JPM Options History — November 2016

In November 2016, JPM traded between $67.74 and $80.30. ATM implied volatility averaged 20.7%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.0% (HV 20d: 22.7%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.02.

Notable Days

2016-11-10: Highest Volume — 232,865 contracts
2016-11-10: Largest IV spike — 22.1% change
2016-11-14: Highest IV Rank — 36.0%
2016-11-14: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.38	$67.74	$80.30	$68.97	$80.30
Max Pain	$68.21	$65.00	$70.00	$67.50	$70.00
ATM IV	20.7%	17.9%	25.3%	19.4%	19.5%
Expected Move	6.1%	5.2%	7.2%	5.9%	5.9%
HV 20d	22.7%	8.8%	28.6%	10.5%	28.6%
HV 60d	16.9%	11.1%	19.9%	11.1%	19.9%
IV Rank	19.6%	9.6%	36.0%	15.0%	15.3%
IV Percentile	46.8%	19.4%	77.0%	34.9%	36.1%
Term Structure	0.1%	-0.5%	1.7%	-0.4%	0.3%
VWIV	22.0%	19.2%	27.1%	20.8%	21.4%
Skew 25d	4.0%	2.0%	6.8%	5.7%	2.7%
Skew 10d	8.1%	3.3%	13.8%	11.5%	4.1%
Call IV 25d	19.3%	15.4%	24.5%	17.0%	18.6%
Put IV 25d	23.3%	20.9%	28.1%	22.6%	21.3%
Bid-Ask Spread %	10.03	5.32	19.65	16.55	9.03
Gamma HHI	0.17	0.10	0.28	0.25	0.13
Net GEX	86.8M	64.0M	151.6M	101.2M	86.8M
Net DEX	-3.19B	-4.42B	-874.5M	-1.36B	-4.31B
Net VEX	-11.7M	-13.3M	-10.2M	-12.0M	-11.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.61	1.44	1.22	0.95
Total Volume	97,730.238	38,028	232,865	55,782	97,323
Total OI	1,531,926.571	1,343,657	1,764,296	1,343,657	1,621,421

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
2016-11-01	$68.97	$67.50	19.4%	5.9%	10.5%	15.0%	20.8%	5.7%	-0.4%	101.2M	-1.36B	-12.0M	1.22	16.55	N/A	N/A	25,139	30,643	698,690	644,967
2016-11-02	$68.81	$67.50	19.1%	6.1%	8.8%	14.1%	22.4%	5.7%	-0.2%	97.1M	-1.27B	-12.3M	1.14	19.65	N/A	N/A	23,301	26,463	707,111	655,123
2016-11-03	$68.29	$65.00	20.7%	6.3%	9.3%	19.6%	20.8%	6.3%	-0.1%	79.3M	-1.08B	-12.4M	1.17	6.43	N/A	N/A	21,395	24,972	712,136	662,874
2016-11-04	$67.74	$65.00	21.9%	6.3%	9.7%	23.8%	21.3%	6.8%	-0.3%	64.0M	-874.5M	-12.2M	1.20	5.32	N/A	N/A	31,644	37,958	715,731	667,645
2016-11-07	$69.88	$65.00	18.5%	5.4%	14.5%	11.9%	22.4%	6.1%	0.4%	105.2M	-1.71B	-11.6M	1.03	13.63	N/A	N/A	36,676	37,648	699,235	668,519
2016-11-08	$70.12	$65.00	17.9%	5.2%	14.3%	9.6%	19.2%	5.7%	0.2%	118.9M	-1.83B	-11.3M	0.73	9.70	N/A	N/A	29,660	21,570	710,681	681,901
2016-11-09	$73.60	$65.00	18.1%	5.7%	22.0%	10.2%	20.0%	4.5%	1.7%	108.0M	-3.22B	-10.4M	0.82	9.17	N/A	N/A	112,334	91,594	716,704	683,589
2016-11-10	$76.67	$67.50	22.1%	6.3%	25.2%	24.4%	24.2%	3.8%	-0.4%	70.2M	-3.97B	-10.2M	1.18	10.04	N/A	N/A	106,952	125,913	731,096	721,744
2016-11-11	$76.67	$67.50	21.2%	6.1%	25.2%	21.3%	21.7%	3.5%	-0.1%	66.9M	-3.92B	-10.8M	0.61	9.06	N/A	N/A	73,222	45,035	759,442	781,068
2016-11-14	$79.10	$67.50	25.3%	7.2%	26.0%	36.0%	27.1%	3.7%	0.1%	65.3M	-4.42B	-10.4M	1.01	9.33	N/A	N/A	88,190	89,349	768,021	758,578
2016-11-15	$78.88	$70.00	23.4%	6.7%	26.3%	29.4%	25.4%	3.5%	-0.1%	68.3M	-4.37B	-11.5M	0.76	6.71	N/A	N/A	69,763	52,921	818,966	806,690
2016-11-16	$77.11	$70.00	24.2%	6.9%	28.4%	32.1%	25.8%	3.6%	-0.1%	72.8M	-3.85B	-12.2M	0.95	11.09	N/A	N/A	74,860	71,272	844,474	821,908
2016-11-17	$77.93	$70.00	22.9%	6.6%	28.3%	27.6%	23.7%	3.3%	-0.3%	87.0M	-4.19B	-12.4M	0.89	6.07	N/A	N/A	72,244	63,952	873,223	856,412
2016-11-18	$77.90	$70.00	21.6%	6.2%	28.4%	22.8%	23.0%	3.2%	-0.2%	151.6M	-4.14B	-13.3M	1.44	7.82	N/A	N/A	41,308	59,603	892,743	871,553
2016-11-21	$77.89	$70.00	19.6%	5.6%	28.5%	15.6%	20.2%	2.3%	-0.0%	80.6M	-3.60B	-12.1M	1.31	12.95	N/A	N/A	29,333	38,378	780,110	781,962
2016-11-22	$78.45	$70.00	20.4%	5.7%	28.3%	18.7%	20.4%	2.0%	-0.5%	81.2M	-3.77B	-12.0M	1.07	11.37	N/A	N/A	48,315	51,925	786,441	796,672
2016-11-23	$78.94	$70.00	19.6%	5.5%	28.3%	15.7%	19.9%	2.6%	-0.2%	80.8M	-3.93B	-12.0M	0.84	10.33	N/A	N/A	33,837	28,292	799,667	826,354
2016-11-25	$78.83	$70.00	20.1%	5.7%	28.4%	17.3%	21.0%	2.7%	-0.2%	84.6M	-3.88B	-12.0M	1.06	8.59	N/A	N/A	18,436	19,592	807,978	831,123
2016-11-28	$78.20	$70.00	19.9%	5.9%	28.6%	16.9%	21.1%	2.8%	0.7%	73.0M	-3.55B	-12.1M	1.32	10.37	N/A	N/A	24,363	32,067	789,091	807,581
2016-11-29	$78.75	$70.00	19.5%	5.8%	28.6%	15.2%	20.5%	2.9%	0.6%	79.3M	-3.76B	-11.7M	0.83	7.35	N/A	N/A	24,583	20,310	791,850	819,384
2016-11-30	$80.30	$70.00	19.5%	5.9%	28.6%	15.3%	21.4%	2.7%	0.3%	86.8M	-4.31B	-11.3M	0.95	9.03	N/A	N/A	49,847	47,476	797,046	824,375