JPM Options History — January 2017

In January 2017, JPM traded between $83.29 and $87.04. ATM implied volatility averaged 19.8%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.5% (HV 20d: 15.3%). Max pain ranged from $70.00 to $85.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2017-01-03: Highest Volume — 1,006,770 contracts
2017-01-13: Largest IV drop — 13.8% change
2017-01-05: Highest IV Rank — 26.9%
2017-01-05: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.62	$83.29	$87.04	$86.84	$84.73
Max Pain	$83.13	$70.00	$85.00	$70.00	$85.00
ATM IV	19.8%	16.5%	22.7%	22.6%	18.6%
Expected Move	5.6%	4.7%	6.5%	6.5%	5.4%
HV 20d	15.3%	11.0%	19.3%	12.8%	19.3%
HV 60d	20.4%	19.2%	21.7%	19.2%	21.7%
IV Rank	16.5%	4.6%	26.9%	26.2%	12.2%
IV Percentile	40.1%	9.9%	67.1%	65.5%	29.4%
Term Structure	-0.1%	-0.6%	0.4%	-0.1%	-0.2%
VWIV	19.8%	16.6%	22.6%	21.8%	18.8%
Skew 25d	2.3%	1.8%	2.8%	2.5%	2.6%
Skew 10d	4.7%	2.3%	6.5%	4.5%	5.4%
Call IV 25d	19.0%	15.8%	22.0%	22.0%	17.7%
Put IV 25d	21.4%	17.8%	24.4%	24.4%	20.3%
Bid-Ask Spread %	3.31	2.34	4.28	4.28	3.51
Gamma HHI	0.12	0.09	0.23	0.10	0.09
Net GEX	53.7M	-27.5M	122.2M	73.7M	31.8M
Net DEX	-1.56B	-4.18B	-672.0M	-4.18B	-1.16B
Net VEX	-12.2M	-13.0M	-11.4M	-11.8M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.06	1.30	0.06	1.04
Total Volume	155,121.45	61,420	1,006,770	1,006,770	68,241
Total OI	1,258,149.75	928,229	1,586,340	1,586,340	1,028,766

Daily Data (20 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
2017-01-03	$86.84	$70.00	22.6%	6.5%	12.8%	26.2%	21.8%	2.5%	-0.1%	73.7M	-4.18B	-11.8M	0.06	4.28	N/A	N/A	950,247	56,523	778,610	807,730
2017-01-04	$86.91	$85.00	22.1%	6.3%	11.5%	24.8%	22.4%	2.3%	-0.1%	65.4M	-1.64B	-11.6M	0.36	2.86	N/A	N/A	144,100	51,331	501,997	825,751
2017-01-05	$85.94	$82.50	22.7%	6.5%	12.3%	26.9%	22.6%	2.2%	-0.1%	44.8M	-1.36B	-11.9M	0.32	2.95	N/A	N/A	150,865	47,687	510,648	837,457
2017-01-06	$86.29	$82.50	21.9%	6.2%	12.3%	24.0%	22.2%	1.8%	-0.3%	61.8M	-1.49B	-12.0M	0.92	2.34	N/A	N/A	51,926	47,540	522,936	846,726
2017-01-09	$86.47	$82.50	22.3%	6.2%	11.2%	25.3%	22.2%	2.2%	-0.4%	61.6M	-1.72B	-11.8M	0.93	2.73	N/A	N/A	32,402	30,075	487,642	801,329
2017-01-10	$86.71	$82.50	22.5%	6.3%	11.3%	25.9%	22.6%	1.8%	-0.6%	65.9M	-1.79B	-11.8M	0.72	2.73	N/A	N/A	58,926	42,502	494,467	809,441
2017-01-11	$87.04	$82.50	21.6%	6.0%	11.0%	22.7%	20.8%	1.9%	-0.6%	79.7M	-1.93B	-12.2M	0.74	3.07	N/A	N/A	62,916	46,303	522,863	827,713
2017-01-12	$86.27	$82.50	22.1%	6.2%	11.6%	24.4%	21.9%	2.6%	-0.4%	69.3M	-1.70B	-12.5M	0.56	3.69	N/A	N/A	81,084	45,363	540,885	846,663
2017-01-13	$86.81	$82.50	19.0%	5.4%	11.7%	13.6%	19.6%	2.6%	-0.3%	122.2M	-1.93B	-12.4M	0.72	3.53	N/A	N/A	130,597	94,556	570,647	862,588
2017-01-17	$83.44	$82.50	21.1%	6.1%	18.0%	21.1%	20.8%	2.7%	-0.5%	16.0M	-741.4M	-12.0M	0.90	2.56	N/A	N/A	84,222	75,625	560,258	837,980
2017-01-18	$84.06	$82.50	19.5%	5.6%	17.8%	15.4%	19.7%	2.7%	0.4%	28.8M	-936.6M	-12.3M	0.84	2.83	N/A	N/A	53,562	44,809	582,267	865,613
2017-01-19	$83.29	$85.00	20.0%	5.8%	18.0%	17.2%	19.5%	2.8%	-0.6%	-27.5M	-672.0M	-12.4M	0.77	2.57	N/A	N/A	56,352	43,205	591,049	870,874
2017-01-20	$83.61	$85.00	18.1%	5.3%	17.4%	10.4%	18.1%	2.7%	-0.6%	-20.9M	-803.1M	-12.3M	0.86	2.88	N/A	N/A	51,143	43,771	608,436	881,968
2017-01-23	$83.81	$85.00	17.3%	5.0%	17.3%	7.6%	17.5%	2.7%	0.2%	33.2M	-979.5M	-12.0M	0.87	4.07	N/A	N/A	41,276	35,797	487,427	440,802
2017-01-24	$84.77	$85.00	17.2%	4.9%	17.9%	7.2%	17.5%	2.1%	0.2%	51.0M	-1.24B	-12.5M	0.86	4.11	N/A	N/A	46,837	40,279	501,494	461,385
2017-01-25	$86.09	$85.00	16.5%	4.7%	18.9%	4.8%	16.9%	1.8%	0.3%	75.8M	-1.70B	-11.4M	0.86	4.13	N/A	N/A	46,930	40,491	510,915	474,903
2017-01-26	$86.72	$85.00	16.7%	4.7%	19.0%	5.4%	16.8%	2.0%	0.4%	91.9M	-1.87B	-12.3M	0.82	3.85	N/A	N/A	44,675	36,790	529,769	483,434
2017-01-27	$86.78	$85.00	16.5%	4.7%	18.9%	4.6%	16.6%	1.9%	0.4%	95.6M	-1.86B	-12.7M	1.21	3.82	N/A	N/A	27,851	33,569	545,847	494,758
2017-01-30	$85.84	$85.00	17.9%	5.2%	18.8%	9.8%	18.5%	2.6%	0.3%	53.2M	-1.49B	-13.0M	1.30	3.72	N/A	N/A	27,013	35,048	530,919	478,038
2017-01-31	$84.73	$85.00	18.6%	5.4%	19.3%	12.2%	18.8%	2.6%	-0.2%	31.8M	-1.16B	-12.7M	1.04	3.51	N/A	N/A	33,496	34,745	538,557	490,209