JPM Options History — February 2017

In February 2017, JPM traded between $84.69 and $91.05. ATM implied volatility averaged 17.6%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.6% (HV 20d: 19.2%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.06.

Notable Days

  • 2017-02-14: Highest Volume — 132,790 contracts
  • 2017-02-16: Largest IV drop — 5.1% change
  • 2017-02-28: Highest IV Rank — 18.9%
  • 2017-02-28: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.64$84.69$91.05$85.10$90.68
Max Pain$83.82$82.50$85.00$85.00$85.00
ATM IV17.6%16.8%18.8%18.1%18.8%
Expected Move5.1%4.8%5.5%5.0%5.5%
HV 20d19.2%16.5%22.7%19.0%16.5%
HV 60d18.0%16.3%21.6%21.6%16.3%
IV Rank11.0%7.1%18.9%10.5%18.9%
IV Percentile22.2%13.5%36.9%25.4%36.9%
Term Structure0.3%-0.4%1.0%0.2%0.2%
VWIV18.3%16.9%20.1%17.4%20.1%
Skew 25d2.2%1.8%2.6%2.6%2.3%
Skew 10d4.5%2.2%6.3%5.2%4.6%
Call IV 25d16.8%16.0%18.0%17.2%18.0%
Put IV 25d19.0%18.0%20.2%19.9%20.2%
Bid-Ask Spread %3.011.795.464.573.72
Gamma HHI0.180.090.520.090.13
Net GEX94.4M33.4M211.6M40.5M67.7M
Net DEX-2.20B-3.12B-1.15B-1.30B-2.14B
Net VEX-12.7M-13.5M-12.0M-12.7M-13.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.611.660.921.36
Total Volume82,10549,547132,79072,68653,505
Total OI1,104,796.5791,031,6951,212,4381,045,7311,134,175

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$85.10$85.0018.1%5.0%19.0%10.5%17.4%2.6%0.2%40.5M-1.30B-12.7M0.924.57N/AN/A37,84634,840548,014497,717
2017-02-02$84.69$82.5018.0%5.3%19.0%9.9%18.9%2.3%0.5%33.4M-1.15B-12.8M0.882.49N/AN/A30,53926,986557,166506,274
2017-02-03$87.27$82.5017.3%5.2%21.6%7.5%18.7%2.1%0.3%93.2M-2.09B-12.8M0.612.27N/AN/A81,29849,810565,194513,758
2017-02-06$86.73$82.5017.5%5.2%21.7%8.4%18.7%2.5%0.5%90.6M-1.86B-12.9M1.222.34N/AN/A26,34932,249557,079504,142
2017-02-07$86.69$82.5017.4%5.1%21.7%7.8%17.7%2.2%0.3%86.7M-1.82B-12.7M0.945.46N/AN/A31,27129,404553,160512,107
2017-02-08$85.91$82.5017.6%5.4%21.9%8.6%19.8%2.4%1.0%62.7M-1.52B-12.8M1.082.37N/AN/A38,86242,036564,011517,765
2017-02-09$87.18$82.5017.4%5.1%22.6%7.8%18.4%2.1%0.4%117.0M-2.06B-12.8M0.892.27N/AN/A42,87238,319580,342531,446
2017-02-10$87.07$82.5017.2%5.1%22.3%7.1%17.5%1.8%0.6%111.7M-2.03B-12.6M0.692.87N/AN/A59,90241,518585,994544,276
2017-02-13$88.28$82.5017.9%5.2%22.7%12.9%18.4%2.1%-0.4%112.0M-2.35B-12.7M1.173.62N/AN/A42,49549,788575,105527,410
2017-02-14$89.64$82.5017.6%5.0%17.5%12.6%17.9%2.1%0.4%125.4M-2.80B-12.1M0.792.18N/AN/A74,03658,754581,979544,753
2017-02-15$90.62$85.0018.2%5.2%17.7%16.1%18.4%2.5%-0.1%124.9M-3.12B-12.0M0.701.79N/AN/A54,25138,184601,584567,474
2017-02-16$90.40$85.0017.3%5.0%17.2%11.1%18.3%2.3%-0.0%142.4M-3.04B-12.3M1.261.95N/AN/A42,68453,618609,286575,646
2017-02-17$90.25$85.0016.8%4.8%17.3%8.8%17.3%1.9%0.2%211.6M-3.02B-12.3M0.631.90N/AN/A49,77531,539616,197596,241
2017-02-21$91.05$85.0016.8%4.8%17.4%8.3%16.9%2.1%0.3%82.0M-2.48B-12.5M1.663.12N/AN/A26,55444,046514,705516,990
2017-02-22$90.95$85.0017.4%5.0%17.2%11.5%17.7%2.1%0.1%80.7M-2.45B-12.3M1.493.91N/AN/A36,41154,418522,545528,275
2017-02-23$91.03$85.0017.5%5.0%16.7%12.5%18.2%2.3%0.1%82.2M-2.37B-12.6M1.153.26N/AN/A33,25938,196544,794558,362
2017-02-24$90.12$85.0017.7%5.1%17.2%13.4%18.1%2.3%0.1%58.8M-2.03B-13.5M1.363.43N/AN/A36,01648,818554,628571,431
2017-02-27$90.55$85.0018.3%5.4%17.2%16.3%19.2%2.2%0.4%69.5M-2.13B-12.9M1.353.57N/AN/A21,05228,495547,500563,610
2017-02-28$90.68$85.0018.8%5.5%16.5%18.9%20.1%2.3%0.2%67.7M-2.14B-13.5M1.363.72N/AN/A22,64630,859555,093579,082