JPM Options History — August 2018

In August 2018, JPM traded between $113.68 and $118.08. ATM implied volatility averaged 15.3%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.9% (HV 20d: 16.2%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.85.

Notable Days

2018-08-10: Highest Volume — 113,993 contracts
2018-08-10: Largest IV spike — 11.7% change
2018-08-01: Highest IV Rank — 14.6%
2018-08-13: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.66	$113.68	$118.08	$115.99	$114.48
Max Pain	$110.00	$110.00	$110.00	$110.00	$110.00
ATM IV	15.3%	14.0%	17.1%	16.7%	16.6%
Expected Move	4.4%	4.0%	4.9%	4.8%	4.5%
HV 20d	16.2%	12.4%	21.3%	21.3%	12.9%
HV 60d	18.9%	16.8%	20.4%	20.4%	16.9%
IV Rank	6.7%	0.8%	14.6%	14.6%	12.3%
IV Percentile	10.8%	0.4%	34.5%	27.8%	27.0%
Term Structure	0.6%	-0.1%	1.4%	-0.1%	1.3%
VWIV	15.7%	14.4%	17.7%	16.8%	15.8%
Skew 25d	2.0%	1.6%	2.5%	1.9%	2.4%
Skew 10d	3.8%	3.2%	5.1%	3.4%	4.3%
Call IV 25d	14.4%	13.3%	16.3%	15.8%	15.1%
Put IV 25d	16.4%	15.0%	18.6%	17.8%	17.4%
Bid-Ask Spread %	6.15	2.60	15.32	13.83	5.64
Gamma HHI	0.17	0.12	0.44	0.12	0.12
Net GEX	107.2M	27.5M	332.7M	125.6M	56.8M
Net DEX	-1.75B	-2.72B	-1.10B	-2.35B	-1.10B
Net VEX	-12.9M	-13.6M	-12.3M	-13.6M	-12.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.47	1.60	0.86	0.81
Total Volume	61,924.087	38,874	113,993	66,260	63,046
Total OI	905,709.522	821,560	959,419	933,548	918,499

