JPM Options History — March 2017 In March 2017, JPM traded between $87.21 and $93.87. ATM implied volatility averaged 18.9%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.5% (HV 20d: 18.4%). Max pain ranged from $85.00 to $92.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.88.
Notable Days 2017-03-01 : Highest Volume — 181,804 contracts2017-03-21 : Largest IV spike — 19.4% change2017-03-27 : Highest IV Rank — 30.0%2017-03-24 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $90.21 $87.21 $93.87 $93.87 $88.06 Max Pain $91.26 $85.00 $92.50 $85.00 $90.00 ATM IV 18.9% 17.0% 20.9% 18.3% 18.6% Expected Move 5.4% 4.8% 5.9% 5.3% 5.2% HV 20d 18.4% 15.9% 21.2% 18.9% 16.2% HV 60d 18.0% 17.1% 19.0% 17.4% 19.0% IV Rank 19.6% 9.8% 30.0% 16.4% 18.2% IV Percentile 42.2% 17.1% 69.4% 34.1% 41.3% Term Structure 0.2% -0.9% 1.5% 0.0% 0.1% VWIV 19.2% 16.9% 21.0% 19.0% 18.2% Skew 25d 2.6% 1.0% 3.6% 1.7% 2.6% Skew 10d 4.7% 1.7% 8.3% 4.4% 1.8% Call IV 25d 17.9% 16.0% 19.8% 17.7% 17.6% Put IV 25d 20.5% 18.4% 23.0% 19.4% 20.2% Bid-Ask Spread % 4.39 2.28 9.84 2.79 5.45 Gamma HHI 0.11 0.06 0.17 0.17 0.07 Net GEX 61.8M 1.4M 120.2M 89.3M 19.8M Net DEX -1.60B -3.11B -471.7M -3.11B -778.1M Net VEX -13.4M -14.2M -12.2M -12.8M -12.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.59 1.28 0.86 0.67 Total Volume 85,920.87 47,200 181,804 181,804 104,985 Total OI 1,213,529.217 1,041,654 1,334,396 1,148,688 1,202,444
Daily Data (23 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 2017-03-01 $93.87 $85.00 18.3% 5.3% 18.9% 16.4% 19.0% 1.7% 0.0% 89.3M -3.11B -12.8M 0.86 2.79 N/A N/A 97,915 83,889 559,692 588,996 2017-03-02 $92.20 $86.00 18.9% 5.4% 20.6% 19.6% 19.1% 1.5% 0.4% 79.2M -2.44B -14.1M 0.79 2.57 N/A N/A 53,917 42,468 588,292 623,356 2017-03-03 $92.78 $87.50 18.2% 5.1% 20.4% 16.1% 18.0% 1.0% 0.6% 120.2M -2.63B -13.8M 0.95 2.84 N/A N/A 42,375 40,393 612,991 641,313 2017-03-06 $91.96 $92.50 18.3% 5.6% 18.5% 16.5% 19.7% 2.1% 1.4% 88.5M -2.28B -13.8M 1.28 2.45 N/A N/A 29,826 38,036 597,115 619,119 2017-03-07 $91.37 $92.50 18.6% 5.5% 18.6% 18.1% 20.2% 2.5% 1.0% 83.6M -2.06B -13.5M 0.86 2.28 N/A N/A 30,003 25,816 611,063 635,044 2017-03-08 $91.33 $92.50 18.9% 5.6% 18.6% 19.6% 20.3% 2.6% 1.2% 87.5M -2.05B -13.4M 0.59 2.32 N/A N/A 51,453 30,269 620,179 642,184 2017-03-09 $91.51 $92.50 18.8% 5.6% 18.0% 19.3% 19.9% 2.7% 1.3% 95.5M -2.12B -14.2M 0.96 2.96 N/A N/A 29,652 28,487 641,854 655,096 2017-03-10 $91.25 $92.50 18.3% 5.6% 17.6% 16.5% 19.6% 2.0% 1.5% 76.9M -2.01B -13.9M 0.60 2.73 N/A N/A 60,636 36,526 645,108 663,906 2017-03-13 $91.37 $92.50 18.3% 5.1% 17.6% 16.6% 18.9% 3.1% -0.5% 100.0M -2.08B -13.4M 0.83 2.62 N/A N/A 30,029 25,014 636,560 641,825 2017-03-14 $91.55 $92.50 19.7% 5.3% 17.1% 23.9% 19.4% 2.7% -0.7% 96.4M -2.15B -13.6M 0.81 2.62 N/A N/A 29,815 24,007 640,462 651,074 2017-03-15 $91.64 $92.50 19.1% 5.1% 16.3% 20.9% 18.0% 2.6% -0.9% 102.7M -2.20B -13.3M 0.62 3.73 N/A N/A 55,707 34,279 648,466 658,119 2017-03-16 $91.72 $92.50 17.8% 4.9% 15.9% 13.8% 18.2% 2.9% -0.7% 105.9M -2.13B -13.2M 0.65 3.94 N/A N/A 45,720 29,810 654,030 667,991 2017-03-17 $90.87 $92.50 17.4% 4.9% 16.2% 11.7% 16.9% 2.9% -0.4% 53.7M -1.85B -13.1M 0.63 4.89 N/A N/A 46,027 28,772 658,274 676,122 2017-03-20 $90.43 $92.50 17.0% 4.8% 16.3% 9.8% 17.3% 2.4% 0.2% 52.4M -1.28B -12.8M 1.02 5.81 N/A N/A 23,414 23,786 512,914 528,740 2017-03-21 $87.21 $92.50 20.3% 5.8% 20.5% 27.3% 19.9% 3.3% -0.6% 10.5M -471.7M -13.4M 1.14 6.68 N/A N/A 73,610 83,952 521,036 537,957 2017-03-22 $87.65 $92.50 20.2% 5.8% 20.6% 26.3% 20.3% 3.4% -0.1% 9.0M -584.2M -12.9M 1.09 4.91 N/A N/A 46,987 51,372 538,339 578,056 2017-03-23 $87.38 $92.00 20.0% 5.7% 20.6% 25.5% 20.1% 3.3% -0.1% 5.2M -512.5M -13.3M 0.95 5.72 N/A N/A 38,639 36,660 556,297 596,579 2017-03-24 $87.34 $92.00 20.8% 5.9% 20.4% 29.4% 21.0% 3.6% -0.2% 1.4M -529.1M -13.4M 1.21 9.84 N/A N/A 37,117 45,073 567,084 605,365 2017-03-27 $87.32 $92.00 20.9% 5.9% 20.3% 30.0% 20.9% 2.6% -0.2% 13.7M -531.1M -13.7M 1.01 5.82 N/A N/A 39,555 40,059 547,646 596,004 2017-03-28 $88.73 $91.00 18.8% 5.4% 21.2% 19.1% 19.3% 2.4% 0.1% 39.4M -955.4M -13.7M 0.81 6.35 N/A N/A 58,405 47,451 560,463 609,160 2017-03-29 $88.26 $91.00 18.5% 5.3% 16.5% 17.5% 18.5% 2.6% 0.0% 33.6M -837.8M -13.4M 0.93 4.92 N/A N/A 32,195 29,926 576,651 615,257 2017-03-30 $89.11 $90.00 18.6% 5.3% 16.1% 18.0% 18.9% 2.5% 0.2% 56.7M -1.14B -12.4M 0.90 6.69 N/A N/A 48,460 43,693 573,935 609,014 2017-03-31 $88.06 $90.00 18.6% 5.2% 16.2% 18.2% 18.2% 2.6% 0.1% 19.8M -778.1M -12.2M 0.67 5.45 N/A N/A 62,978 42,007 588,109 614,335
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