JPM Options History — August 2017 In August 2017, JPM traded between $90.63 and $94.09. ATM implied volatility averaged 15.4%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.3% (HV 20d: 13.1%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.70.
Notable Days 2017-08-04 : Highest Volume — 118,443 contracts2017-08-17 : Largest IV spike — 19.1% change2017-08-11 : Highest IV Rank — 36.8%2017-08-17 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $92.12 $90.63 $94.09 $92.90 $90.90 Max Pain $90.00 $90.00 $90.00 $90.00 $90.00 ATM IV 15.4% 13.3% 17.7% 13.5% 16.7% Expected Move 4.4% 3.7% 5.0% 3.7% 4.4% HV 20d 13.1% 11.5% 14.7% 12.1% 12.6% HV 60d 15.2% 13.7% 16.9% 16.4% 13.7% IV Rank 17.5% 0.0% 36.8% 0.0% 28.6% IV Percentile 14.6% 0.0% 42.5% 0.0% 25.0% Term Structure 0.2% -0.5% 0.9% 0.3% -0.4% VWIV 15.3% 13.2% 18.5% 13.2% 16.2% Skew 25d 2.7% 1.8% 4.1% 2.0% 2.0% Skew 10d 5.7% 3.2% 9.2% 3.7% 4.3% Call IV 25d 14.4% 12.7% 16.8% 12.8% 16.1% Put IV 25d 17.1% 14.7% 20.1% 14.8% 18.1% Bid-Ask Spread % 2.56 1.48 6.19 1.78 4.06 Gamma HHI 0.14 0.09 0.20 0.16 0.10 Net GEX 102.8M 21.4M 181.2M 158.3M 34.6M Net DEX -1.44B -2.39B -754.6M -2.04B -817.7M Net VEX -12.8M -13.8M -12.2M -12.7M -12.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.37 0.96 0.58 0.65 Total Volume 72,472.696 47,658 118,443 54,004 75,195 Total OI 1,257,030.174 1,136,536 1,356,710 1,236,704 1,263,780
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 2017-08-01 $92.90 $90.00 13.5% 3.7% 12.1% 0.0% 13.2% 2.0% 0.3% 158.3M -2.04B -12.7M 0.58 1.78 N/A N/A 34,264 19,740 668,156 568,548 2017-08-02 $92.98 $90.00 13.3% 3.7% 11.5% 0.0% 13.2% 2.0% 0.2% 155.5M -2.01B -13.1M 0.52 2.21 N/A N/A 36,501 19,070 673,580 573,287 2017-08-03 $92.30 $90.00 14.0% 4.2% 11.8% 5.6% 15.2% 2.2% 0.0% 144.8M -1.76B -13.1M 0.94 3.00 N/A N/A 29,682 27,966 685,197 578,199 2017-08-04 $93.74 $90.00 13.8% 4.3% 13.1% 3.8% 15.0% 1.8% 0.3% 181.2M -2.38B -13.2M 0.54 1.87 N/A N/A 76,854 41,589 692,625 588,842 2017-08-07 $94.09 $90.00 14.6% 4.3% 13.0% 10.5% 15.8% 1.8% 0.5% 164.6M -2.39B -13.4M 0.57 1.48 N/A N/A 30,634 17,310 680,199 574,847 2017-08-08 $93.84 $90.00 15.0% 4.3% 12.9% 13.9% 15.6% 1.8% 0.1% 161.5M -2.27B -13.4M 0.70 2.13 N/A N/A 60,378 42,355 684,342 581,828 2017-08-09 $93.36 $90.00 15.1% 4.5% 13.0% 14.7% 