JHML Options History — September 2021

In September 2021, JHML traded between $54.64 and $57.22. ATM implied volatility averaged 20.6%. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 10.7% (HV 20d: 9.8%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days.

Notable Days

  • 2021-09-17: Highest Volume — 2 contracts
  • 2021-09-15: Largest IV spike — 132.0% change
  • 2021-09-15: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.08$54.64$57.22$57.02$54.64
ATM IV20.6%13.1%37.3%21.5%25.0%
Expected Move5.6%2.9%10.7%6.2%7.2%
HV 20d9.8%7.5%13.1%7.5%13.1%
HV 60d10.9%10.1%12.1%10.3%12.1%
Term Structure-2.6%-16.7%10.6%-4.7%-8.5%
Skew 25d3.4%-0.1%8.1%2.3%3.4%
Skew 10d3.8%0.2%9.6%1.4%8.0%
Call IV 25d16.5%12.2%36.7%16.4%21.6%
Put IV 25d19.9%12.2%38.9%18.7%25.0%
Bid-Ask Spread %135.69126.73155.68134.00137.99
Gamma HHI0.710.470.820.770.71
Net GEX-4.2K-6.0K-475-3.7K-5.4K
Net DEX31.2K2.7K56.8K30.4K48.0K
Net VEX-283-421-14-336-389
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.0950200
Total OI43.76243454345

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$57.02$0.0021.5%6.2%7.5%0.0%0.0%2.3%-4.7%-3.7K30.4K-3360.00134.00N/AN/A00043
2021-09-02$57.16$0.0016.2%2.9%7.5%0.0%0.0%0.6%2.8%-3.4K28.0K-3150.00127.61N/AN/A00043
2021-09-03$57.22$0.0022.4%4.9%7.5%0.0%0.0%4.0%-0.9%-3.4K37.5K-3850.00133.93N/AN/A00043
2021-09-07$56.86$0.0025.9%4.6%7.9%0.0%0.0%-0.1%-3.6%-4.1K17.3K-1920.00126.73N/AN/A00043
2021-09-08$56.74$0.0013.1%3.7%8.0%0.0%0.0%2.3%-0.0%-1.5K2.7K-140.00128.69N/AN/A00043
2021-09-09$56.69$0.0017.3%5.0%7.9%0.0%0.0%4.0%-0.8%-4753.1K-160.00130.27N/AN/A00043
2021-09-10$56.27$0.0015.6%4.5%8.4%0.0%0.0%2.6%1.5%-4.0K27.2K-2910.00129.80N/AN/A00043
2021-09-13$56.25$0.0019.2%5.5%8.4%0.0%0.0%4.8%-2.3%-4.3K35.9K-3470.00139.45N/AN/A00043
2021-09-14$55.92$0.0016.1%4.6%8.6%0.0%0.0%3.7%-4.0%-4.9K38.9K-3500.00130.39N/AN/A00043
2021-09-15$56.47$0.0037.3%10.7%8.8%0.0%0.0%2.3%-11.4%-3.5K32.9K-3370.00155.68N/AN/A00043
2021-09-16$56.40$0.0017.9%5.1%8.7%0.0%0.0%7.2%-1.3%-4.1K31.5K-3180.00130.00N/AN/A00043
2021-09-17$55.86$0.0020.2%5.8%9.3%0.0%0.0%3.8%-2.5%-4.2K39.9K-3610.00141.46N/AN/A02043
2021-09-20$54.74$0.0026.6%7.6%11.3%0.0%0.0%5.2%-4.9%-4.1K47.5K-4210.00136.23N/AN/A00043
2021-09-21$55.04$0.0029.3%8.4%11.1%0.0%0.0%8.1%-16.7%-6.0K56.8K-4060.00136.49N/AN/A00045
2021-09-22$55.51$0.0020.7%5.9%11.5%0.0%0.0%6.4%-3.1%-4.5K46.0K-3930.00139.70N/AN/A00045
2021-09-23$56.13$0.0018.2%5.2%12.2%0.0%0.0%4.2%-1.9%-5.6K13.8K-610.00131.19N/AN/A00045
2021-09-24$56.23$0.0019.2%5.5%11.9%0.0%0.0%4.5%-1.0%-5.9K26.9K-2360.00135.17N/AN/A00045
2021-09-27$56.15$0.0013.8%4.0%11.3%0.0%0.0%1.2%10.6%-5.0K18.9K-1710.00146.72N/AN/A00045
2021-09-28$55.16$0.0016.8%4.8%12.8%0.0%0.0%-0.0%-4.9%-4.8K25.7K-2320.00141.87N/AN/A00045
2021-09-29$55.19$0.0019.2%5.5%12.8%0.0%0.0%1.3%2.7%-4.9K47.3K-3780.00136.23N/AN/A00045
2021-09-30$54.64$0.0025.0%7.2%13.1%0.0%0.0%3.4%-8.5%-5.4K48.0K-3890.00137.99N/AN/A00045