JPM Options History — June 2018

In June 2018, JPM traded between $103.80 and $111.22. ATM implied volatility averaged 20.5%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.7% (HV 20d: 21.2%). Max pain ranged from $106.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.50.

Notable Days

2018-06-15: Highest Volume — 152,013 contracts
2018-06-29: Largest IV drop — 7.0% change
2018-06-28: Highest IV Rank — 47.5%
2018-06-28: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.83	$103.80	$111.22	$108.22	$104.76
Max Pain	$109.33	$106.00	$110.00	$106.00	$107.00
ATM IV	20.5%	17.6%	24.4%	18.7%	22.7%
Expected Move	6.0%	5.1%	7.2%	5.1%	6.8%
HV 20d	21.2%	14.4%	23.5%	23.5%	14.5%
HV 60d	24.1%	21.7%	25.9%	25.9%	21.7%
IV Rank	30.8%	18.2%	47.5%	22.9%	40.3%
IV Percentile	75.5%	46.4%	91.7%	65.5%	87.3%
Term Structure	-0.0%	-1.1%	1.1%	-0.1%	-0.3%
VWIV	20.8%	17.6%	25.0%	17.6%	23.4%
Skew 25d	2.4%	1.5%	3.1%	2.8%	2.3%
Skew 10d	4.6%	3.2%	6.2%	5.1%	4.8%
Call IV 25d	19.6%	16.1%	23.7%	17.5%	22.2%
Put IV 25d	22.1%	18.6%	26.3%	20.3%	24.5%
Bid-Ask Spread %	5.07	2.06	9.34	4.80	4.86
Gamma HHI	0.10	0.07	0.18	0.12	0.08
Net GEX	63.8M	6.4M	177.6M	80.5M	36.5M
Net DEX	-668.5M	-1.61B	167.3M	-725.8M	-76.9M
Net VEX	-12.4M	-13.3M	-11.8M	-12.6M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.25	0.80	0.57	0.33
Total Volume	94,372.429	52,425	152,013	112,316	117,958
Total OI	934,266.429	749,840	1,086,739	1,022,358	919,439

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
2018-06-01	$108.22	$106.00	18.7%	5.1%	23.5%	22.9%	17.6%	2.8%	-0.1%	80.5M	-725.8M	-12.6M	0.57	4.80	N/A	N/A	71,437	40,879	555,711	466,647
2018-06-04	$108.43	$110.00	18.5%	5.4%	23.0%	22.3%	19.0%	3.1%	0.9%	42.4M	-731.7M	-12.6M	0.76	2.85	N/A	N/A	31,528	23,827	532,325	451,571
2018-06-05	$107.87	$110.00	18.3%	5.4%	22.9%	21.2%	19.3%	2.7%	0.9%	28.3M	-571.7M	-12.4M	0.57	3.02	N/A	N/A	47,649	27,118	541,353	455,996
2018-06-06	$110.16	$110.00	18.1%	5.5%	23.5%	20.5%	19.4%	2.2%	0.9%	102.5M	-1.33B	-12.6M	0.43	5.33	N/A	N/A	88,598	38,079	548,917	467,196
2018-06-07	$110.95	$110.00	18.0%	5.7%	22.6%	20.1%	19.5%	2.2%	1.1%	131.3M	-1.61B	-12.2M	0.42	7.65	N/A	N/A	86,190	36,148	559,862	473,885
2018-06-08	$110.99	$110.00	17.6%	5.4%	22.3%	18.2%	18.8%	2.5%	1.1%	177.6M	-1.60B	-12.3M	0.67	2.06	N/A	N/A	50,722	33,867	569,496	482,743
2018-06-11	$111.22	$110.00	18.7%	5.5%	22.3%	23.1%	19.1%	2.5%	-0.0%	122.0M	-1.55B	-12.2M	0.40	9.34	N/A	N/A	42,056	16,871	548,933	451,479
2018-06-12	$110.00	$110.00	18.9%	5.5%	22.5%	24.2%	18.7%	2.4%	-0.2%	88.9M	-1.19B	-12.0M	0.41	7.96	N/A	N/A	51,360	21,010	555,120	455,699
2018-06-13	$110.39	$110.00	19.5%	5.6%	22.3%	26.6%	19.4%	2.3%	0.0%	101.1M	-1.31B	-11.8M	0.30	8.51	N/A	N/A	67,494	20,444	562,266	458,777
2018-06-14	$108.31	$110.00	20.9%	5.7%	23.0%	32.4%	20.4%	2.1%	-1.1%	31.3M	-605.9M	-11.9M	0.48	3.88	N/A	N/A	95,336	46,020	576,776	465,420
2018-06-15	$107.84	$110.00	20.2%	5.7%	23.0%	29.7%	20.0%	1.5%	-0.7%	47.6M	-508.0M	-12.1M	0.67	2.80	N/A	N/A	91,113	60,900	603,688	483,051
2018-06-18	$108.08	$110.00	20.3%	5.8%	22.7%	30.0%	20.0%	2.3%	-0.5%	50.9M	-570.0M	-12.0M	0.80	4.91	N/A	N/A	40,569	32,382	394,989	354,851
2018-06-19	$107.72	$110.00	21.0%	6.0%	22.6%	32.9%	20.8%	2.4%	-0.4%	53.2M	-501.1M	-12.3M	0.40	3.36	N/A	N/A	56,386	22,805	409,657	362,212
2018-06-20	$107.76	$110.00	20.8%	6.0%	22.1%	31.9%	20.6%	2.3%	-0.4%	65.1M	-602.7M	-12.3M	0.41	5.77	N/A	N/A	37,055	15,370	427,872	369,892
2018-06-21	$107.26	$110.00	21.8%	6.3%	21.9%	36.4%	21.7%	2.7%	-0.4%	65.0M	-466.1M	-12.7M	0.72	5.42	N/A	N/A	46,163	33,099	439,806	379,934
2018-06-22	$105.98	$110.00	21.9%	6.3%	22.1%	36.7%	21.7%	2.4%	-0.4%	38.1M	-124.5M	-12.5M	0.48	3.88	N/A	N/A	70,439	34,104	453,021	396,162
2018-06-25	$104.77	$110.00	23.0%	6.7%	22.3%	41.7%	23.1%	2.7%	-0.2%	6.4M	81.1M	-12.4M	0.56	4.38	N/A	N/A	59,581	33,273	432,596	385,927
2018-06-26	$104.82	$109.00	23.2%	6.9%	16.5%	42.4%	23.6%	2.7%	-0.1%	13.0M	23.8M	-12.7M	0.31	5.27	N/A	N/A	79,756	25,055	451,574	396,069
2018-06-27	$103.80	$107.00	24.2%	7.2%	14.4%	46.5%	24.9%	2.9%	-0.2%	13.2M	167.3M	-12.9M	0.53	6.00	N/A	N/A	61,104	32,486	476,547	402,456
2018-06-28	$105.19	$107.00	24.4%	7.2%	15.1%	47.5%	25.0%	2.2%	-0.7%	45.7M	-233.7M	-13.3M	0.25	4.42	N/A	N/A	76,585	19,005	493,435	406,245
2018-06-29	$104.76	$107.00	22.7%	6.8%	14.5%	40.3%	23.4%	2.3%	-0.3%	36.5M	-76.9M	-13.1M	0.33	4.86	N/A	N/A	88,423	29,535	509,760	409,679