JPM Options History — May 2017

In May 2017, JPM traded between $81.98 and $87.71. ATM implied volatility averaged 15.9%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.8% (HV 20d: 17.7%). Max pain ranged from $82.50 to $87.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.79.

Notable Days

2017-05-17: Highest Volume — 167,631 contracts
2017-05-17: Largest IV spike — 30.4% change
2017-05-17: Highest IV Rank — 24.5%
2017-05-17: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.95	$81.98	$87.71	$87.22	$81.98
Max Pain	$85.00	$82.50	$87.00	$86.50	$85.00
ATM IV	15.9%	14.5%	19.3%	16.0%	18.5%
Expected Move	4.6%	4.3%	5.5%	4.4%	5.4%
HV 20d	17.7%	16.4%	21.8%	16.6%	19.4%
HV 60d	17.3%	16.3%	18.4%	18.2%	17.3%
IV Rank	6.3%	0.0%	24.5%	4.4%	20.6%
IV Percentile	10.9%	0.0%	51.2%	6.0%	45.2%
Term Structure	0.5%	-0.2%	1.1%	0.8%	-0.2%
VWIV	16.3%	14.9%	19.3%	15.9%	19.0%
Skew 25d	2.5%	1.9%	3.8%	2.5%	2.2%
Skew 10d	5.2%	4.0%	7.9%	5.5%	4.4%
Call IV 25d	15.0%	13.9%	18.3%	14.8%	17.3%
Put IV 25d	17.4%	15.9%	22.1%	17.4%	19.5%
Bid-Ask Spread %	2.70	1.66	5.42	4.40	2.80
Gamma HHI	0.08	0.05	0.11	0.08	0.05
Net GEX	29.5M	-47.5M	96.4M	52.6M	-23.1M
Net DEX	-592.9M	-1.16B	411.3M	-961.9M	411.3M
Net VEX	-11.9M	-12.7M	-11.2M	-11.6M	-11.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.27	1.23	0.93	1.23
Total Volume	87,275.409	59,580	167,631	79,630	137,831
Total OI	1,187,213.455	1,080,429	1,277,697	1,107,718	1,223,067

