JPM Options History — July 2018

In July 2018, JPM traded between $103.61 and $116.70. ATM implied volatility averaged 18.5%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.2% (HV 20d: 18.7%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2018-07-13: Highest Volume — 201,981 contracts
2018-07-13: Largest IV drop — 12.4% change
2018-07-02: Highest IV Rank — 39.7%
2018-07-03: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.00	$103.61	$116.70	$104.82	$114.99
Max Pain	$107.52	$105.00	$110.00	$107.00	$110.00
ATM IV	18.5%	16.0%	22.6%	22.6%	16.9%
Expected Move	5.4%	4.5%	6.8%	6.8%	4.9%
HV 20d	18.7%	11.9%	22.2%	14.5%	22.1%
HV 60d	19.7%	18.3%	20.8%	20.8%	20.3%
IV Rank	22.1%	11.3%	39.7%	39.7%	15.4%
IV Percentile	50.1%	20.2%	86.5%	86.5%	31.7%
Term Structure	0.0%	-0.5%	0.8%	-0.2%	-0.2%
VWIV	18.8%	16.3%	24.0%	24.0%	17.2%
Skew 25d	1.9%	1.4%	2.4%	2.4%	1.7%
Skew 10d	3.6%	2.4%	5.6%	4.6%	3.2%
Call IV 25d	17.8%	15.2%	21.8%	21.7%	16.2%
Put IV 25d	19.7%	17.0%	24.2%	24.1%	17.9%
Bid-Ask Spread %	5.35	2.55	11.06	3.46	3.08
Gamma HHI	0.11	0.07	0.16	0.07	0.12
Net GEX	112.1M	20.5M	185.2M	30.0M	94.1M
Net DEX	-1.43B	-2.84B	99.2M	-114.2M	-2.05B
Net VEX	-12.6M	-13.1M	-12.2M	-12.9M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.25	0.92	0.49	0.66
Total Volume	109,845.762	59,293	201,981	59,293	108,869
Total OI	899,201.476	838,403	968,349	863,786	888,761

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
2018-07-02	$104.82	$107.00	22.6%	6.8%	14.5%	39.7%	24.0%	2.4%	-0.2%	30.0M	-114.2M	-12.9M	0.49	3.46	N/A	N/A	39,926	19,367	468,665	395,121
2018-07-03	$103.61	$106.00	22.5%	6.8%	14.9%	39.3%	23.9%	2.4%	-0.1%	20.5M	99.2M	-12.5M	0.45	9.34	N/A	N/A	49,020	21,841	482,047	400,905
2018-07-05	$103.82	$105.00	21.8%	6.1%	12.3%	36.1%	21.8%	2.4%	-0.3%	29.3M	52.2M	-12.6M	0.72	6.85	N/A	N/A	38,273	27,572	481,894	406,023
2018-07-06	$104.07	$105.00	20.3%	5.9%	11.9%	30.0%	20.7%	1.7%	-0.1%	61.3M	-71.4M	-12.2M	0.75	6.80	N/A	N/A	47,934	35,766	490,311	405,943
2018-07-09	$107.32	$105.00	20.1%	6.0%	16.9%	29.2%	20.3%	1.8%	0.7%	90.5M	-948.3M	-12.7M	0.44	2.55	N/A	N/A	80,457	35,719	468,843	391,517
2018-07-10	$106.87	$105.00	20.4%	6.1%	16.9%	30.5%	21.0%	1.4%	0.6%	86.0M	-838.7M	-12.5M	0.34	4.80	N/A	N/A	60,262	20,649	482,005	397,093
2018-07-11	$106.52	$105.00	20.7%	6.2%	16.5%	31.6%	21.2%	1.8%	0.8%	92.7M	-786.1M	-13.1M	0.41	5.06	N/A	N/A	51,191	20,885	512,495	403,324
2018-07-12	$106.76	$105.00	20.4%	5.9%	16.5%	30.4%	20.2%	1.5%	0.2%	106.8M	-862.1M	-12.6M	0.29	7.51	N/A	N/A	105,631	30,289	524,770	405,785
2018-07-13	$106.28	$105.00	17.9%	5.2%	15.2%	19.6%	17.9%	1.8%	0.4%	90.6M	-668.9M	-12.4M	0.36	3.67	N/A	N/A	148,723	53,258	551,609	416,740
2018-07-16	$110.66	$105.00	17.3%	5.0%	21.1%	17.0%	17.5%	2.2%	-0.2%	185.2M	-2.01B	-12.2M	0.40	7.23	N/A	N/A	129,856	52,536	503,452	396,051
2018-07-17	$110.72	$105.00	16.7%	4.8%	21.1%	14.3%	16.7%	1.9%	-0.3%	177.6M	-1.88B	-12.3M	0.53	3.21	N/A	N/A	70,330	37,074	500,404	408,225
2018-07-18	$111.44	$110.00	16.5%	4.7%	21.1%	13.6%	16.4%	2.2%	-0.0%	179.7M	-2.07B	-12.2M	0.32	3.12	N/A	N/A	75,180	24,061	506,359	422,561
2018-07-19	$109.99	$110.00	16.7%	4.8%	21.7%	14.6%	16.7%	2.2%	0.0%	138.4M	-1.44B	-12.6M	0.58	2.90	N/A	N/A	69,334	40,537	505,428	428,806
2018-07-20	$111.39	$110.00	17.0%	4.9%	22.0%	15.7%	17.0%	2.1%	-0.5%	149.7M	-2.00B	-13.0M	0.41	5.75	N/A	N/A	119,628	49,206	520,916	444,354
2018-07-23	$113.56	$110.00	17.3%	5.0%	22.2%	17.3%	17.7%	2.0%	-0.4%	124.3M	-2.02B	-13.0M	0.25	4.74	N/A	N/A	125,177	30,749	448,886	389,517
2018-07-24	$114.14	$110.00	17.1%	4.9%	21.5%	16.2%	17.5%	1.7%	-0.1%	129.6M	-2.14B	-13.1M	0.49	4.86	N/A	N/A	76,985	38,043	465,764	401,362
2018-07-25	$115.38	$110.00	16.4%	4.6%	21.5%	13.4%	16.3%	1.4%	0.0%	143.7M	-2.55B	-12.6M	0.66	6.30	N/A	N/A	39,621	25,963	476,066	412,680
2018-07-26	$114.70	$110.00	16.0%	4.5%	21.2%	11.3%	16.5%	1.7%	0.0%	139.1M	-2.31B	-13.1M	0.92	7.52	N/A	N/A	41,900	38,498	480,098	420,436
2018-07-27	$116.28	$110.00	16.1%	4.7%	21.2%	11.8%	16.6%	2.1%	0.4%	161.6M	-2.84B	-12.6M	0.85	11.06	N/A	N/A	53,419	45,397	491,503	428,130
2018-07-30	$116.70	$110.00	17.3%	5.1%	21.0%	17.1%	18.0%	1.9%	-0.3%	122.5M	-2.56B	-12.5M	0.44	2.56	N/A	N/A	88,912	38,723	457,753	400,629
2018-07-31	$114.99	$110.00	16.9%	4.9%	22.1%	15.4%	17.2%	1.7%	-0.2%	94.1M	-2.05B	-12.9M	0.66	3.08	N/A	N/A	65,666	43,203	474,152	414,609