JPM Options History — October 2018

In October 2018, JPM traded between $103.74 and $115.51. ATM implied volatility averaged 22.6%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.6% (HV 20d: 19.0%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.70.

Notable Days

2018-10-12: Highest Volume — 183,670 contracts
2018-10-10: Largest IV spike — 18.0% change
2018-10-11: Highest IV Rank — 61.3%
2018-10-29: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.43	$103.74	$115.51	$113.21	$109.66
Max Pain	$112.17	$110.00	$115.00	$115.00	$110.00
ATM IV	22.6%	19.3%	27.8%	19.3%	22.1%
Expected Move	6.7%	5.6%	8.8%	5.8%	6.8%
HV 20d	19.0%	16.0%	24.2%	16.0%	24.2%
HV 60d	16.4%	14.6%	18.2%	17.6%	18.2%
IV Rank	38.3%	24.2%	61.3%	24.2%	35.8%
IV Percentile	80.7%	61.1%	96.4%	63.5%	81.0%
Term Structure	-0.2%	-1.8%	0.4%	0.4%	0.1%
VWIV	23.5%	19.5%	30.1%	20.4%	25.1%
Skew 25d	4.2%	1.8%	9.3%	2.1%	5.0%
Skew 10d	9.1%	4.1%	26.1%	4.2%	9.6%
Call IV 25d	21.1%	18.4%	26.3%	18.6%	20.3%
Put IV 25d	25.4%	20.7%	35.6%	20.7%	25.3%
Bid-Ask Spread %	8.04	4.43	12.78	5.56	5.99
Gamma HHI	0.09	0.07	0.13	0.10	0.09
Net GEX	14.1M	-30.8M	105.6M	19.4M	47.2M
Net DEX	-43.6M	-1.08B	754.0M	-531.9M	-456.3M
Net VEX	-11.8M	-12.5M	-11.2M	-11.8M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.24	1.09	0.37	0.67
Total Volume	82,698.913	39,896	183,670	62,708	83,877
Total OI	852,092.391	791,116	935,726	804,727	845,954

