JPM Options History — March 2018

In March 2018, JPM traded between $107.09 and $117.90. ATM implied volatility averaged 23.7%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.1% (HV 20d: 23.8%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.46.

Notable Days

2018-03-09: Highest Volume — 151,120 contracts
2018-03-22: Largest IV spike — 22.0% change
2018-03-23: Highest IV Rank — 77.3%
2018-03-23: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.46	$107.09	$117.90	$113.43	$110.04
Max Pain	$114.29	$110.00	$115.00	$110.00	$112.00
ATM IV	23.7%	17.8%	31.4%	24.8%	27.1%
Expected Move	6.8%	5.3%	9.1%	6.9%	8.0%
HV 20d	23.8%	19.0%	30.8%	30.8%	27.3%
HV 60d	21.5%	20.1%	24.5%	20.8%	24.5%
IV Rank	44.3%	19.2%	77.3%	49.0%	58.9%
IV Percentile	92.9%	58.7%	99.6%	97.6%	97.6%
Term Structure	-0.2%	-1.6%	1.4%	0.2%	-1.2%
VWIV	23.6%	19.2%	30.6%	23.6%	27.0%
Skew 25d	5.1%	3.8%	6.5%	6.0%	5.1%
Skew 10d	9.9%	6.7%	14.0%	11.0%	11.7%
Call IV 25d	21.6%	16.0%	29.2%	21.7%	24.8%
Put IV 25d	26.6%	19.8%	35.6%	27.7%	29.9%
Bid-Ask Spread %	7.52	3.45	10.93	9.19	9.34
Gamma HHI	0.16	0.08	0.34	0.14	0.10
Net GEX	76.0M	10.8M	170.2M	61.9M	40.7M
Net DEX	-1.45B	-2.87B	-59.8M	-1.35B	-720.3M
Net VEX	-13.0M	-13.7M	-12.6M	-13.7M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.22	0.99	0.75	0.44
Total Volume	100,592.857	73,118	151,120	99,438	97,505
Total OI	913,974.667	754,418	1,042,472	941,170	887,092

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
2018-03-01	$113.43	$110.00	24.8%	6.9%	30.8%	49.0%	23.6%	6.0%	0.2%	61.9M	-1.35B	-13.7M	0.75	9.19	N/A	N/A	56,942	42,496	519,288	421,882
2018-03-02	$113.51	$110.00	22.9%	6.6%	30.6%	40.9%	23.7%	4.7%	0.5%	71.6M	-1.41B	-13.3M	0.37	10.68	N/A	N/A	87,920	32,830	528,325	432,027
2018-03-05	$115.22	$115.00	21.7%	6.3%	30.2%	35.8%	23.0%	4.7%	0.8%	106.3M	-1.97B	-13.4M	0.29	5.02	N/A	N/A	88,558	26,070	511,971	415,669
2018-03-06	$115.00	$115.00	20.3%	6.3%	25.5%	29.9%	22.1%	4.7%	1.0%	109.6M	-1.91B	-13.4M	0.22	7.06	N/A	N/A	69,139	15,427	541,828	425,764
2018-03-07	$114.87	$115.00	22.0%	6.5%	24.3%	37.2%	22.8%	5.7%	0.7%	104.4M	-1.85B	-13.6M	0.26	9.98	N/A	N/A	73,666	19,438	547,016	430,643
2018-03-08	$114.49	$115.00	20.8%	6.1%	24.1%	32.3%	21.3%	4.3%	1.1%	106.4M	-1.77B	-13.3M	0.40	4.73	N/A	N/A	65,865	26,284	553,269	436,211
2018-03-09	$117.89	$115.00	17.8%	5.3%	20.0%	19.2%	19.8%	3.8%	1.4%	170.2M	-2.87B	-13.1M	0.39	8.76	N/A	N/A	108,863	42,257	560,507	444,221
2018-03-12	$117.90	$115.00	19.4%	5.3%	19.7%	26.2%	19.2%	4.3%	-1.2%	151.6M	-2.71B	-12.8M	0.38	5.33	N/A	N/A	66,890	25,744	537,288	432,476
2018-03-13	$116.14	$115.00	21.5%	6.2%	20.2%	34.9%	20.8%	4.4%	-0.0%	110.2M	-2.12B	-12.9M	0.49	6.81	N/A	N/A	65,721	32,469	545,324	441,109
2018-03-14	$115.06	$115.00	23.3%	6.3%	20.5%	42.7%	21.7%	5.0%	-1.6%	101.2M	-1.74B	-13.0M	0.53	10.05	N/A	N/A	67,065	35,543	554,843	447,751
2018-03-15	$115.29	$115.00	21.9%	6.1%	19.0%	36.8%	21.2%	4.7%	-0.6%	132.7M	-1.88B	-12.6M	0.28	7.48	N/A	N/A	74,197	20,735	562,514	457,268
2018-03-16	$115.72	$115.00	20.7%	5.8%	19.0%	31.8%	20.5%	4.2%	-0.2%	54.9M	-2.20B	-12.7M	0.42	6.55	N/A	N/A	64,593	27,094	581,535	460,937
2018-03-19	$114.71	$115.00	22.6%	6.4%	19.3%	39.8%	22.2%	5.0%	0.2%	48.5M	-1.24B	-12.7M	0.37	7.42	N/A	N/A	60,663	22,269	422,991	331,427
2018-03-20	$114.79	$115.00	22.4%	6.4%	19.3%	38.8%	22.1%	5.1%	-0.1%	54.7M	-1.30B	-12.7M	0.43	3.45	N/A	N/A	50,995	22,123	439,598	337,524
2018-03-21	$114.80	$115.00	22.9%	6.6%	19.2%	41.0%	22.4%	5.0%	-0.4%	56.7M	-1.30B	-12.9M	0.45	8.60	N/A	N/A	54,321	24,206	450,507	342,236
2018-03-22	$110.13	$115.00	27.9%	8.0%	24.2%	62.5%	26.7%	5.9%	-1.0%	22.0M	-488.3M	-12.8M	0.64	5.58	N/A	N/A	83,345	53,099	466,450	349,530
2018-03-23	$107.09	$115.00	31.4%	9.1%	24.4%	77.3%	30.6%	6.5%	-1.4%	10.8M	-59.8M	-12.8M	0.99	10.93	N/A	N/A	59,307	58,994	494,154	366,438
2018-03-26	$110.40	$115.00	26.5%	7.8%	26.8%	56.6%	26.6%	5.2%	-0.6%	35.4M	-715.8M	-12.9M	0.58	7.19	N/A	N/A	64,177	37,166	455,670	350,499
2018-03-27	$108.31	$114.00	29.6%	8.6%	27.4%	69.7%	28.8%	5.9%	-1.1%	24.5M	-384.5M	-13.0M	0.40	10.22	N/A	N/A	71,050	28,723	475,892	364,692
2018-03-28	$107.97	$114.00	29.4%	8.8%	26.9%	69.0%	29.7%	5.9%	-1.1%	21.0M	-337.0M	-13.0M	0.59	3.55	N/A	N/A	55,756	32,945	497,833	371,269
2018-03-29	$110.04	$112.00	27.1%	8.0%	27.3%	58.9%	27.0%	5.1%	-1.2%	40.7M	-720.3M	-13.1M	0.44	9.34	N/A	N/A	67,559	29,946	509,162	377,930