JPM Options History — April 2017

In April 2017, JPM traded between $84.40 and $88.53. ATM implied volatility averaged 19.6%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.8% (HV 20d: 15.8%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.99.

Notable Days

  • 2017-04-13: Highest Volume — 223,097 contracts
  • 2017-04-24: Largest IV drop — 12.3% change
  • 2017-04-11: Highest IV Rank — 47.3%
  • 2017-04-12: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.30$84.40$88.53$87.68$86.95
Max Pain$86.74$85.00$90.00$90.00$86.00
ATM IV19.6%15.9%24.1%19.7%16.0%
Expected Move5.5%4.4%6.6%5.3%4.4%
HV 20d15.8%11.3%17.9%16.1%17.1%
HV 60d18.1%16.9%19.0%18.9%18.2%
IV Rank23.2%3.6%47.3%24.1%4.2%
IV Percentile51.1%4.0%92.9%57.1%4.8%
Term Structure-0.2%-2.3%1.0%-0.3%1.0%
VWIV19.4%15.7%23.4%18.2%15.7%
Skew 25d3.1%1.7%4.2%1.7%2.7%
Skew 10d6.2%3.4%8.4%5.0%4.8%
Call IV 25d18.3%14.7%22.3%18.6%14.7%
Put IV 25d21.4%17.3%26.1%20.3%17.4%
Bid-Ask Spread %5.663.249.546.244.52
Gamma HHI0.080.060.150.070.08
Net GEX9.5M-57.7M84.9M26.9M37.1M
Net DEX-364.0M-1.49B334.3M-721.0M-885.8M
Net VEX-12.3M-13.0M-11.6M-12.2M-12.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.541.410.541.19
Total Volume110,641.05367,157223,097180,98973,774
Total OI1,220,9341,073,3621,338,4851,164,7441,185,611

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$87.68$90.0019.7%5.3%16.1%24.1%18.2%1.7%-0.3%26.9M-721.0M-12.2M0.546.24N/AN/A117,28463,705572,649592,095
2017-04-04$87.30$90.0019.1%5.4%16.0%21.0%19.3%2.9%0.2%28.0M-373.8M-12.2M0.786.69N/AN/A41,79232,413562,306620,069
2017-04-05$86.48$90.0020.7%6.1%16.2%29.4%21.2%3.2%-0.6%8.5M-169.3M-12.7M0.799.54N/AN/A54,43242,983570,216621,136
2017-04-06$86.51$87.5021.1%5.9%16.1%31.4%20.1%2.8%-0.2%6.5M-158.4M-12.9M1.296.57N/AN/A49,00163,084582,865635,611
2017-04-07$86.30$87.5020.8%5.8%16.1%29.6%20.4%3.1%0.1%-14.6M-65.5M-12.9M1.223.87N/AN/A36,47944,645597,967653,923
2017-04-10$85.75$87.5021.9%6.3%16.1%35.5%22.2%3.6%0.5%5.9M-97.1M-12.7M1.204.43N/AN/A39,66447,596556,521625,337
2017-04-11$85.55$87.5024.1%6.6%16.0%47.3%23.0%3.2%-1.1%1.5M-43.6M-13.0M1.034.42N/AN/A43,58744,775564,197644,851
2017-04-12$85.38$87.5023.5%6.6%15.9%44.1%22.9%4.0%-0.2%-4.5M2.2M-12.8M1.224.89N/AN/A74,44690,838571,054657,409
2017-04-13$84.70$87.5021.9%5.9%15.9%35.8%20.3%4.0%-2.3%-57.7M334.3M-12.4M0.646.16N/AN/A135,82587,272600,747687,665
2017-04-17$84.49$85.0020.9%5.9%15.8%30.5%23.4%3.8%0.0%-38.4M285.4M-12.3M0.793.24N/AN/A37,51829,639580,233676,579
2017-04-18$85.33$85.0019.6%5.6%16.5%23.3%18.8%4.1%-0.4%-12.2M-10.6M-12.1M1.414.63N/AN/A34,34948,464604,886690,163
2017-04-19$84.40$85.0019.4%5.5%11.3%22.0%19.3%3.9%-0.6%-52.9M313.6M-12.1M1.019.19N/AN/A47,65448,287611,585711,078
2017-04-20$85.71$85.0018.5%5.3%12.7%17.5%18.6%3.4%-0.3%24.3M-208.7M-12.2M0.885.23N/AN/A42,56137,455623,500710,980
2017-04-21$84.86$85.0019.3%5.6%13.0%21.5%19.8%4.2%-0.6%-51.7M184.5M-12.3M1.127.36N/AN/A49,24055,104626,490711,995
2017-04-24$87.64$85.0016.9%4.8%17.7%9.1%16.8%2.7%0.0%64.9M-1.19B-11.6M0.808.93N/AN/A103,61083,239472,369600,993
2017-04-25$88.38$85.0016.1%4.6%17.9%4.8%16.5%2.1%0.8%84.9M-1.49B-12.0M0.874.22N/AN/A68,03159,022515,057627,661
2017-04-26$88.53$85.5016.5%4.6%17.0%7.1%16.8%2.3%0.1%71.0M-1.45B-11.9M1.063.60N/AN/A36,54638,629521,016642,521
2017-04-27$87.71$86.5015.9%4.6%17.2%3.6%15.9%2.0%0.0%53.7M-1.16B-11.8M1.033.88N/AN/A48,93550,302523,161645,250
2017-04-28$86.95$86.0016.0%4.4%17.1%4.2%15.7%2.7%1.0%37.1M-885.8M-12.2M1.194.52N/AN/A33,63540,139535,982649,629