JPM Options History — October 2017 In October 2017, JPM traded between $95.87 and $101.80. ATM implied volatility averaged 15.7%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.8% (HV 20d: 13.8%). Max pain ranged from $92.50 to $97.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2017-10-04 : Highest Volume — 347,211 contracts2017-10-13 : Largest IV drop — 7.7% change2017-10-09 : Highest IV Rank — 38.2%2017-10-09 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $98.36 $95.87 $101.80 $96.85 $100.63 Max Pain $94.66 $92.50 $97.50 $92.50 $97.50 ATM IV 15.7% 13.8% 17.9% 15.9% 15.8% Expected Move 4.6% 4.0% 5.0% 4.8% 4.7% HV 20d 13.8% 12.5% 18.2% 18.2% 13.6% HV 60d 14.8% 14.5% 15.1% 14.6% 14.8% IV Rank 19.6% 3.8% 38.2% 21.7% 20.5% IV Percentile 19.0% 1.2% 51.2% 19.4% 21.0% Term Structure -0.0% -0.8% 0.7% 0.1% 0.3% VWIV 16.6% 14.2% 21.6% 18.2% 16.8% Skew 25d 1.4% 0.8% 2.4% 2.4% 1.2% Skew 10d 2.8% 1.3% 4.8% 4.8% 2.3% Call IV 25d 15.5% 13.7% 17.3% 15.3% 15.7% Put IV 25d 16.8% 15.0% 19.0% 17.7% 16.9% Bid-Ask Spread % 3.47 2.08 5.77 4.13 3.80 Gamma HHI 0.13 0.09 0.22 0.10 0.13 Net GEX 117.9M 83.7M 171.9M 117.1M 104.7M Net DEX -2.05B -2.69B -1.29B -2.30B -2.22B Net VEX -11.6M -12.0M -11.0M -11.6M -11.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.14 0.96 0.43 0.70 Total Volume 109,265.591 51,326 347,211 146,021 51,326 Total OI 1,239,280.318 1,154,931 1,319,444 1,227,822 1,242,160
Daily Data (22 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 2017-10-02 $96.85 $92.50 15.9% 4.8% 18.2% 21.7% 18.2% 2.4% 0.1% 117.1M -2.30B -11.6M 0.43 4.13 N/A N/A 102,167 43,854 650,956 576,866 2017-10-03 $97.39 $92.50 16.4% 4.8% 14.4% 25.3% 18.2% 2.0% -0.0% 126.8M -2.48B -11.7M 0.61 3.19 N/A N/A 65,923 40,447 662,518 587,716 2017-10-04 $96.30 $92.50 16.5% 5.0% 15.3% 26.9% 21.6% 2.2% -0.1% 115.3M -2.03B -11.9M 0.14 3.51 N/A N/A 304,144 43,067 665,377 600,132 2017-10-05 $97.02 $92.50 17.3% 4.9% 12.8% 33.4% 17.7% 1.9% -0.1% 108.5M -1.65B -11.8M 0.73 5.77 N/A N/A 62,769 45,769 587,487 611,352 2017-10-06 $96.83 $92.50 16.9% 4.8% 12.9% 29.5% 18.1% 1.6% -0.1% 84.6M -1.58B -11.8M 0.66 2.83 N/A N/A 60,590 40,175 592,831 625,112 2017-10-09 $96.32 $92.50 17.9% 5.0% 12.6% 38.2% 17.3% 1.7% -0.5% 83.7M -1.45B -11.8M 0.64 2.27 N/A N/A 54,218 34,535 571,210 607,115 2017-10-10 $97.15 $95.00 16.8% 4.7% 12.5% 29.0% 16.9% 1.7% -0.4% 111.1M -1.75B -11.7M 0.77 2.23 N/A N/A 30,175 23,332 600,438 620,494 2017-10-11 $96.54 $95.00 16.4% 4.6% 12.9% 25.6% 17.0% 1.4% -0.2% 102.5M -1.51B -12.0M 0.91 4.48 N/A N/A 60,321 54,764 606,880 626,808 2017-10-12 $95.94 $95.00 15.4% 4.5% 13.2% 17.6% 15.8% 1.0% 0.5% 89.3M -1.33B -11.7M 0.73 4.78 N/A N/A 69,752 50,861 628,278 649,731 2017-10-13 $95.87 $95.00 14.2% 4.2% 13.1% 7.7% 14.8% 1.3% 0.7% 102.3M -1.29B -11.8M 0.96 4.81 N/A N/A 46,802 44,905 638,315 657,604 2017-10-16 $97.94 $95.00 15.0% 4.3% 14.1% 13.7% 15.4% 1.0% -0.8% 146.3M -2.04B -11.1M 0.69 2.08 N/A N/A 61,537 42,357 611,002 633,676 2017-10-17 $97.50 $95.00 14.4% 4.2% 13.9% 9.2% 14.9% 1.2% -0.4% 143.5M -1.84B -11.7M 0.68 2.92 N/A N/A 40,147 27,421 621,286 640,809 2017-10-18 $98.00 $95.00 14.4% 4.1% 13.9% 8.7% 14.2% 1.3% -0.4% 171.9M -2.11B -11.1M 0.52 2.92 N/A N/A 62,699 32,741 628,697 649,752 2017-10-19 $97.99 $95.00 14.5% 4.2% 13.8% 9.6% 14.6% 1.4% -0.3% 161.9M -2.04B -11.3M 0.64 3.07 N/A N/A 42,217 26,989 642,394 660,557 2017-10-20 $99.42 $95.00 13.8% 4.0% 14.5% 3.8% 14.4% 0.8% -0.2% 157.8M -2.69B -11.0M 0.40 2.20 N/A N/A 109,210 43,525 653,322 666,122 2017-10-23 $99.30 $95.00 14.4% 4.2% 14.0% 8.8% 15.3% 1.4% 0.2% 107.3M -2.06B -11.4M 0.57 4.31 N/A N/A 42,352 24,035 574,609 580,322 2017-10-24 $100.86 $95.00 15.2% 4.4% 14.5% 15.6% 15.9% 1.2% 0.2% 116.3M -2.50B -11.5M 0.82 2.60 N/A N/A 82,761 68,161 586,780 589,417 2017-10-25 $101.10 $95.00 15.9% 4.6% 13.6% 21.6% 16.8% 1.0% 0.1% 111.2M -2.47B -11.7M 0.89 3.62 N/A N/A 49,081 43,645 602,157 608,723 2017-10-26 $101.80 $95.00 16.4% 4.9% 13.7% 25.5% 17.5% 1.1% -0.2% 116.4M -2.64B -12.0M 0.77 4.24 N/A N/A 66,225 51,060 605,229 616,645 2017-10-27 $101.62 $97.50 15.4% 4.6% 13.8% 17.6% 17.0% 0.9% 0.3% 110.2M -2.62B -11.4M 0.53 3.62 N/A N/A 62,223 32,961 624,783 633,083 2017-10-30 $101.48 $97.50 15.8% 4.8% 13.2% 21.0% 17.1% 0.9% 0.6% 104.8M -2.42B -11.6M 0.53 2.98 N/A N/A 41,020 21,580 605,412 620,010 2017-10-31 $100.63 $97.50 15.8% 4.7% 13.6% 20.5% 16.8% 1.2% 0.3% 104.7M -2.22B -11.6M 0.70 3.80 N/A N/A 30,134 21,192 615,848 626,312
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