JPM Options History — February 2018

In February 2018, JPM traded between $108.54 and $118.71. ATM implied volatility averaged 22.9%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 3.1% (HV 20d: 26.0%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.71.

Notable Days

2018-02-05: Highest Volume — 131,905 contracts
2018-02-08: Largest IV spike — 47.1% change
2018-02-05: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.12	$108.54	$118.71	$116.66	$115.68
Max Pain	$106.21	$105.00	$110.00	$105.00	$110.00
ATM IV	22.9%	18.1%	36.6%	18.1%	21.1%
Expected Move	6.4%	5.3%	8.3%	5.4%	6.0%
HV 20d	26.0%	11.2%	30.0%	11.2%	30.0%
HV 60d	19.8%	15.4%	21.2%	15.4%	20.3%
IV Rank	51.8%	21.0%	100.0%	44.3%	33.2%
IV Percentile	92.5%	65.5%	100.0%	69.0%	92.9%
Term Structure	-0.7%	-8.6%	1.0%	0.1%	0.1%
VWIV	22.8%	18.7%	29.9%	19.2%	21.0%
Skew 25d	4.3%	1.4%	8.6%	1.4%	4.5%
Skew 10d	7.8%	0.8%	13.5%	2.8%	9.8%
Call IV 25d	21.6%	17.3%	34.1%	18.0%	19.6%
Put IV 25d	25.8%	19.4%	42.7%	19.4%	24.1%
Bid-Ask Spread %	7.40	1.20	17.89	1.20	4.08
Gamma HHI	0.17	0.10	0.49	0.14	0.15
Net GEX	83.3M	12.2M	222.3M	90.5M	89.9M
Net DEX	-1.81B	-2.73B	-610.6M	-2.37B	-2.01B
Net VEX	-12.5M	-13.4M	-11.3M	-11.3M	-13.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.45	1.04	0.45	0.51
Total Volume	95,717.053	65,038	131,905	80,102	74,305
Total OI	862,000.105	798,193	946,990	798,193	921,610

Daily Data (19 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
2018-02-01	$116.66	$105.00	18.1%	5.4%	11.2%	44.3%	19.2%	1.4%	0.1%	90.5M	-2.37B	-11.3M	0.45	1.20	N/A	N/A	55,208	24,894	434,715	363,478
2018-02-02	$114.22	$105.00	20.8%	5.8%	14.1%	69.2%	20.3%	2.4%	-0.7%	73.7M	-1.76B	-11.9M	0.79	4.93	N/A	N/A	58,149	45,650	458,718	367,719
2018-02-05	$109.42	$105.00	25.3%	7.5%	21.2%	100.0%	25.1%	3.6%	1.0%	23.0M	-782.7M	-12.1M	1.04	15.99	N/A	N/A	64,735	67,170	445,774	352,876
2018-02-06	$112.02	$105.00	25.5%	7.5%	22.7%	100.0%	26.0%	4.0%	0.9%	42.0M	-1.28B	-12.3M	0.70	6.60	N/A	N/A	64,538	45,282	459,153	355,542
2018-02-07	$113.34	$105.00	24.9%	6.3%	22.9%	95.4%	23.0%	4.6%	-2.9%	64.9M	-1.65B	-12.2M	0.75	8.86	N/A	N/A	51,161	38,260	474,469	366,614
2018-02-08	$108.54	$105.00	36.6%	8.3%	27.8%	100.0%	29.9%	8.6%	-8.6%	19.4M	-610.6M	-13.1M	0.86	13.20	N/A	N/A	57,721	49,689	485,832	379,782
2018-02-09	$110.05	$105.00	29.3%	8.1%	28.2%	68.5%	28.8%	7.1%	-1.8%	12.2M	-882.2M	-13.4M	1.04	17.89	N/A	N/A	59,526	61,895	499,628	392,286
2018-02-12	$111.72	$105.00	26.0%	7.6%	27.9%	54.2%	26.7%	6.0%	-1.1%	52.2M	-1.32B	-13.1M	0.77	5.05	N/A	N/A	36,966	28,526	483,368	383,401
2018-02-13	$112.53	$105.00	22.8%	6.5%	28.0%	40.5%	24.7%	5.6%	0.8%	70.2M	-1.52B	-13.0M	0.69	2.84	N/A	N/A	38,588	26,450	492,953	392,661
2018-02-14	$115.03	$105.00	21.0%	6.0%	28.9%	33.0%	21.8%	4.2%	0.3%	110.0M	-2.17B	-12.5M	0.55	6.49	N/A	N/A	67,824	37,147	496,147	403,175
2018-02-15	$115.21	$105.00	21.1%	6.0%	28.9%	33.3%	22.2%	3.6%	0.0%	120.1M	-2.22B	-12.6M	0.93	2.68	N/A	N/A	48,999	45,448	515,834	415,245
2018-02-16	$114.97	$105.00	20.3%	5.8%	28.9%	29.8%	20.3%	3.5%	0.1%	222.3M	-2.15B	-12.4M	0.63	3.00	N/A	N/A	45,667	28,848	521,735	425,255
2018-02-20	$114.81	$105.00	21.5%	6.2%	28.6%	35.0%	22.4%	3.8%	-0.7%	79.0M	-1.89B	-12.4M	0.82	4.58	N/A	N/A	37,314	30,454	440,257	367,850
2018-02-21	$115.37	$105.00	21.8%	6.2%	28.7%	36.4%	21.3%	3.7%	-0.1%	90.3M	-2.03B	-12.5M	0.45	8.38	N/A	N/A	82,266	37,187	451,204	379,079
2018-02-22	$115.07	$108.00	22.0%	6.2%	28.3%	37.0%	21.7%	4.1%	-0.4%	80.9M	-1.92B	-12.6M	0.73	6.26	N/A	N/A	50,527	36,951	460,639	387,794
2018-02-23	$117.27	$110.00	19.4%	5.5%	29.1%	25.9%	20.1%	3.3%	-0.0%	102.5M	-2.53B	-12.6M	0.75	4.79	N/A	N/A	56,862	42,453	478,180	402,749
2018-02-26	$118.71	$110.00	20.0%	5.4%	29.4%	28.5%	20.0%	4.0%	0.2%	117.4M	-2.73B	-12.3M	0.48	12.27	N/A	N/A	77,288	37,122	448,776	387,710
2018-02-27	$117.69	$110.00	18.2%	5.3%	29.5%	21.0%	18.7%	3.5%	-0.1%	121.9M	-2.62B	-12.6M	0.62	11.51	N/A	N/A	66,528	41,026	485,339	400,455
2018-02-28	$115.68	$110.00	21.1%	6.0%	30.0%	33.2%	21.0%	4.5%	0.1%	89.9M	-2.01B	-13.2M	0.51	4.08	N/A	N/A	49,318	24,987	508,466	413,144