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
2018-10-01	$113.21	$115.00	19.3%	5.8%	16.0%	24.2%	20.4%	2.1%	0.4%	19.4M	-531.9M	-11.8M	0.37	5.56	N/A	N/A	45,843	16,865	410,936	393,791
2018-10-02	$114.02	$115.00	19.5%	5.9%	16.1%	25.2%	20.9%	2.0%	0.2%	44.1M	-736.7M	-12.0M	0.40	8.86	N/A	N/A	34,859	13,778	422,575	398,995
2018-10-03	$115.04	$115.00	19.3%	6.0%	16.3%	24.2%	21.2%	1.8%	-0.1%	83.1M	-1.03B	-12.0M	0.24	4.43	N/A	N/A	115,154	27,675	432,753	402,199
2018-10-04	$115.00	$115.00	21.2%	6.0%	16.2%	32.3%	20.6%	2.8%	-0.2%	105.6M	-793.1M	-12.2M	0.37	7.03	N/A	N/A	87,572	32,190	437,133	421,437
2018-10-05	$114.43	$115.00	21.5%	6.0%	16.3%	33.8%	21.4%	3.1%	-0.2%	54.1M	-595.8M	-12.1M	0.71	9.97	N/A	N/A	50,948	36,016	438,855	430,194
2018-10-08	$115.51	$115.00	21.0%	6.1%	16.4%	31.8%	21.6%	3.2%	0.3%	81.1M	-1.08B	-12.0M	0.47	8.00	N/A	N/A	47,006	22,153	388,895	402,221
2018-10-09	$114.66	$115.00	21.8%	6.1%	16.5%	35.0%	21.3%	3.2%	-0.3%	73.4M	-888.0M	-12.3M	0.67	7.81	N/A	N/A	47,081	31,422	403,314	409,859
2018-10-10	$112.05	$115.00	25.7%	7.4%	18.1%	52.1%	25.5%	4.6%	-0.1%	30.4M	-322.2M	-12.5M	0.94	9.96	N/A	N/A	49,639	46,623	414,792	423,853
2018-10-11	$108.81	$115.00	27.8%	7.7%	20.7%	61.3%	25.9%	9.3%	-1.3%	-12.1M	381.8M	-12.2M	0.67	12.78	N/A	N/A	95,359	63,794	425,873	443,653
2018-10-12	$106.89	$115.00	25.1%	7.2%	21.4%	49.3%	23.8%	5.4%	-0.0%	-30.8M	754.0M	-11.6M	0.73	8.98	N/A	N/A	106,158	77,512	471,918	454,171
2018-10-15	$107.01	$110.00	23.5%	6.8%	21.4%	42.5%	23.0%	5.1%	-1.8%	-27.7M	552.1M	-11.5M	0.54	5.91	N/A	N/A	44,297	23,893	450,302	442,388
2018-10-16	$108.53	$110.00	19.5%	5.6%	22.0%	25.0%	21.0%	4.1%	-0.0%	-8.2M	159.7M	-11.4M	1.02	7.01	N/A	N/A	40,301	41,214	459,724	436,309
2018-10-17	$109.50	$110.00	19.5%	5.6%	19.1%	25.1%	19.5%	3.6%	-0.2%	-1.8M	-48.7M	-11.8M	0.70	6.01	N/A	N/A	50,508	35,258	466,280	446,880
2018-10-18	$108.34	$110.00	20.8%	6.0%	18.7%	30.6%	22.1%	4.6%	0.1%	-22.7M	246.3M	-11.9M	0.94	9.75	N/A	N/A	34,380	32,467	468,124	452,916
2018-10-19	$108.21	$110.00	20.3%	5.8%	18.7%	28.7%	20.9%	4.5%	0.1%	-14.2M	279.6M	-11.8M	0.96	8.91	N/A	N/A	30,942	29,789	474,414	461,312
2018-10-22	$106.36	$110.00	21.8%	6.5%	19.2%	35.3%	21.9%	4.3%	-0.2%	-9.1M	319.0M	-11.2M	0.79	5.68	N/A	N/A	30,482	24,067	386,213	406,141
2018-10-23	$105.68	$110.00	22.4%	6.8%	19.1%	37.3%	24.5%	4.3%	0.1%	-15.6M	406.7M	-11.2M	1.09	6.67	N/A	N/A	36,317	39,767	392,494	412,639
2018-10-24	$104.18	$110.00	25.2%	7.7%	19.2%	49.5%	27.1%	4.6%	-0.1%	-20.2M	597.2M	-11.3M	0.73	10.81	N/A	N/A	34,233	25,119	400,373	425,338
2018-10-25	$105.34	$110.00	24.2%	7.5%	20.0%	45.1%	26.8%	4.5%	-0.0%	-12.1M	415.4M	-11.7M	0.66	4.84	N/A	N/A	26,538	17,644	407,927	435,551
2018-10-26	$103.74	$110.00	25.7%	8.0%	19.8%	51.9%	28.6%	4.8%	-0.4%	-29.6M	686.4M	-11.4M	0.99	11.83	N/A	N/A	36,703	36,320	410,887	440,463
2018-10-29	$104.19	$110.00	27.3%	8.8%	19.9%	58.9%	30.1%	5.6%	-0.6%	-14.9M	523.0M	-11.7M	0.70	11.25	N/A	N/A	35,464	24,952	384,554	431,225
2018-10-30	$106.54	$110.00	24.4%	7.8%	21.7%	45.9%	26.6%	5.1%	-0.0%	4.3M	157.9M	-11.7M	0.67	6.83	N/A	N/A	23,857	16,039	393,611	438,689
2018-10-31	$109.66	$110.00	22.1%	6.8%	24.2%	35.8%	25.1%	5.0%	0.1%	47.2M	-456.3M	-11.9M	0.67	5.99	N/A	N/A	50,215	33,662	402,552	443,402