305
2016-10-14	$67.67	$65.00	19.6%	5.6%	14.9%	15.8%	20.2%	5.5%	0.0%	104.7M	-1.20B	-11.8M	0.57	10.45	N/A	N/A	87,741	50,002	672,305	674,161
2016-10-17	$67.12	$65.00	19.3%	5.5%	15.2%	14.5%	20.2%	6.0%	-0.1%	89.8M	-926.3M	-11.7M	0.60	9.96	N/A	N/A	35,682	21,235	666,878	654,120
2016-10-18	$67.60	$65.00	18.1%	5.2%	15.3%	10.5%	18.2%	5.1%	-0.5%	122.1M	-1.21B	-11.2M	0.54	11.13	N/A	N/A	41,195	22,076	675,146	658,953
2016-10-19	$68.38	$65.00	17.7%	5.1%	15.7%	9.0%	17.7%	5.3%	-1.6%	144.4M	-1.60B	-11.0M	0.36	11.67	N/A	N/A	70,084	25,409	688,659	665,687
2016-10-20	$68.32	$65.00	17.6%	5.1%	15.6%	8.7%	17.0%	5.3%	-1.7%	144.5M	-1.59B	-11.2M	0.54	10.64	N/A	N/A	49,004	26,467	714,013	672,098
2016-10-21	$68.51	$65.00	16.8%	5.0%	15.6%	5.6%	17.0%	5.3%	-1.6%	160.3M	-1.75B	-11.2M	0.73	7.84	N/A	N/A	36,038	26,291	734,063	680,850
2016-10-24	$68.98	$65.00	15.2%	4.4%	12.8%	0.0%	15.6%	4.3%	0.1%	118.7M	-1.56B	-10.8M	0.56	6.74	N/A	N/A	32,319	18,207	647,530	606,851
2016-10-25	$68.76	$65.00	15.4%	4.6%	12.8%	0.7%	16.9%	4.4%	0.3%	114.6M	-1.43B	-10.9M	0.83	15.05	N/A	N/A	27,649	22,913	661,142	613,962
2016-10-26	$69.19	$65.00	15.7%	4.7%	12.8%	1.9%	16.8%	4.5%	0.5%	127.3M	-1.61B	-11.2M	1.11	11.98	N/A	N/A	38,299	42,417	670,004	624,667
2016-10-27	$69.31	$65.00	16.3%	4.9%	11.4%	3.9%	17.1%	4.6%	0.3%	128.4M	-1.62B	-11.6M	0.54	11.69	N/A	N/A	57,969	31,323	685,135	637,147
2016-10-28	$69.08	$67.50	16.8%	5.1%	10.4%	5.5%	17.9%	4.9%	0.1%	123.4M	-1.44B	-12.1M	0.81	15.32	N/A	N/A	43,104	34,906	702,493	649,484
2016-10-31	$69.41	$67.50	16.3%	4.9%	10.1%	4.0%	17.6%	5.0%	0.2%	119.9M	-1.57B	-11.6M	0.99	7.79	N/A	N/A	26,284	25,899	694,140	635,410