JPM Options History — July 2017 In July 2017, JPM traded between $90.77 and $93.81. ATM implied volatility averaged 15.9%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.1% (HV 20d: 13.8%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.66.
Notable Days 2017-07-14 : Highest Volume — 209,124 contracts2017-07-14 : Largest IV drop — 12.9% change2017-07-06 : Highest IV Rank — 39.5%2017-07-06 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $92.28 $90.77 $93.81 $92.75 $92.11 Max Pain $89.88 $87.50 $90.00 $90.00 $90.00 ATM IV 15.9% 13.7% 19.2% 18.1% 13.7% Expected Move 4.6% 3.8% 5.6% 5.4% 3.8% HV 20d 13.8% 12.2% 15.1% 14.6% 12.4% HV 60d 17.0% 16.1% 17.8% 17.7% 16.3% IV Rank 14.9% 0.0% 39.5% 28.0% 0.0% IV Percentile 20.3% 0.0% 61.5% 44.8% 0.0% Term Structure 0.0% -0.9% 0.5% -0.3% 0.3% VWIV 16.2% 13.3% 19.7% 19.2% 13.3% Skew 25d 2.0% 1.7% 2.9% 2.3% 2.1% Skew 10d 4.3% 2.9% 5.9% 4.4% 4.7% Call IV 25d 15.2% 13.0% 18.2% 17.2% 13.0% Put IV 25d 17.3% 15.0% 21.1% 19.4% 15.0% Bid-Ask Spread % 3.05 1.52 8.97 8.97 2.04 Gamma HHI 0.13 0.11 0.16 0.13 0.16 Net GEX 139.3M 98.1M 168.2M 133.8M 131.1M Net DEX -2.01B -2.66B -1.46B -2.27B -1.69B Net VEX -13.3M -14.1M -12.5M -13.5M -12.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.34 1.63 0.34 0.54 Total Volume 99,798.9 48,806 209,124 157,565 48,806 Total OI 1,308,550.05 1,169,206 1,417,419 1,264,614 1,217,026
Daily Data (20 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 2017-07-03 $92.75 $90.00 18.1% 5.4% 14.6% 28.0% 19.2% 2.3% -0.3% 133.8M -2.27B -13.5M 0.34 8.97 N/A N/A 117,416 40,149 678,147 586,467 2017-07-05 $93.71 $90.00 18.2% 5.6% 14.7% 29.4% 19.7% 2.3% -0.5% 136.0M -2.58B -13.6M 0.55 6.47 N/A N/A 99,771 55,208 681,579 600,698 2017-07-06 $93.63 $87.50 19.2% 5.6% 14.7% 39.5% 19.2% 2.9% -0.0% 127.7M -2.53B -14.1M 0.50 3.59 N/A N/A 106,321 52,742 698,644 618,310 2017-07-07 $93.81 $90.00 18.4% 5.1% 14.6% 34.4% 18.3% 2.5% -0.6% 168.2M -2.66B -14.0M 0.43 2.45 N/A N/A 99,311 42,280 718,586 630,933 2017-07-10 $93.37 $90.00 18.0% 5.2% 13.6% 32.2% 18.9% 2.3% 0.4% 155.6M -2.55B -13.9M 0.64 1.91 N/A N/A 47,602 30,541 697,208 605,277 2017-07-11 $92.88 $90.00 18.4% 5.3% 14.0% 35.9% 18.6% 2.1% -0.1% 157.3M -2.40B -13.8M 0.70 2.28 N/A N/A 43,084 30,172 711,341 616,600 2017-07-12 $92.62 $90.00 17.6% 5.1% 14.1% 28.6% 17.8% 1.7% 0.3% 161.9M -2.31B -13.9M 0.59 2.09 N/A N/A 40,479 23,945 721,108 624,022 2017-07-13 $93.26 $90.00 17.5% 5.1% 14.0% 27.5% 18.3% 1.8% 0.3% 165.6M -2.55B -13.6M 0.75 7.08 N/A N/A 64,005 48,203 720,975 633,138 2017-07-14 $92.46 $90.00 15.2% 4.4% 14.2% 6.7% 15.7% 1.7% 0.4% 107.0M -2.16B -13.7M 0.64 2.64 N/A N/A 127,748 81,376 742,817 652,581 2017-07-17 $91.33 $90.00 15.0% 4.3% 15.1% 4.8% 15.7% 2.0% 0.2% 152.1M -1.76B -12.8M 0.49 2.47 N/A N/A 56,720 27,687 735,164 620,037 2017-07-18 $91.03 $90.00 15.8% 4.6% 13.4% 12.4% 16.0% 1.8% -0.3% 143.0M -1.62B -13.0M 0.53 1.92 N/A N/A 56,908 29,901 749,160 628,046 2017-07-19 $91.25 $90.00 15.0% 4.3% 13.1% 5.1% 14.6% 1.9% -0.9% 163.3M -1.71B -13.1M 0.60 1.84 N/A N/A 41,154 24,515 761,584 633,246 2017-07-20 $91.45 $90.00 13.9% 4.0% 12.9% 0.0% 14.1% 2.0% 0.1% 162.7M -1.79B -13.0M 0.47 1.96 N/A N/A 58,517 27,757 767,601 639,705 2017-07-21 $90.77 $90.00 14.0% 4.0% 13.3% 0.9% 13.9% 1.8% -0.3% 98.1M -1.46B -12.6M 0.49 1.52 N/A N/A 51,722 25,330 768,161 649,258 2017-07-24 $91.45 $90.00 13.9% 4.0% 13.3% 0.0% 14.2% 1.9% 0.3% 120.2M -1.55B -12.5M 1.63 2.50 N/A N/A 29,389 48,039 643,664 525,542 2017-07-25 $92.92 $90.00 14.3% 4.1% 14.0% 4.0% 14.4% 2.0% 0.1% 137.4M -2.02B -13.3M 0.43 2.31 N/A N/A 68,851 29,928 651,110 542,411 2017-07-26 $91.85 $90.00 14.1% 3.9% 14.7% 1.7% 13.6% 1.8% 0.5% 119.9M -1.64B -12.8M 0.50 2.13 N/A N/A 45,347 22,723 661,030 549,648 2017-07-27 $91.48 $90.00 14.6% 4.1% 13.5% 6.4% 14.5% 2.1% 0.1% 111.4M -1.51B -13.1M 1.49 1.82 N/A N/A 36,315 54,158 675,677 554,904 2017-07-28 $91.44 $90.00 13.9% 4.0% 12.2% 0.5% 14.0% 2.0% 0.1% 133.6M -1.46B -13.0M 0.88 3.11 N/A N/A 32,847 29,011 683,420 576,176 2017-07-31 $92.11 $90.00 13.7% 3.8% 12.4% 0.0% 13.3% 2.1% 0.3% 131.1M -1.69B -12.8M 0.54 2.04 N/A N/A 31,734 17,072 655,452 561,574
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