JPM Options History — June 2017

In June 2017, JPM traded between $82.57 and $91.72. ATM implied volatility averaged 17.7%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.7% (HV 20d: 18.4%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.76.

Notable Days

2017-06-29: Highest Volume — 284,598 contracts
2017-06-09: Largest IV spike — 10.6% change
2017-06-29: Highest IV Rank — 29.0%
2017-06-29: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.66	$82.57	$91.72	$82.77	$91.72
Max Pain	$86.93	$85.00	$87.50	$85.00	$87.50
ATM IV	17.7%	16.8%	19.1%	17.7%	17.1%
Expected Move	5.1%	4.8%	5.5%	5.2%	4.9%
HV 20d	18.4%	14.3%	21.9%	19.5%	14.5%
HV 60d	17.5%	16.8%	18.4%	17.4%	17.6%
IV Rank	17.4%	11.8%	29.0%	16.6%	20.3%
IV Percentile	37.2%	23.0%	53.6%	36.5%	28.6%
Term Structure	0.1%	-1.3%	1.2%	0.2%	0.1%
VWIV	18.2%	16.4%	19.9%	18.4%	16.4%
Skew 25d	2.8%	1.7%	3.5%	2.0%	1.7%
Skew 10d	5.6%	4.0%	7.2%	4.2%	4.1%
Call IV 25d	16.5%	15.2%	17.6%	17.0%	16.4%
Put IV 25d	19.3%	17.8%	21.1%	18.9%	18.2%
Bid-Ask Spread %	2.74	1.51	5.39	2.19	3.30
Gamma HHI	0.09	0.06	0.12	0.06	0.12
Net GEX	60.5M	-24.9M	142.5M	-24.9M	142.5M
Net DEX	-990.4M	-2.59B	204.1M	201.9M	-2.59B
Net VEX	-12.3M	-13.5M	-11.3M	-11.4M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.23	1.23	0.81	0.23
Total Volume	104,170.818	50,359	284,598	94,788	270,805
Total OI	1,255,488.182	1,095,248	1,376,596	1,274,170	1,356,460

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
2017-06-01	$82.77	$85.00	17.7%	5.2%	19.5%	16.6%	18.4%	2.0%	0.2%	-24.9M	201.9M	-11.4M	0.81	2.19	N/A	N/A	52,329	42,459	637,822	636,348
2017-06-02	$82.57	$85.00	17.4%	4.9%	19.4%	14.9%	17.1%	2.5%	0.2%	-12.2M	204.1M	-11.8M	1.23	2.50	N/A	N/A	38,771	47,655	649,884	638,047
2017-06-05	$82.79	$87.50	16.8%	5.1%	19.5%	12.0%	17.3%	2.6%	0.6%	-7.6M	100.2M	-11.5M	0.88	2.08	N/A	N/A	30,646	27,098	634,545	624,444
2017-06-06	$83.06	$87.50	17.7%	5.3%	19.6%	16.3%	18.7%	2.4%	1.0%	2.2M	-16.7M	-11.3M	1.12	1.51	N/A	N/A	34,861	39,162	642,600	626,301
2017-06-07	$84.04	$85.00	17.0%	4.9%	20.2%	13.0%	17.6%	2.5%	1.2%	18.7M	-288.1M	-12.2M	1.09	2.21	N/A	N/A	33,567	36,534	654,063	636,681
2017-06-08	$85.07	$85.00	17.0%	5.1%	20.5%	12.6%	18.0%	2.7%	1.0%	44.4M	-669.1M	-12.0M	0.90	1.88	N/A	N/A	70,728	63,339	660,354	642,825
2017-06-09	$86.86	$85.00	18.8%	5.3%	21.9%	21.8%	19.0%	3.0%	0.5%	86.9M	-1.37B	-12.5M	0.80	2.85	N/A	N/A	88,713	70,759	680,680	650,829
2017-06-12	$86.90	$87.50	19.1%	5.2%	21.9%	23.4%	18.9%	3.5%	-0.8%	85.4M	-1.28B	-12.4M	0.78	1.97	N/A	N/A	52,358	41,084	676,710	641,617
2017-06-13	$87.30	$87.50	18.1%	5.2%	21.9%	18.5%	18.9%	3.2%	-0.2%	89.9M	-1.38B	-12.9M	0.80	1.90	N/A	N/A	37,162	29,580	673,116	654,960
2017-06-14	$87.04	$87.50	18.5%	5.1%	21.8%	20.7%	19.0%	3.2%	-0.5%	88.8M	-1.30B	-12.2M	1.01	2.71	N/A	N/A	45,763	46,287	681,013	661,040
2017-06-15	$86.48	$87.50	18.7%	5.0%	16.2%	21.3%	19.1%	3.3%	-1.3%	73.5M	-1.03B	-12.8M	0.98	2.09	N/A	N/A	31,658	30,895	689,053	671,657
2017-06-16	$86.18	$87.50	17.0%	5.0%	16.3%	12.8%	17.4%	3.3%	0.5%	53.1M	-889.7M	-11.7M	0.72	2.21	N/A	N/A	49,327	35,569	696,351	680,245
2017-06-19	$88.10	$87.50	17.2%	4.9%	17.9%	13.8%	17.7%	3.0%	0.2%	78.9M	-1.24B	-12.1M	0.85	3.25	N/A	N/A	54,437	46,485	587,651	507,597
2017-06-20	$87.52	$87.50	16.8%	4.8%	18.1%	11.8%	17.0%	3.1%	-0.2%	69.0M	-1.05B	-12.4M	0.70	3.17	N/A	N/A	38,072	26,825	608,092	531,477
2017-06-21	$87.19	$87.50	17.7%	5.1%	17.6%	16.3%	19.0%	3.0%	0.0%	66.9M	-946.1M	-12.4M	0.64	3.69	N/A	N/A	30,730	19,629	618,768	539,444
2017-06-22	$87.04	$87.50	17.9%	5.1%	17.7%	17.3%	17.5%	2.8%	-0.1%	63.6M	-902.9M	-12.4M	0.79	2.61	N/A	N/A	36,798	29,180	624,150	542,470
2017-06-23	$86.80	$87.50	17.7%	5.0%	17.6%	16.3%	18.3%	2.5%	0.3%	53.3M	-806.1M	-12.5M	0.54	3.08	N/A	N/A	46,195	25,156	634,558	550,643
2017-06-26	$87.38	$87.50	17.1%	4.9%	17.7%	13.5%	17.9%	2.4%	0.2%	59.7M	-958.8M	-12.2M	0.47	2.46	N/A	N/A	36,015	16,926	616,693	539,550
2017-06-27	$88.29	$87.50	17.9%	5.2%	16.6%	17.3%	18.5%	2.7%	0.1%	76.0M	-1.27B	-12.4M	0.50	3.74	N/A	N/A	85,198	42,345	622,811	544,358
2017-06-28	$89.92	$87.50	18.1%	5.2%	14.3%	22.5%	18.9%	2.9%	-0.2%	106.4M	-1.92B	-12.7M	0.51	3.56	N/A	N/A	83,259	42,801	654,760	548,994
2017-06-29	$91.41	$87.50	18.2%	5.5%	14.8%	29.0%	19.9%	3.1%	-0.1%	115.6M	-2.39B	-13.0M	0.46	5.39	N/A	N/A	194,622	89,976	676,859	574,220
2017-06-30	$91.72	$87.50	17.1%	4.9%	14.5%	20.3%	16.4%	1.7%	0.1%	142.5M	-2.59B	-13.5M	0.23	3.30	N/A	N/A	220,704	50,101	755,129	601,331