JPM Options History — May 2018

In May 2018, JPM traded between $105.89 and $114.21. ATM implied volatility averaged 17.7%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.9% (HV 20d: 19.6%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2018-05-29: Highest Volume — 199,199 contracts
2018-05-29: Largest IV spike — 35.0% change
2018-05-29: Highest IV Rank — 42.1%
2018-05-29: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.85	$105.89	$114.21	$108.56	$107.13
Max Pain	$105.95	$105.00	$110.00	$110.00	$107.00
ATM IV	17.7%	15.7%	23.1%	19.1%	19.5%
Expected Move	5.2%	4.5%	6.7%	5.8%	5.5%
HV 20d	19.6%	14.1%	27.1%	27.1%	23.4%
HV 60d	25.2%	24.0%	28.0%	28.0%	25.8%
IV Rank	18.8%	10.1%	42.1%	24.8%	26.7%
IV Percentile	47.6%	17.9%	90.5%	72.2%	74.2%
Term Structure	0.3%	-0.7%	2.2%	0.3%	0.0%
VWIV	18.4%	16.1%	23.3%	20.3%	19.3%
Skew 25d	2.9%	2.4%	3.4%	3.1%	2.6%
Skew 10d	5.9%	4.6%	7.5%	5.9%	5.8%
Call IV 25d	16.7%	14.7%	21.8%	17.9%	18.5%
Put IV 25d	19.6%	17.3%	24.8%	21.1%	21.2%
Bid-Ask Spread %	5.50	2.65	9.47	3.03	5.74
Gamma HHI	0.14	0.08	0.23	0.10	0.08
Net GEX	64.3M	2.1M	148.5M	21.9M	18.2M
Net DEX	-1.14B	-2.11B	-27.4M	-583.1M	-340.4M
Net VEX	-12.4M	-13.0M	-12.0M	-12.2M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.42	1.12	0.98	0.63
Total Volume	87,462.182	55,560	199,199	65,274	75,640
Total OI	921,537.136	855,877	1,008,129	863,161	1,008,129

Daily Data (22 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
2018-05-01	$108.56	$110.00	19.1%	5.8%	27.1%	24.8%	20.3%	3.1%	0.3%	21.9M	-583.1M	-12.2M	0.98	3.03	N/A	N/A	33,043	32,231	465,536	397,625
2018-05-02	$108.09	$110.00	19.1%	5.8%	26.4%	24.7%	20.3%	3.2%	0.2%	17.3M	-470.1M	-12.4M	0.79	8.95	N/A	N/A	34,162	27,149	475,415	405,855
2018-05-03	$107.20	$105.00	19.9%	6.1%	26.2%	28.2%	20.1%	3.4%	0.1%	2.9M	-298.6M	-12.3M	0.66	7.28	N/A	N/A	58,788	38,887	480,141	409,759
2018-05-04	$108.62	$105.00	18.3%	5.3%	24.4%	21.5%	20.1%	3.0%	0.3%	23.9M	-686.1M	-12.6M	0.61	4.44	N/A	N/A	70,697	42,839	493,428	418,191
2018-05-07	$109.29	$105.00	18.0%	5.3%	22.9%	20.2%	18.9%	3.0%	0.5%	31.4M	-809.4M	-12.5M	0.62	4.91	N/A	N/A	35,887	22,350	468,274	415,598
2018-05-08	$111.08	$105.00	17.1%	5.4%	23.3%	16.1%	18.6%	2.9%	2.2%	70.8M	-1.26B	-12.8M	0.68	6.89	N/A	N/A	42,549	29,126	476,652	422,010
2018-05-09	$113.11	$105.00	17.2%	5.0%	23.5%	16.8%	18.5%	2.4%	0.3%	121.0M	-1.83B	-13.0M	0.44	6.71	N/A	N/A	76,685	33,805	488,471	425,322
2018-05-10	$114.21	$105.00	16.9%	4.9%	21.5%	15.2%	17.9%	2.5%	0.3%	147.2M	-2.11B	-12.9M	0.64	6.17	N/A	N/A	58,912	37,848	501,900	434,362
2018-05-11	$113.79	$105.00	15.9%	4.7%	16.1%	10.9%	17.6%	2.6%	0.6%	148.5M	-1.95B	-12.7M	1.05	5.14	N/A	N/A	36,173	38,096	522,891	440,434
2018-05-14	$113.99	$105.00	15.7%	4.5%	15.8%	10.2%	16.4%	2.5%	0.4%	127.7M	-1.88B	-12.0M	1.08	6.61	N/A	N/A	30,834	33,456	498,848	424,757
2018-05-15	$112.66	$105.00	17.0%	4.9%	16.5%	15.7%	18.0%	3.1%	0.2%	85.9M	-1.50B	-12.6M	1.08	9.47	N/A	N/A	31,699	34,170	505,817	430,596
2018-05-16	$113.32	$105.00	15.7%	4.5%	15.8%	10.1%	16.1%	2.7%	0.7%	104.0M	-1.69B	-12.1M	0.82	4.08	N/A	N/A	35,456	28,900	512,244	437,313
2018-05-17	$112.74	$105.00	15.7%	4.5%	14.1%	10.2%	17.2%	2.9%	0.6%	66.0M	-1.50B	-12.0M	1.12	3.74	N/A	N/A	26,217	29,343	526,291	442,543
2018-05-18	$111.38	$105.00	17.7%	5.1%	14.7%	18.6%	17.3%	3.3%	-0.5%	43.9M	-1.14B	-12.2M	0.77	6.31	N/A	N/A	60,882	47,145	532,287	449,614
2018-05-21	$112.08	$105.00	16.4%	4.7%	14.8%	13.0%	16.1%	2.8%	0.3%	64.8M	-1.31B	-12.3M	0.71	2.65	N/A	N/A	33,892	24,167	461,212	394,665
2018-05-22	$113.28	$105.00	16.3%	4.8%	14.7%	12.9%	16.9%	2.9%	0.1%	93.7M	-1.65B	-12.1M	0.57	5.49	N/A	N/A	56,911	32,357	469,311	402,297
2018-05-23	$112.11	$108.00	17.3%	5.0%	15.3%	17.1%	17.6%	2.9%	0.2%	68.4M	-1.32B	-12.5M	0.66	5.16	N/A	N/A	45,784	30,383	479,557	409,798
2018-05-24	$111.38	$105.00	17.5%	5.0%	15.3%	17.9%	17.3%	2.9%	0.3%	49.8M	-1.17B	-12.2M	0.57	2.89	N/A	N/A	66,968	38,173	491,829	418,401
2018-05-25	$110.54	$107.00	17.1%	4.9%	15.3%	16.4%	18.3%	2.5%	0.6%	59.4M	-975.3M	-12.4M	0.83	4.22	N/A	N/A	46,271	38,249	512,507	425,556
2018-05-29	$105.89	$108.00	23.1%	6.7%	21.7%	42.1%	23.3%	3.0%	-0.7%	2.1M	-27.4M	-12.0M	0.79	6.90	N/A	N/A	111,404	87,795	490,331	417,642
2018-05-30	$108.24	$106.00	19.0%	5.3%	23.1%	24.4%	18.2%	2.8%	-0.2%	46.6M	-679.3M	-12.6M	0.42	4.14	N/A	N/A	90,867	37,978	535,077	455,331
2018-05-31	$107.13	$107.00	19.5%	5.5%	23.4%	26.7%	19.3%	2.6%	0.0%	18.2M	-340.4M	-12.9M	0.63	5.74	N/A	N/A	46,504	29,136	544,876	463,253