15.1% 2.1% 0.7% 147.8M -2.06B -13.1M 0.68 2.32 N/A N/A 40,972 27,990 691,806 596,723 2017-08-10 $92.21 $90.00 17.3% 4.9% 13.5% 33.7% 17.1% 3.3% -0.2% 123.4M -1.55B -13.2M 0.87 2.20 N/A N/A 42,306 36,906 703,391 602,899 2017-08-11 $91.56 $90.00 17.7% 5.0% 13.4% 36.8% 18.5% 3.3% -0.5% 106.8M -1.23B -13.8M 0.93 2.10 N/A N/A 38,513 35,845 710,600 608,390 2017-08-14 $92.55 $90.00 15.3% 4.4% 13.2% 16.8% 15.0% 3.2% 0.2% 149.6M -1.67B -12.5M 0.75 1.86 N/A N/A 27,234 20,424 694,603 606,592 2017-08-15 $92.98 $90.00 14.8% 4.3% 13.2% 12.4% 14.4% 2.6% 0.2% 177.2M -1.89B -12.5M 0.83 1.50 N/A N/A 31,104 25,856 700,546 610,702 2017-08-16 $92.05 $90.00 14.7% 4.2% 13.8% 11.4% 14.9% 3.0% 0.5% 133.4M -1.38B -12.3M 0.91 2.51 N/A N/A 36,677 33,368 703,950 621,451 2017-08-17 $90.71 $90.00 17.5% 5.0% 14.7% 34.8% 16.9% 4.1% 0.3% 46.0M -761.6M -12.6M 0.96 1.69 N/A N/A 43,191 41,421 711,921 632,068 2017-08-18 $91.01 $90.00 16.7% 4.8% 14.5% 27.9% 16.3% 4.0% -0.3% 21.4M -900.4M -12.2M 0.72 2.69 N/A N/A 43,959 31,849 718,243 638,467 2017-08-21 $90.63 $90.00 15.6% 4.4% 14.4% 19.4% 14.7% 3.3% 0.2% 33.0M -754.6M -12.3M 0.78 2.06 N/A N/A 44,223 34,637 612,485 524,051 2017-08-22 $91.60 $90.00 15.3% 4.2% 13.7% 16.2% 14.6% 2.9% 0.2% 61.6M -1.05B -12.6M 0.41 1.74 N/A N/A 51,724 21,347 622,609 534,251 2017-08-23 $91.75 $90.00 15.5% 4.1% 13.1% 18.3% 14.6% 2.9% 0.2% 72.7M -1.14B -12.3M 0.59 1.96 N/A N/A 45,076 26,760 646,735 543,342 2017-08-24 $91.57 $90.00 15.7% 4.3% 13.0% 19.4% 15.1% 3.1% 0.4% 64.1M -1.03B -12.7M 0.85 2.99 N/A N/A 36,501 31,148 652,372 550,589 2017-08-25 $92.15 $90.00 15.3% 4.1% 13.2% 16.3% 14.7% 3.0% 0.5% 91.2M -1.26B -12.5M 0.66 2.74 N/A N/A 44,796 29,398 657,833 563,095 2017-08-28 $91.53 $90.00 15.7% 4.2% 13.1% 19.8% 14.7% 2.7% 0.9% 50.3M -995.0M -12.5M 0.47 2.38 N/A N/A 42,968 20,042 645,140 549,808 2017-08-29 $91.13 $90.00 16.0% 4.5% 12.8% 22.0% 15.6% 3.0% 0.5% 38.1M -878.5M -12.5M 0.76 5.39 N/A N/A 51,417 39,265 655,925 552,351 2017-08-30 $91.28 $90.00 15.7% 4.4% 12.8% 19.8% 15.8% 2.7% 0.6% 47.8M -958.5M -12.3M 0.37 6.19 N/A N/A 57,089 21,328 670,250 565,076 2017-08-31 $90.90 $90.00 16.7% 4.4% 12.6% 28.6% 16.2% 2.0% -0.4% 34.6M -817.7M -12.7M 0.65 4.06 N/A N/A 45,657 29,538 694,987 568,793
« Jul 2017 | All History | Sep 2017 » Home JPM History August 2017