JPM Options History — December 2017

In December 2017, JPM traded between $104.60 and $107.80. ATM implied volatility averaged 18.6%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.8% (HV 20d: 19.4%). Max pain ranged from $92.50 to $97.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.61.

Notable Days

2017-12-04: Highest Volume — 182,939 contracts
2017-12-04: Largest IV spike — 17.5% change
2017-12-04: Highest IV Rank — 72.3%
2017-12-01: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.30	$104.60	$107.80	$104.74	$107.38
Max Pain	$94.38	$92.50	$97.50	$97.50	$95.00
ATM IV	18.6%	17.4%	21.3%	18.1%	18.0%
Expected Move	5.5%	5.1%	6.5%	6.5%	5.2%
HV 20d	19.4%	15.5%	20.9%	19.0%	15.5%
HV 60d	15.9%	15.0%	16.2%	15.0%	15.7%
IV Rank	48.4%	37.2%	72.3%	43.5%	43.1%
IV Percentile	68.9%	51.6%	90.1%	64.3%	66.7%
Term Structure	0.2%	-1.2%	2.2%	0.2%	0.1%
VWIV	19.7%	18.2%	23.5%	23.5%	18.6%
Skew 25d	1.7%	1.2%	2.1%	1.2%	1.8%
Skew 10d	3.2%	1.1%	6.8%	1.1%	2.8%
Call IV 25d	18.1%	16.4%	20.9%	17.8%	17.2%
Put IV 25d	19.9%	17.6%	23.0%	19.1%	19.0%
Bid-Ask Spread %	3.95	1.94	7.34	4.45	4.16
Gamma HHI	0.15	0.11	0.23	0.12	0.17
Net GEX	102.6M	77.6M	144.7M	112.9M	79.6M
Net DEX	-2.75B	-3.45B	-2.34B	-2.92B	-2.47B
Net VEX	-10.6M	-11.5M	-10.1M	-11.2M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.34	1.00	0.47	0.67
Total Volume	80,296.15	38,725	182,939	152,030	61,682
Total OI	1,268,640.4	1,057,921	1,462,117	1,309,920	1,133,808

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
2017-12-01	$104.74	$97.50	18.1%	6.5%	19.0%	43.5%	23.5%	1.2%	0.2%	112.9M	-2.92B	-11.2M	0.47	4.45	N/A	N/A	103,399	48,631	647,851	662,069
2017-12-04	$107.13	$92.50	21.3%	6.2%	20.4%	72.3%	21.0%	2.1%	-0.1%	144.7M	-3.45B	-10.6M	0.41	2.96	N/A	N/A	129,325	53,614	663,733	645,941
2017-12-05	$105.71	$92.50	21.1%	6.2%	20.9%	70.4%	22.4%	1.7%	0.2%	119.4M	-2.94B	-11.3M	0.74	5.21	N/A	N/A	61,271	45,125	705,401	668,933
2017-12-06	$104.90	$92.50	20.4%	6.0%	19.4%	64.2%	21.4%	1.6%	1.1%	98.6M	-2.69B	-11.5M	0.77	3.96	N/A	N/A	34,320	26,406	735,127	683,401
2017-12-07	$104.60	$92.50	17.8%	5.6%	18.9%	41.0%	20.1%	1.8%	2.2%	93.7M	-2.57B	-11.2M	0.59	4.86	N/A	N/A	43,292	25,329	743,192	688,028
2017-12-08	$105.81	$92.50	17.4%	5.4%	19.0%	37.2%	19.9%	1.3%	1.6%	121.3M	-3.07B	-10.8M	0.57	3.59	N/A	N/A	48,486	27,500	759,687	690,108
2017-12-11	$105.56	$92.50	17.6%	5.3%	19.1%	39.2%	19.3%	2.0%	0.5%	118.8M	-2.95B	-10.3M	0.91	1.94	N/A	N/A	27,757	25,331	741,856	671,859
2017-12-12	$106.92	$95.00	20.2%	5.7%	19.4%	61.9%	19.7%	1.8%	-0.3%	131.4M	-3.31B	-10.8M	0.34	2.27	N/A	N/A	67,358	23,071	742,997	680,374
2017-12-13	$105.50	$95.00	19.0%	5.4%	20.0%	51.2%	18.9%	1.9%	-0.1%	118.1M	-2.89B	-10.3M	0.38	5.23	N/A	N/A	51,011	19,139	761,101	686,746
2017-12-14	$104.72	$95.00	19.8%	5.4%	20.1%	58.8%	19.7%	2.1%	-1.2%	97.3M	-2.57B	-10.7M	0.55	2.93	N/A	N/A	46,547	25,692	765,300	690,539
2017-12-15	$106.00	$95.00	18.4%	5.3%	20.3%	47.5%	18.9%	1.8%	-0.2%	128.0M	-3.12B	-10.5M	0.50	5.15	N/A	N/A	63,954	32,052	766,698	695,419
2017-12-18	$107.01	$95.00	18.6%	5.3%	20.2%	48.6%	19.0%	1.9%	-0.4%	82.2M	-2.53B	-10.1M	0.62	3.69	N/A	N/A	32,992	20,609	507,438	550,483
2017-12-19	$106.56	$95.00	18.1%	5.2%	20.3%	44.6%	19.0%	1.8%	0.2%	82.0M	-2.44B	-10.3M	0.83	7.34	N/A	N/A	21,169	17,556	516,146	554,918
2017-12-20	$106.24	$95.00	17.9%	5.1%	20.4%	42.3%	18.2%	1.6%	0.3%	78.1M	-2.34B	-10.2M	1.00	4.42	N/A	N/A	42,581	42,519	518,358	556,927
2017-12-21	$107.77	$95.00	17.8%	5.1%	20.6%	41.4%	18.2%	1.6%	0.2%	103.6M	-2.70B	-10.3M	0.66	3.36	N/A	N/A	50,515	33,279	531,211	573,105
2017-12-22	$107.40	$95.00	17.7%	5.1%	20.6%	40.6%	18.2%	1.8%	0.2%	78.3M	-2.57B	-10.4M	0.44	3.08	N/A	N/A	60,065	26,270	537,684	581,293
2017-12-26	$106.99	$95.00	17.8%	5.1%	20.6%	41.7%	19.0%	1.7%	0.1%	77.6M	-2.41B	-10.2M	0.51	4.46	N/A	N/A	37,001	18,721	524,085	570,073
2017-12-27	$107.24	$95.00	17.4%	5.1%	17.4%	38.0%	18.9%	1.5%	0.4%	86.7M	-2.45B	-10.5M	0.79	2.80	N/A	N/A	28,749	22,589	527,411	575,625
2017-12-28	$107.80	$95.00	17.8%	5.1%	15.5%	41.2%	19.6%	1.6%	0.1%	99.6M	-2.62B	-10.1M	0.51	3.03	N/A	N/A	40,301	20,715	531,584	586,299
2017-12-29	$107.38	$95.00	18.0%	5.2%	15.5%	43.1%	18.6%	1.8%	0.1%	79.6M	-2.47B	-10.4M	0.67	4.16	N/A	N/A	36,992	24,690	543,532	590,276