JPM Options History — April 2018

In April 2018, JPM traded between $107.86 and $114.00. ATM implied volatility averaged 23.4%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 7.7% (HV 20d: 31.1%). Max pain ranged from $110.00 to $112.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2018-04-13: Highest Volume — 322,124 contracts
2018-04-06: Largest IV spike — 12.8% change
2018-04-02: Highest IV Rank — 74.1%
2018-04-02: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.50	$107.86	$114.00	$107.86	$109.34
Max Pain	$110.19	$110.00	$112.00	$112.00	$110.00
ATM IV	23.4%	19.1%	30.6%	30.6%	19.1%
Expected Move	6.8%	5.7%	9.5%	9.5%	5.7%
HV 20d	31.1%	27.4%	36.3%	28.1%	27.4%
HV 60d	27.2%	24.8%	28.4%	24.8%	28.3%
IV Rank	43.1%	24.8%	74.1%	74.1%	24.8%
IV Percentile	87.8%	72.2%	99.2%	99.2%	72.2%
Term Structure	-0.6%	-1.5%	0.3%	-1.3%	0.1%
VWIV	23.4%	19.2%	32.9%	32.9%	19.5%
Skew 25d	4.6%	3.2%	6.8%	5.8%	3.2%
Skew 10d	9.0%	6.6%	12.2%	11.9%	6.6%
Call IV 25d	21.6%	17.5%	28.3%	28.3%	17.5%
Put IV 25d	26.2%	20.7%	34.1%	34.1%	20.7%
Bid-Ask Spread %	6.48	3.05	9.14	6.72	6.07
Gamma HHI	0.11	0.09	0.14	0.09	0.12
Net GEX	56.7M	-12.7M	120.7M	31.8M	35.4M
Net DEX	-956.6M	-1.81B	-484.5M	-484.5M	-738.0M
Net VEX	-12.9M	-13.5M	-12.3M	-12.9M	-12.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.37	0.85	0.79	0.65
Total Volume	101,339	57,056	322,124	79,592	59,899
Total OI	902,188.048	806,994	990,410	862,798	838,111

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
2018-04-02	$107.86	$112.00	30.6%	9.5%	28.1%	74.1%	32.9%	5.8%	-1.3%	31.8M	-484.5M	-12.9M	0.79	6.72	N/A	N/A	44,378	35,214	503,840	358,958
2018-04-03	$109.28	$111.00	28.0%	8.7%	27.9%	62.7%	29.9%	5.9%	-0.7%	48.0M	-723.1M	-13.1M	0.81	6.78	N/A	N/A	38,492	31,078	519,741	369,470
2018-04-04	$111.16	$111.00	26.1%	8.1%	28.8%	54.7%	29.2%	6.8%	-0.6%	71.4M	-1.07B	-13.2M	0.65	5.60	N/A	N/A	56,896	37,152	525,325	377,902
2018-04-05	$112.10	$110.00	25.4%	7.2%	29.0%	52.0%	24.5%	4.7%	-0.6%	96.5M	-1.31B	-13.0M	0.69	8.74	N/A	N/A	55,463	38,036	521,631	387,723
2018-04-06	$108.69	$110.00	28.7%	7.8%	30.9%	65.9%	27.7%	5.7%	-0.7%	36.5M	-587.5M	-13.3M	0.85	7.20	N/A	N/A	60,688	51,584	528,059	393,950
2018-04-09	$111.28	$110.00	26.9%	7.7%	30.2%	58.1%	25.9%	5.0%	0.0%	69.6M	-1.14B	-13.3M	0.59	9.14	N/A	N/A	57,673	33,936	471,151	386,969
2018-04-10	$112.61	$110.00	26.1%	7.1%	30.6%	54.8%	25.7%	5.4%	-1.3%	85.6M	-1.39B	-13.4M	0.44	7.14	N/A	N/A	66,868	29,558	475,083	397,231
2018-04-11	$110.85	$110.00	26.5%	7.5%	30.6%	56.3%	25.2%	5.4%	-0.1%	67.4M	-997.4M	-13.5M	0.50	9.09	N/A	N/A	56,233	28,140	494,546	404,622
2018-04-12	$114.00	$110.00	23.9%	6.7%	32.3%	45.4%	24.3%	4.3%	-0.6%	120.7M	-1.81B	-13.4M	0.47	6.33	N/A	N/A	116,727	54,541	504,890	411,931
2018-04-13	$109.68	$110.00	23.4%	6.6%	35.0%	43.1%	22.9%	4.6%	-0.5%	-12.7M	-586.1M	-12.9M	0.50	8.04	N/A	N/A	215,197	106,927	537,116	432,921
2018-04-16	$110.75	$110.00	21.3%	6.2%	35.2%	34.1%	20.8%	4.2%	-0.6%	72.9M	-994.8M	-12.6M	0.55	5.65	N/A	N/A	71,142	39,004	513,749	417,572
2018-04-17	$110.65	$110.00	20.1%	5.8%	35.1%	29.1%	19.5%	4.2%	-0.8%	69.3M	-927.5M	-12.8M	0.37	6.16	N/A	N/A	80,355	30,007	514,081	424,129
2018-04-18	$109.35	$110.00	20.3%	5.8%	35.3%	30.1%	20.7%	3.5%	0.3%	31.7M	-567.9M	-12.5M	0.61	3.05	N/A	N/A	55,375	33,633	537,566	427,608
2018-04-19	$111.74	$110.00	20.2%	5.9%	36.3%	29.6%	19.7%	3.8%	-1.5%	110.8M	-1.27B	-12.9M	0.55	8.63	N/A	N/A	59,686	32,660	547,000	433,455
2018-04-20	$111.23	$110.00	21.3%	6.2%	33.1%	34.1%	21.2%	4.2%	-0.9%	59.8M	-1.18B	-12.8M	0.63	8.16	N/A	N/A	56,377	35,251	551,807	438,603
2018-04-23	$110.79	$110.00	20.2%	5.8%	31.4%	29.6%	19.9%	3.8%	-0.6%	47.9M	-988.7M	-12.6M	0.51	4.72	N/A	N/A	54,280	27,480	435,068	371,926
2018-04-24	$109.70	$110.00	21.6%	6.3%	29.8%	35.3%	21.0%	4.2%	-0.4%	35.7M	-803.0M	-12.9M	0.60	6.62	N/A	N/A	62,648	37,463	461,076	381,703
2018-04-25	$109.59	$110.00	22.3%	6.4%	28.9%	38.4%	22.2%	4.4%	-1.5%	39.3M	-815.1M	-13.1M	0.54	4.36	N/A	N/A	38,363	20,905	482,347	389,101
2018-04-26	$110.39	$110.00	19.6%	5.7%	29.0%	26.8%	19.5%	3.5%	-0.2%	48.7M	-977.7M	-12.6M	0.57	4.46	N/A	N/A	39,380	22,374	488,615	392,647
2018-04-27	$109.46	$110.00	19.5%	5.7%	28.4%	26.6%	19.2%	3.4%	-0.2%	24.9M	-740.6M	-12.8M	0.80	3.40	N/A	N/A	31,740	25,316	497,422	399,304
2018-04-30	$109.34	$110.00	19.1%	5.7%	27.4%	24.8%	19.5%	3.2%	0.1%	35.4M	-738.0M	-12.3M	0.65	6.07	N/A	N/A	36,203	23,696	454,113	383,998