Daily Data (22 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
2017-05-01	$87.22	$86.50	16.0%	4.4%	16.6%	4.4%	15.9%	2.5%	0.8%	52.6M	-961.9M	-11.6M	0.93	4.40	N/A	N/A	41,202	38,428	504,906	602,812
2017-05-02	$86.32	$87.00	15.7%	4.5%	17.0%	2.7%	15.9%	2.6%	0.5%	26.3M	-651.4M	-12.0M	0.87	2.93	N/A	N/A	48,539	42,465	517,967	611,397
2017-05-03	$87.01	$86.50	15.3%	4.3%	17.2%	0.8%	15.3%	2.2%	0.2%	41.8M	-916.3M	-11.9M	0.70	3.82	N/A	N/A	35,146	24,434	529,856	620,373
2017-05-04	$87.13	$82.50	15.3%	4.6%	16.8%	0.3%	15.5%	2.0%	0.5%	48.3M	-958.7M	-12.0M	0.66	2.31	N/A	N/A	42,075	27,717	533,825	623,509
2017-05-05	$86.95	$85.00	14.9%	4.5%	16.9%	0.0%	16.4%	2.3%	0.3%	10.2M	-907.8M	-11.5M	0.68	1.98	N/A	N/A	48,251	32,647	539,457	627,842
2017-05-08	$86.96	$85.00	14.7%	4.4%	16.8%	0.0%	15.8%	1.9%	0.5%	49.4M	-879.5M	-11.6M	0.94	1.66	N/A	N/A	37,847	35,514	517,363	609,010
2017-05-09	$86.66	$85.00	15.4%	4.5%	16.7%	3.8%	15.7%	2.3%	0.4%	37.5M	-779.9M	-11.5M	0.59	5.42	N/A	N/A	41,084	24,383	525,379	622,725
2017-05-10	$87.42	$82.50	14.5%	4.4%	16.9%	0.0%	16.0%	2.0%	0.5%	73.1M	-1.07B	-11.5M	0.55	2.22	N/A	N/A	45,242	24,928	532,230	628,668
2017-05-11	$87.15	$85.00	15.5%	4.5%	16.9%	5.0%	16.2%	2.3%	0.4%	63.6M	-941.2M	-11.9M	0.60	1.88	N/A	N/A	51,294	30,870	548,638	636,714
2017-05-12	$86.87	$85.00	14.8%	4.4%	16.7%	1.8%	15.8%	2.1%	0.7%	50.7M	-802.5M	-11.8M	0.53	1.66	N/A	N/A	48,733	25,753	561,450	646,345
2017-05-15	$87.37	$85.00	14.7%	4.3%	16.7%	0.9%	14.9%	2.5%	0.5%	73.5M	-1.02B	-11.6M	0.44	1.88	N/A	N/A	57,418	25,077	565,352	622,428
2017-05-16	$87.71	$85.00	14.8%	4.3%	16.4%	1.5%	15.6%	2.5%	0.4%	96.4M	-1.16B	-11.7M	0.91	1.91	N/A	N/A	47,089	42,898	591,633	628,562
2017-05-17	$84.24	$85.00	19.3%	5.5%	21.8%	24.5%	19.2%	3.8%	0.8%	-37.7M	109.7M	-12.3M	1.23	2.54	N/A	N/A	75,077	92,554	603,024	641,366
2017-05-18	$84.23	$85.00	18.6%	5.3%	21.0%	21.1%	19.3%	3.7%	0.8%	-47.5M	140.5M	-12.0M	0.84	2.11	N/A	N/A	61,125	51,575	616,155	655,815
2017-05-19	$84.66	$85.00	17.0%	4.8%	20.8%	12.6%	17.2%	3.3%	1.1%	-17.7M	75.5M	-12.1M	0.84	2.56	N/A	N/A	53,604	45,140	619,559	658,138
2017-05-22	$84.61	$85.00	16.0%	4.6%	17.0%	7.7%	15.5%	2.7%	0.4%	-35.4K	-257.3M	-11.2M	0.27	3.49	N/A	N/A	113,611	30,182	512,521	567,908
2017-05-23	$85.76	$85.00	15.3%	4.4%	17.5%	4.1%	15.8%	2.4%	0.4%	41.8M	-658.5M	-12.1M	1.00	2.97	N/A	N/A	36,878	36,813	598,919	580,130
2017-05-24	$85.79	$85.00	15.9%	4.4%	17.4%	7.1%	15.4%	2.3%	0.3%	37.8M	-647.8M	-12.3M	0.83	3.01	N/A	N/A	39,626	32,965	612,115	596,591
2017-05-25	$85.46	$85.00	15.0%	4.3%	17.2%	2.7%	15.2%	2.0%	0.4%	34.6M	-521.7M	-12.7M	0.89	2.31	N/A	N/A	34,174	30,448	624,812	610,184
2017-05-26	$85.44	$85.00	15.0%	4.3%	17.0%	2.4%	15.0%	2.1%	0.4%	36.0M	-524.7M	-12.7M	0.97	2.59	N/A	N/A	34,185	33,179	634,324	607,451
2017-05-30	$83.99	$85.00	17.2%	5.0%	17.9%	14.0%	17.3%	2.3%	0.0%	928.1K	-119.6M	-11.6M	0.97	2.96	N/A	N/A	31,450	30,608	615,588	592,588
2017-05-31	$81.98	$85.00	18.5%	5.4%	19.4%	20.6%	19.0%	2.2%	-0.2%	-23.1M	411.3M	-11.2M	1.23	2.80	N/A	N/A	61,807	76,024	622,639	600,428