JPM Options History — September 2018

In September 2018, JPM traded between $112.79 and $118.78. ATM implied volatility averaged 18.2%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.9% (HV 20d: 13.4%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.66.

Notable Days

  • 2018-09-19: Highest Volume — 147,358 contracts
  • 2018-09-24: Largest IV spike — 6.7% change
  • 2018-09-12: Highest IV Rank — 25.7%
  • 2018-09-28: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.02$112.79$118.78$115.07$112.79
Max Pain$114.47$110.00$115.00$110.00$115.00
ATM IV18.2%16.6%19.7%17.5%19.3%
Expected Move5.2%4.7%5.7%4.7%5.7%
HV 20d13.4%10.9%16.0%13.1%16.0%
HV 60d16.8%16.3%17.5%16.9%17.5%
IV Rank19.5%12.2%25.7%16.2%24.2%
IV Percentile51.2%26.2%67.5%42.5%63.1%
Term Structure0.1%-1.1%1.4%1.2%-0.1%
VWIV18.5%16.5%19.8%16.7%19.8%
Skew 25d2.8%1.8%3.6%2.8%1.8%
Skew 10d5.5%3.7%6.9%5.0%3.7%
Call IV 25d17.3%16.0%19.0%16.1%19.0%
Put IV 25d20.1%18.9%21.5%18.9%20.8%
Bid-Ask Spread %6.932.9810.718.814.97
Gamma HHI0.140.100.450.130.10
Net GEX88.2M27.1M326.9M78.9M27.1M
Net DEX-1.24B-2.79B-286.0M-1.32B-286.0M
Net VEX-11.8M-12.5M-11.2M-12.4M-11.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.381.070.760.48
Total Volume69,604.73737,192147,35854,15677,935
Total OI898,277.526743,992996,553892,387841,232

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$115.07$110.0017.5%4.7%13.1%16.2%16.7%2.8%1.2%78.9M-1.32B-12.4M0.768.81N/AN/A30,74823,408457,545434,842
2018-09-05$114.44$110.0018.2%4.8%13.1%19.3%16.5%2.5%0.8%60.3M-1.13B-12.3M0.953.67N/AN/A24,63223,286462,702444,738
2018-09-06$114.04$115.0018.6%5.5%12.9%21.3%18.8%2.7%1.2%48.2M-980.1M-12.5M0.869.29N/AN/A28,75524,849467,674449,677
2018-09-07$114.47$115.0018.6%5.5%12.7%21.2%19.3%3.2%1.4%63.4M-1.13B-12.5M0.8210.71N/AN/A31,09325,372473,797452,483
2018-09-10$113.75$115.0019.0%5.4%12.4%22.9%19.0%3.6%-0.4%48.7M-944.8M-11.9M0.987.79N/AN/A24,46123,908460,602443,705
2018-09-11$114.51$115.0018.7%5.4%11.5%21.4%18.5%3.3%0.2%71.2M-1.17B-11.8M0.968.66N/AN/A18,93218,260465,298451,314
2018-09-12$113.23$115.0019.7%5.4%12.0%25.7%19.2%2.7%-0.8%34.4M-808.3M-11.7M1.076.87N/AN/A24,62426,236473,617454,617
2018-09-13$113.61$115.0018.6%5.2%11.5%21.0%19.0%3.0%-0.5%39.0M-889.8M-11.5M0.597.93N/AN/A50,60329,753478,614459,963
2018-09-14$113.49$115.0018.4%5.1%10.9%20.4%18.0%2.7%-1.1%42.9M-908.3M-11.4M0.569.81N/AN/A36,49320,506493,340462,489
2018-09-17$113.74$115.0018.8%5.4%11.0%21.8%19.2%3.0%-0.3%59.6M-989.8M-11.3M0.456.11N/AN/A30,66913,950477,198454,294
2018-09-18$114.44$115.0018.1%5.2%11.2%19.0%17.7%3.0%-0.0%102.0M-1.24B-11.5M0.698.46N/AN/A36,59725,248492,216455,765
2018-09-19$117.83$115.0017.1%4.9%15.1%14.6%18.7%3.2%0.3%210.7M-2.42B-11.5M0.387.31N/AN/A106,97540,383502,611458,163
2018-09-20$118.78$115.0017.0%4.9%15.1%14.0%17.8%2.8%0.0%206.0M-2.79B-11.2M0.436.39N/AN/A71,02930,314514,524467,778
2018-09-21$117.99$115.0016.6%4.7%15.3%12.2%17.9%2.8%0.1%326.9M-2.48B-11.5M0.585.03N/AN/A65,21137,547516,847479,706
2018-09-24$116.75$115.0017.7%5.1%15.9%17.1%19.3%2.6%-0.1%88.7M-1.26B-11.5M0.704.01N/AN/A45,14431,708374,992369,000
2018-09-25$116.69$115.0017.7%5.2%14.3%17.2%18.3%2.5%0.0%81.9M-1.24B-11.8M0.562.98N/AN/A36,74620,583386,720386,768
2018-09-26$115.09$115.0018.4%5.4%15.0%20.2%18.6%2.2%-0.1%40.5M-804.9M-12.0M0.417.84N/AN/A52,91721,608396,035393,737
2018-09-27$114.75$115.0018.6%5.5%15.0%20.9%19.6%2.3%0.0%45.6M-759.5M-11.9M0.415.05N/AN/A65,25526,752413,657399,013
2018-09-28$112.79$115.0019.3%5.7%16.0%24.2%19.8%1.8%-0.1%27.1M-286.0M-11.8M0.484.97N/AN/A52,73125,204432,512408,720