JPM Options History — September 2017 In September 2017, JPM traded between $88.39 and $95.43. ATM implied volatility averaged 17.1%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.3% (HV 20d: 16.7%). Max pain ranged from $90.00 to $92.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.72.
Notable Days 2017-09-08 : Highest Volume — 128,060 contracts2017-09-05 : Largest IV spike — 22.9% change2017-09-05 : Highest IV Rank — 44.9%2017-09-08 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $92.38 $88.39 $95.43 $91.82 $95.43 Max Pain $92.38 $90.00 $92.50 $90.00 $92.50 ATM IV 17.1% 15.2% 18.7% 15.2% 15.9% Expected Move 5.0% 4.1% 5.8% 4.1% 4.7% HV 20d 16.7% 11.8% 18.0% 11.8% 17.9% HV 60d 14.6% 13.6% 15.3% 13.6% 14.3% IV Rank 31.5% 15.9% 44.9% 15.9% 21.9% IV Percentile 33.2% 11.5% 58.7% 11.5% 19.4% Term Structure 0.4% -0.5% 2.1% 0.5% 0.0% VWIV 17.8% 15.1% 20.8% 15.1% 17.8% Skew 25d 2.8% 2.0% 3.7% 2.0% 2.4% Skew 10d 5.4% 4.4% 6.6% 4.5% 4.5% Call IV 25d 16.1% 14.8% 17.7% 14.8% 15.3% Put IV 25d 18.9% 16.8% 21.3% 16.8% 17.7% Bid-Ask Spread % 3.61 2.22 8.23 3.82 3.51 Gamma HHI 0.10 0.08 0.18 0.11 0.18 Net GEX 64.7M -20.4M 173.5M 91.6M 173.5M Net DEX -1.19B -1.98B -22.8M -1.16B -1.98B Net VEX -12.0M -12.6M -11.6M -12.6M -11.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.35 1.36 0.76 0.35 Total Volume 85,313.65 54,039 128,060 77,683 84,780 Total OI 1,240,245.95 1,096,437 1,343,008 1,293,331 1,240,562
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 2017-09-01 $91.82 $90.00 15.2% 4.1% 11.8% 15.9% 15.1% 2.0% 0.5% 91.6M -1.16B -12.6M 0.76 3.82 N/A N/A 44,161 33,522 711,940 581,391 2017-09-05 $89.36 $92.50 18.7% 5.5% 14.9% 44.9% 20.8% 3.6% 0.7% 6.3M -371.4M -12.1M 0.84 2.25 N/A N/A 59,737 50,426 687,237 573,118 2017-09-06 $90.13 $92.50 17.2% 5.4% 15.4% 32.5% 20.2% 2.9% 2.1% 5.4M -554.2M -12.2M 1.18 2.46 N/A N/A 33,424 39,535 688,342 597,051 2017-09-07 $88.39 $92.50 18.7% 5.6% 16.6% 44.9% 19.3% 3.4% 1.4% -20.4M -32.6M -12.1M 0.69 2.32 N/A N/A 48,655 33,524 695,353 613,533 2017-09-08 $88.46 $92.50 18.7% 5.8% 16.2% 44.7% 19.3% 3.3% 1.8% -18.5M -22.8M -12.5M 0.36 2.53 N/A N/A 93,991 34,069 711,643 619,873 2017-09-11 $89.92 $92.50 17.8% 5.3% 17.4% 37.6% 18.4% 3.7% -0.2% 9.3M -575.1M -11.8M 0.59 2.48 N/A N/A 56,346 33,249 669,429 614,231 2017-09-12 $90.87 $92.50 17.6% 5.1% 17.3% 35.7% 18.6% 3.1% 0.3% 51.5M -943.0M -11.7M 0.54 4.37 N/A N/A 64,433 34,772 688,249 618,131 2017-09-13 $91.22 $92.50 17.0% 5.0% 17.3% 30.3% 17.1% 2.9% 0.9% 68.9M -1.03B -12.0M 0.59 2.32 N/A N/A 40,940 24,305 698,761 621,182 2017-09-14 $90.95 $92.50 17.6% 5.1% 17.0% 35.7% 17.3% 2.9% 0.2% 61.2M -940.0M -11.9M 0.80 2.35 N/A N/A 39,061 31,149 708,968 623,075 2017-09-15 $91.53 $92.50 17.2% 4.9% 16.3% 32.8% 18.0% 2.5% -0.5% 72.0M -1.17B -11.6M 0.55 3.19 N/A N/A 53,155 29,165 712,624 630,384 2017-09-18 $92.91 $92.50 16.9% 4.8% 17.1% 29.5% 16.9% 2.9% -0.0% 59.4M -1.27B -11.6M 0.58 3.95 N/A N/A 63,073 36,584 558,220 538,217 2017-09-19 $94.01 $92.50 16.8% 4.8% 17.4% 29.0% 17.6% 2.8% -0.1% 77.7M -1.59B -11.8M 0.53 4.24 N/A N/A 52,891 28,245 577,800 548,458 2017-09-20 $94.59 $92.50 16.3% 4.7% 17.1% 24.5% 16.7% 2.8% 0.2% 88.2M -1.75B -12.1M 0.47 2.57 N/A N/A 78,366 36,642 585,442 555,760 2017-09-21 $95.03 $92.50 16.2% 4.6% 17.2% 23.8% 16.3% 2.8% 0.1% 105.5M -1.91B -12.2M 0.72 4.98 N/A N/A 46,529 33,511 610,500 562,819 2017-09-22 $94.86 $92.50 16.0% 4.5% 17.2% 22.6% 16.7% 2.7% 0.4% 97.4M -1.89B -12.0M 1.36 8.23 N/A N/A 33,359 45,368 622,482 568,955 2017-09-25 $94.07 $92.50 17.0% 4.9% 17.4% 31.0% 16.9% 2.7% 0.1% 83.5M -1.51B -11.8M 1.14 3.33 N/A N/A 33,283 37,811 606,727 555,123 2017-09-26 $93.65 $92.50 17.5% 5.0% 17.3% 34.7% 17.7% 2.7% 0.1% 68.9M -1.32B -12.2M 1.00 7.04 N/A N/A 30,532 30,491 614,428 566,406 2017-09-27 $95.22 $92.50 17.3% 5.1% 18.0% 32.9% 18.5% 2.5% 0.1% 105.1M -1.90B -11.7M 0.79 3.95 N/A N/A 57,635 45,515 625,683 575,269 2017-09-28 $95.28 $92.50 16.3% 4.8% 18.0% 25.2% 17.3% 2.4% 0.0% 107.9M -1.93B -11.6M 0.57 2.22 N/A N/A 34,525 19,514 638,509 589,044 2017-09-29 $95.43 $92.50 15.9% 4.7% 17.9% 21.9% 17.8% 2.4% 0.0% 173.5M -1.98B -11.7M 0.35 3.51 N/A N/A 62,819 21,961 651,263 589,299
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