Daily Data (23 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
2018-08-01	$115.99	$110.00	16.7%	4.8%	21.3%	14.6%	16.8%	1.9%	-0.1%	125.6M	-2.35B	-13.6M	0.86	13.83	N/A	N/A	35,661	30,599	507,392	426,156
2018-08-02	$116.10	$110.00	16.3%	4.6%	21.3%	12.5%	16.5%	2.1%	-0.0%	113.8M	-2.37B	-13.5M	0.90	2.63	N/A	N/A	37,081	33,383	511,506	429,656
2018-08-03	$117.03	$110.00	14.9%	4.1%	21.3%	4.9%	14.5%	1.9%	0.1%	332.7M	-2.72B	-13.4M	0.55	15.32	N/A	N/A	40,308	22,021	517,597	435,495
2018-08-06	$117.13	$110.00	15.0%	4.7%	19.2%	5.2%	17.1%	1.9%	0.5%	128.9M	-2.43B	-12.7M	0.85	3.82	N/A	N/A	31,006	26,409	469,216	412,175
2018-08-07	$117.62	$110.00	14.0%	4.2%	18.9%	0.8%	15.8%	1.9%	0.6%	134.4M	-2.53B	-12.9M	0.60	3.32	N/A	N/A	35,265	21,222	473,491	422,709
2018-08-08	$118.08	$110.00	14.2%	4.3%	18.7%	1.7%	15.5%	1.8%	0.7%	138.2M	-2.65B	-12.9M	1.02	5.58	N/A	N/A	22,789	23,185	477,920	428,759
2018-08-09	$116.97	$110.00	14.3%	4.6%	19.4%	2.2%	16.4%	1.6%	0.7%	101.5M	-2.25B	-13.0M	0.90	7.40	N/A	N/A	31,142	27,950	478,545	439,440
2018-08-10	$115.74	$110.00	16.0%	4.9%	19.9%	9.5%	16.9%	1.9%	0.4%	73.0M	-1.81B	-13.3M	1.60	4.21	N/A	N/A	43,767	70,226	484,915	453,804
2018-08-13	$114.05	$110.00	17.1%	4.9%	15.8%	14.4%	17.7%	2.3%	0.2%	40.1M	-1.28B	-13.0M	1.11	7.05	N/A	N/A	33,937	37,521	469,827	453,604
2018-08-14	$114.79	$110.00	15.4%	4.6%	15.9%	7.2%	16.5%	2.1%	0.5%	45.9M	-1.47B	-13.1M	1.16	4.16	N/A	N/A	28,937	33,552	475,549	462,441
2018-08-15	$113.68	$110.00	16.4%	4.8%	16.3%	11.4%	17.6%	2.5%	0.4%	27.5M	-1.19B	-12.9M	0.87	6.49	N/A	N/A	33,335	28,900	480,072	461,615
2018-08-16	$114.81	$110.00	15.4%	4.6%	15.7%	7.1%	16.0%	2.3%	0.7%	68.9M	-1.57B	-12.7M	1.03	2.60	N/A	N/A	28,659	29,409	484,082	465,618
2018-08-17	$114.90	$110.00	14.8%	4.4%	15.2%	4.4%	15.6%	2.2%	0.8%	228.9M	-1.52B	-12.9M	0.70	3.25	N/A	N/A	30,268	21,054	491,238	468,181
2018-08-20	$114.67	$110.00	15.1%	4.4%	13.7%	5.7%	15.2%	2.1%	0.2%	52.9M	-1.20B	-12.7M	0.56	6.72	N/A	N/A	29,098	16,346	417,525	404,035
2018-08-21	$115.62	$110.00	14.7%	4.2%	13.9%	4.0%	14.7%	2.2%	0.4%	88.3M	-1.54B	-12.3M	0.47	4.26	N/A	N/A	47,028	22,293	427,771	409,596
2018-08-22	$115.11	$110.00	14.7%	4.2%	13.5%	4.1%	14.5%	2.2%	0.5%	91.8M	-1.40B	-12.5M	0.81	13.59	N/A	N/A	34,045	27,482	447,639	413,607
2018-08-23	$114.64	$110.00	14.4%	4.1%	13.4%	2.7%	14.4%	1.9%	0.5%	64.6M	-1.23B	-12.5M	1.00	4.60	N/A	N/A	30,853	30,860	450,508	422,242
2018-08-24	$114.56	$110.00	14.2%	4.0%	12.4%	1.7%	14.4%	2.0%	0.5%	65.9M	-1.17B	-12.9M	0.59	2.94	N/A	N/A	38,553	22,894	461,593	433,929
2018-08-27	$116.79	$110.00	14.6%	4.1%	14.2%	3.5%	14.6%	1.9%	1.2%	121.0M	-1.83B	-12.4M	0.47	2.99	N/A	N/A	47,957	22,628	444,675	418,929
2018-08-28	$116.18	$110.00	15.1%	4.2%	13.3%	5.9%	14.7%	1.8%	1.1%	125.0M	-1.69B	-12.5M	0.63	4.06	N/A	N/A	23,909	14,965	459,621	422,648
2018-08-29	$116.05	$110.00	15.2%	4.2%	12.9%	6.0%	14.6%	1.9%	1.4%	129.7M	-1.64B	-12.9M	0.99	3.80	N/A	N/A	26,178	26,024	466,767	426,224
2018-08-30	$115.27	$110.00	16.4%	4.5%	13.1%	11.4%	15.5%	2.2%	1.1%	109.1M	-1.39B	-12.6M	1.05	13.28	N/A	N/A	30,438	32,071	471,910	432,598
2018-08-31	$114.48	$110.00	16.6%	4.5%	12.9%	12.3%	15.8%	2.4%	1.3%	56.8M	-1.10B	-12.8M	0.81	5.64	N/A	N/A	34,925	28,121	476,420	442,079