JPM Options History — December 2016

In December 2016, JPM traded between $81.53 and $87.11. ATM implied volatility averaged 21.9%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.9% (HV 20d: 18.0%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2016-12-01: Highest Volume — 117,695 contracts
  • 2016-12-08: Largest IV spike — 8.5% change
  • 2016-12-14: Highest IV Rank — 32.6%
  • 2016-12-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.10$81.53$87.11$81.70$86.03
Max Pain$68.57$67.50$70.00$70.00$70.00
ATM IV21.9%20.2%24.3%22.2%22.2%
Expected Move6.4%5.9%6.9%6.9%6.3%
HV 20d18.0%12.6%28.5%28.5%12.7%
HV 60d19.8%19.1%20.3%20.1%19.2%
IV Rank23.8%17.9%32.6%25.1%25.0%
IV Percentile59.5%45.2%75.0%62.3%62.3%
Term Structure0.5%-0.6%2.2%0.2%0.4%
VWIV23.1%21.1%24.7%24.7%22.7%
Skew 25d2.7%2.3%3.3%3.3%3.0%
Skew 10d5.3%3.8%7.2%7.1%5.3%
Call IV 25d20.9%18.7%23.7%20.8%21.1%
Put IV 25d23.6%21.8%26.2%24.1%24.2%
Bid-Ask Spread %6.773.0313.739.326.74
Gamma HHI0.110.090.170.130.09
Net GEX61.8M35.1M78.6M78.6M35.1M
Net DEX-4.78B-5.67B-3.88B-4.69B-3.98B
Net VEX-12.0M-12.5M-11.1M-11.6M-12.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.571.750.990.92
Total Volume76,788.8145,654117,695117,69565,451
Total OI1,653,924.5711,472,0511,831,3081,661,4071,597,723

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$81.70$70.0022.2%6.9%28.5%25.1%24.7%3.3%0.2%78.6M-4.69B-11.6M0.999.32N/AN/A59,10158,594812,062849,345
2016-12-02$81.53$70.0021.1%6.2%28.2%21.0%22.3%2.6%0.3%68.9M-4.56B-12.3M1.189.70N/AN/A30,70736,226823,640870,319
2016-12-05$83.03$67.5020.5%6.3%27.6%18.9%22.6%3.3%1.3%74.2M-5.00B-11.1M1.385.16N/AN/A35,98949,697809,425847,019
2016-12-06$83.69$67.5020.2%6.3%26.5%17.9%24.3%3.0%1.7%69.1M-5.10B-11.4M0.635.14N/AN/A71,12045,060815,804866,798
2016-12-07$83.94$67.5020.7%6.3%26.5%19.6%24.1%2.5%2.2%66.3M-5.20B-11.7M0.574.77N/AN/A53,64830,356837,351885,198
2016-12-08$85.19$67.5022.4%6.7%22.2%25.9%24.3%2.4%1.4%63.3M-5.55B-11.5M0.766.98N/AN/A63,34048,241856,388895,811
2016-12-09$85.26$67.5022.0%6.5%18.4%24.2%24.4%2.6%1.9%62.5M-5.49B-12.3M1.214.79N/AN/A33,97541,175866,544912,303
2016-12-12$84.73$67.5023.0%6.7%18.8%28.0%24.1%2.5%-0.5%57.6M-5.29B-11.9M1.057.35N/AN/A29,42530,836852,783896,241
2016-12-13$84.73$67.5023.0%6.5%16.1%27.8%23.2%2.4%-0.6%57.4M-5.29B-11.8M0.658.71N/AN/A41,94427,388858,970904,149
2016-12-14$85.08$67.5024.3%6.8%15.9%32.6%24.2%2.5%-0.6%56.7M-5.39B-12.2M1.027.13N/AN/A49,03450,228872,428911,995
2016-12-15$86.05$67.5023.8%6.8%12.6%30.6%24.5%2.7%-0.2%58.5M-5.67B-12.3M0.764.77N/AN/A48,11836,378886,301924,797
2016-12-16$85.04$67.5022.5%6.3%13.9%26.1%22.8%2.6%-0.6%67.6M-5.41B-12.3M0.703.93N/AN/A51,36936,056898,077933,231
2016-12-19$85.26$67.5021.5%6.1%13.8%22.6%22.3%2.3%0.5%55.0M-4.01B-12.3M1.0813.73N/AN/A30,05332,588725,293746,758
2016-12-20$86.38$67.5021.4%6.1%14.0%22.1%21.4%2.6%0.5%61.7M-4.28B-12.1M0.879.14N/AN/A42,06836,615730,255761,926
2016-12-21$86.65$70.0021.2%6.1%14.0%21.4%21.1%2.7%0.5%69.3M-4.33B-12.4M1.248.33N/AN/A24,35130,181748,130777,890
2016-12-22$86.78$70.0021.2%6.1%14.0%21.5%21.8%2.8%0.7%69.1M-4.35B-12.5M0.997.91N/AN/A22,97522,679757,137791,539
2016-12-23$86.85$70.0020.8%5.9%13.9%20.0%21.8%2.6%0.5%63.8M-4.40B-11.9M1.403.15N/AN/A21,16129,674762,066799,441
2016-12-27$87.11$70.0021.4%6.1%13.1%22.0%22.3%2.5%0.5%67.9M-4.39B-11.6M1.273.03N/AN/A21,04926,772752,669778,638
2016-12-28$86.56$70.0021.7%6.3%13.7%23.2%22.9%3.0%0.5%56.9M-4.21B-11.9M0.965.85N/AN/A34,13532,905754,860789,932
2016-12-29$85.56$70.0022.0%6.3%13.7%24.3%22.9%2.7%0.5%38.5M-3.88B-12.3M1.756.50N/AN/A29,82052,083775,730795,450
2016-12-30$86.03$70.0022.2%6.3%12.7%25.0%22.7%3.0%0.4%35.1M-3.98B-12.5M0.926.74N/AN/A34,06431,387781,894815,829