JPM Options History — January 2018

In January 2018, JPM traded between $107.88 and $116.34. ATM implied volatility averaged 17.9%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.3% (HV 20d: 11.6%). Max pain ranged from $95.00 to $112.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2018-01-03: Highest Volume — 468,813 contracts
2018-01-12: Largest IV drop — 15.9% change
2018-01-04: Highest IV Rank — 59.0%
2018-01-03: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.32	$107.88	$116.34	$107.88	$115.64
Max Pain	$107.81	$95.00	$112.00	$95.00	$111.00
ATM IV	17.9%	15.8%	19.7%	18.9%	18.5%
Expected Move	5.2%	4.6%	5.8%	5.7%	5.3%
HV 20d	11.6%	10.4%	15.5%	15.5%	11.1%
HV 60d	15.4%	15.1%	15.7%	15.7%	15.3%
IV Rank	42.7%	22.8%	59.0%	51.4%	48.4%
IV Percentile	62.1%	23.8%	89.3%	82.1%	77.8%
Term Structure	-0.0%	-0.7%	0.7%	-0.2%	0.1%
VWIV	19.2%	16.4%	34.8%	21.3%	18.7%
Skew 25d	1.4%	0.7%	2.0%	2.0%	1.8%
Skew 10d	2.7%	0.4%	4.9%	4.9%	2.5%
Call IV 25d	17.8%	15.4%	19.7%	18.4%	18.2%
Put IV 25d	19.2%	16.8%	21.3%	20.4%	20.0%
Bid-Ask Spread %	3.54	1.72	13.94	3.79	5.63
Gamma HHI	0.20	0.15	0.68	0.18	0.15
Net GEX	117.9M	72.3M	407.7M	88.8M	81.8M
Net DEX	-2.22B	-2.87B	-1.51B	-2.54B	-2.09B
Net VEX	-10.6M	-11.5M	-10.1M	-10.1M	-11.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.06	0.96	0.49	0.63
Total Volume	122,167.952	55,117	468,813	78,060	55,117
Total OI	958,233.333	682,546	1,169,170	1,107,275	790,470

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
2018-01-02	$107.88	$95.00	18.9%	5.7%	15.5%	51.4%	21.3%	2.0%	-0.2%	88.8M	-2.54B	-10.1M	0.49	3.79	N/A	N/A	52,344	25,716	530,133	577,142
2018-01-03	$108.09	$95.00	19.1%	5.8%	13.4%	53.4%	34.8%	1.6%	0.0%	94.2M	-2.45B	-10.3M	0.06	2.63	N/A	N/A	442,511	26,302	530,275	583,656
2018-01-04	$109.04	$105.00	19.7%	5.5%	12.6%	59.0%	19.2%	1.9%	-0.4%	112.1M	-1.72B	-10.5M	0.46	2.04	N/A	N/A	98,880	45,509	439,079	590,937
2018-01-05	$108.24	$105.00	19.6%	5.4%	12.6%	58.5%	19.4%	1.3%	-0.6%	106.1M	-1.51B	-10.3M	0.38	2.28	N/A	N/A	88,362	33,716	452,423	597,442
2018-01-08	$108.48	$105.00	19.6%	5.4%	12.5%	57.7%	19.3%	1.4%	-0.4%	98.2M	-1.59B	-10.3M	0.31	2.39	N/A	N/A	70,515	21,512	433,183	581,579
2018-01-09	$109.20	$105.00	19.3%	5.4%	12.1%	55.7%	18.8%	1.2%	-0.5%	109.1M	-1.79B	-10.5M	0.32	1.72	N/A	N/A	89,422	28,259	448,387	591,851
2018-01-10	$110.15	$110.00	18.8%	5.3%	12.2%	50.4%	18.3%	1.3%	-0.4%	118.5M	-2.01B	-10.3M	0.26	1.97	N/A	N/A	97,363	24,906	464,077	600,533
2018-01-11	$110.60	$110.00	18.9%	5.4%	11.6%	51.9%	18.9%	1.2%	-0.2%	121.2M	-2.14B	-10.3M	0.48	4.88	N/A	N/A	125,761	60,894	471,423	606,516
2018-01-12	$112.70	$110.00	15.9%	4.6%	11.7%	24.0%	16.8%	1.4%	-0.0%	124.6M	-2.87B	-10.2M	0.42	2.13	N/A	N/A	131,159	55,156	503,162	636,168
2018-01-16	$112.07	$110.00	17.8%	5.1%	11.5%	41.8%	17.7%	1.7%	-0.7%	123.5M	-2.42B	-10.4M	0.66	3.36	N/A	N/A	87,135	57,271	471,168	618,834
2018-01-17	$112.92	$110.00	16.8%	4.8%	11.1%	32.5%	18.2%	1.7%	0.0%	135.8M	-2.72B	-10.3M	0.78	3.97	N/A	N/A	46,819	36,304	497,169	636,679
2018-01-18	$113.28	$110.00	16.3%	4.7%	10.9%	27.9%	17.2%	1.4%	0.0%	130.8M	-2.79B	-10.6M	0.55	13.94	N/A	N/A	55,534	30,787	503,711	646,995
2018-01-19	$112.97	$110.00	16.0%	4.6%	10.8%	24.4%	16.6%	1.6%	-0.2%	407.7M	-2.65B	-10.6M	0.63	3.23	N/A	N/A	61,790	39,033	514,716	654,454
2018-01-22	$114.33	$110.00	15.8%	4.6%	11.0%	22.8%	16.4%	1.4%	0.7%	89.8M	-2.01B	-10.5M	0.96	2.17	N/A	N/A	28,244	27,169	381,871	300,675
2018-01-23	$114.19	$110.00	16.6%	4.8%	10.4%	30.5%	17.4%	1.5%	0.7%	87.6M	-2.02B	-10.7M	0.76	2.33	N/A	N/A	58,193	44,083	390,469	311,898
2018-01-24	$115.75	$110.00	17.5%	5.1%	10.7%	38.9%	18.3%	1.2%	0.4%	94.5M	-2.35B	-10.9M	0.54	2.00	N/A	N/A	77,529	41,592	408,468	325,095
2018-01-25	$115.66	$110.00	16.9%	4.9%	10.5%	33.5%	17.7%	1.1%	0.5%	86.5M	-2.30B	-11.1M	0.53	3.61	N/A	N/A	51,704	27,576	416,096	337,598
2018-01-26	$115.93	$110.00	16.7%	4.8%	10.5%	31.1%	17.6%	0.7%	0.5%	104.4M	-2.37B	-11.2M	0.76	2.68	N/A	N/A	37,361	28,215	430,738	342,649
2018-01-29	$116.34	$111.00	18.4%	5.5%	10.5%	47.5%	19.4%	1.3%	0.1%	87.6M	-2.22B	-11.3M	0.64	5.16	N/A	N/A	44,238	28,480	412,971	329,568
2018-01-30	$115.33	$112.00	19.3%	5.6%	11.1%	55.5%	20.4%	1.7%	-0.0%	72.3M	-2.01B	-11.4M	0.69	2.48	N/A	N/A	49,127	33,939	419,987	342,655
2018-01-31	$115.64	$111.00	18.5%	5.3%	11.1%	48.4%	18.7%	1.8%	0.1%	81.8M	-2.09B	-11.5M	0.63	5.63	N/A	N/A	33,846	21,271	430,216	360,254