JPM Options History — November 2017

In November 2017, JPM traded between $97.25 and $104.61. ATM implied volatility averaged 16.7%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.7% (HV 20d: 14.0%). Max pain ranged from $95.00 to $97.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.61.

Notable Days

2017-11-29: Highest Volume — 228,705 contracts
2017-11-07: Largest IV spike — 14.3% change
2017-11-30: Highest IV Rank — 58.0%
2017-11-30: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$99.47	$97.25	$104.61	$100.88	$104.61
Max Pain	$95.95	$95.00	$97.50	$97.50	$97.50
ATM IV	16.7%	14.8%	19.7%	15.3%	19.7%
Expected Move	5.0%	4.6%	6.0%	4.7%	6.0%
HV 20d	14.0%	11.7%	19.1%	12.7%	19.1%
HV 60d	15.0%	14.5%	16.2%	14.8%	15.7%
IV Rank	30.0%	12.1%	58.0%	17.0%	58.0%
IV Percentile	37.3%	9.1%	82.1%	17.1%	82.1%
Term Structure	0.1%	-1.9%	1.4%	0.7%	-1.9%
VWIV	17.9%	16.3%	21.3%	17.1%	21.3%
Skew 25d	0.9%	-0.4%	2.2%	0.6%	1.4%
Skew 10d	1.7%	-0.4%	5.6%	1.2%	1.7%
Call IV 25d	16.8%	14.6%	18.7%	15.5%	18.6%
Put IV 25d	17.7%	15.4%	20.2%	16.1%	20.0%
Bid-Ask Spread %	4.43	2.23	8.95	3.42	8.60
Gamma HHI	0.13	0.11	0.18	0.13	0.13
Net GEX	80.9M	26.2M	130.6M	107.2M	125.2M
Net DEX	-1.73B	-3.01B	-1.05B	-2.29B	-3.01B
Net VEX	-11.0M	-11.5M	-10.4M	-11.5M	-10.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.31	1.31	0.63	0.64
Total Volume	87,042.714	47,060	228,705	50,926	191,287
Total OI	1,270,666.286	1,195,786	1,362,075	1,250,085	1,269,162

Daily Data (21 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
2017-11-01	$100.88	$97.50	15.3%	4.7%	12.7%	17.0%	17.1%	0.6%	0.7%	107.2M	-2.29B	-11.5M	0.63	3.42	N/A	N/A	31,215	19,711	618,880	631,205
2017-11-02	$101.53	$95.00	15.8%	5.0%	12.7%	20.3%	17.8%	0.8%	0.4%	117.2M	-2.52B	-11.1M	0.57	4.15	N/A	N/A	42,171	24,036	630,338	637,253
2017-11-03	$101.36	$95.00	14.8%	4.7%	12.7%	12.4%	16.9%	0.8%	0.5%	111.4M	-2.47B	-11.1M	0.64	2.69	N/A	N/A	36,780	23,448	639,721	639,907
2017-11-06	$100.75	$95.00	14.8%	4.7%	12.7%	12.1%	16.3%	1.3%	1.4%	102.5M	-2.18B	-10.8M	0.69	2.23	N/A	N/A	27,929	19,131	615,505	626,306
2017-11-07	$98.62	$95.00	16.9%	5.0%	15.0%	29.6%	17.4%	1.2%	0.6%	74.1M	-1.49B	-11.1M	0.63	2.84	N/A	N/A	56,023	35,094	619,459	631,812
2017-11-08	$97.62	$95.00	17.2%	5.1%	15.3%	32.6%	18.6%	1.7%	0.5%	58.9M	-1.18B	-11.1M	0.79	2.91	N/A	N/A	48,603	38,163	629,165	638,234
2017-11-09	$97.62	$95.00	17.7%	5.1%	15.1%	36.7%	18.0%	1.4%	-0.0%	68.8M	-1.18B	-11.5M	0.42	4.93	N/A	N/A	66,801	28,373	641,375	648,517
2017-11-10	$97.52	$95.00	17.5%	5.0%	15.1%	35.2%	17.9%	1.8%	-0.1%	78.7M	-1.20B	-11.2M	0.49	5.59	N/A	N/A	42,798	21,054	663,637	649,182
2017-11-13	$97.84	$95.00	17.5%	5.1%	13.1%	35.2%	17.8%	2.2%	-0.4%	78.2M	-1.31B	-11.0M	0.86	3.19	N/A	N/A	25,954	22,410	650,751	634,758
2017-11-14	$97.25	$95.00	17.0%	4.9%	13.2%	31.1%	17.5%	1.8%	-0.1%	60.6M	-1.05B	-11.2M	0.56	3.14	N/A	N/A	57,663	32,062	654,354	641,432
2017-11-15	$98.54	$95.00	17.7%	5.1%	13.9%	39.4%	17.9%	0.6%	-0.2%	102.8M	-1.52B	-11.3M	0.60	4.31	N/A	N/A	57,574	34,686	675,053	647,928
2017-11-16	$98.49	$95.00	17.1%	4.9%	13.9%	34.3%	18.0%	0.1%	-0.4%	107.7M	-1.54B	-11.1M	0.50	4.25	N/A	N/A	55,277	27,495	687,863	654,210
2017-11-17	$98.04	$95.00	16.5%	4.7%	12.9%	28.7%	17.5%	-0.4%	-0.2%	37.3M	-1.42B	-10.8M	0.47	3.20	N/A	N/A	60,835	28,350	705,017	657,058
2017-11-20	$98.99	$95.00	16.3%	4.8%	13.4%	27.4%	18.5%	0.3%	-0.2%	65.3M	-1.54B	-10.7M	0.37	5.99	N/A	N/A	60,875	22,759	609,854	585,932
2017-11-21	$99.02	$97.50	16.3%	4.7%	12.1%	27.5%	17.3%	0.6%	-0.2%	68.8M	-1.52B	-10.8M	1.31	4.95	N/A	N/A	30,316	39,588	630,844	594,088
2017-11-22	$98.67	$97.50	16.6%	4.7%	12.0%	29.5%	17.1%	0.8%	-0.4%	45.7M	-1.40B	-10.8M	0.74	4.35	N/A	N/A	32,472	24,008	634,803	613,464
2017-11-24	$98.32	$97.50	15.7%	4.6%	11.7%	21.8%	16.9%	0.4%	-0.1%	36.9M	-1.29B	-10.7M	0.64	8.95	N/A	N/A	30,536	19,519	640,226	619,439
2017-11-27	$97.98	$97.50	15.3%	4.6%	11.7%	17.9%	16.7%	0.6%	0.6%	26.2M	-1.19B	-10.4M	0.62	3.31	N/A	N/A	33,156	20,605	611,320	608,283
2017-11-28	$101.37	$97.50	17.2%	5.3%	17.3%	35.3%	19.0%	-0.4%	0.5%	95.3M	-2.19B	-10.4M	0.45	4.99	N/A	N/A	89,964	40,471	620,790	613,179
2017-11-29	$103.86	$97.50	18.6%	5.7%	19.0%	48.4%	20.6%	1.6%	0.5%	130.6M	-2.86B	-10.7M	0.31	5.10	N/A	N/A	175,069	53,636	638,349	625,339
2017-11-30	$104.61	$97.50	19.7%	6.0%	19.1%	58.0%	21.3%	1.4%	-1.9%	125.2M	-3.01B	-10.8M	0.64	8.60	N/A	N/A	116,911	74,376	628,820	640,342