JPM Options History — November 2018

In November 2018, JPM traded between $106.65 and $112.19. ATM implied volatility averaged 22.6%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.4% (HV 20d: 23.0%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.02.

Notable Days

2018-11-02: Highest Volume — 103,756 contracts
2018-11-07: Largest IV drop — 16.0% change
2018-11-20: Highest IV Rank — 53.8%
2018-11-20: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.64	$106.65	$112.19	$108.79	$111.28
Max Pain	$108.57	$105.00	$110.00	$110.00	$110.00
ATM IV	22.6%	19.2%	26.2%	22.1%	21.5%
Expected Move	6.6%	5.7%	7.5%	6.8%	6.3%
HV 20d	23.0%	20.8%	24.4%	24.2%	20.8%
HV 60d	19.2%	17.9%	20.5%	18.2%	20.5%
IV Rank	38.2%	23.0%	53.8%	36.1%	33.1%
IV Percentile	78.4%	52.0%	94.0%	81.0%	68.7%
Term Structure	-0.2%	-1.2%	0.6%	0.2%	0.5%
VWIV	23.4%	19.7%	26.9%	24.8%	22.2%
Skew 25d	4.8%	4.2%	5.8%	4.9%	4.4%
Skew 10d	9.8%	8.1%	11.6%	9.7%	9.2%
Call IV 25d	20.5%	17.0%	23.9%	20.2%	19.0%
Put IV 25d	25.3%	21.2%	29.5%	25.1%	23.4%
Bid-Ask Spread %	6.01	3.57	10.23	4.95	4.27
Gamma HHI	0.09	0.07	0.11	0.08	0.10
Net GEX	33.8M	-10.9M	92.5M	34.5M	55.7M
Net DEX	-420.6M	-1.08B	209.8M	-238.1M	-778.7M
Net VEX	-11.5M	-11.9M	-10.9M	-11.8M	-11.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.45	1.91	0.69	1.06
Total Volume	57,975.095	27,458	103,756	43,478	57,530
Total OI	866,457.905	791,151	963,670	862,300	847,310

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
2018-11-01	$108.79	$110.00	22.1%	6.8%	24.2%	36.1%	24.8%	4.9%	0.2%	34.5M	-238.1M	-11.8M	0.69	4.95	N/A	N/A	25,774	17,704	409,984	452,316
2018-11-02	$108.25	$110.00	23.3%	7.3%	24.2%	41.1%	26.9%	5.0%	-0.2%	15.1M	-114.7M	-11.9M	1.42	10.20	N/A	N/A	42,890	60,866	417,511	455,078
2018-11-05	$109.07	$105.00	23.0%	6.4%	24.1%	40.0%	22.1%	5.3%	-0.1%	25.5M	-296.5M	-11.8M	0.97	7.07	N/A	N/A	16,817	16,230	408,080	455,112
2018-11-06	$109.01	$105.00	22.8%	6.3%	24.1%	39.0%	25.9%	4.8%	-0.6%	26.1M	-278.3M	-11.9M	1.24	6.46	N/A	N/A	24,105	30,006	414,114	457,961
2018-11-07	$111.50	$105.00	19.2%	5.7%	24.4%	23.0%	19.7%	4.3%	-0.1%	74.0M	-924.5M	-11.3M	0.86	4.56	N/A	N/A	34,621	29,891	423,341	464,576
2018-11-08	$112.19	$105.00	19.3%	5.9%	21.9%	23.5%	20.3%	4.3%	0.1%	92.5M	-1.08B	-11.4M	0.92	5.74	N/A	N/A	37,610	34,515	433,683	472,392
2018-11-09	$111.45	$105.00	20.4%	6.0%	20.9%	28.3%	20.9%	4.4%	0.1%	64.3M	-842.2M	-11.8M	1.10	10.23	N/A	N/A	23,375	25,789	440,484	483,190
2018-11-12	$109.07	$105.00	23.5%	6.5%	22.5%	42.0%	24.1%	5.8%	-0.6%	16.4M	-249.4M	-11.5M	1.91	8.69	N/A	N/A	20,038	38,238	423,060	464,684
2018-11-13	$109.76	$110.00	22.6%	6.5%	22.1%	37.9%	21.9%	4.9%	0.2%	22.6M	-386.9M	-11.6M	0.81	6.48	N/A	N/A	30,361	24,539	431,139	487,983
2018-11-14	$107.73	$110.00	24.7%	6.8%	22.9%	47.5%	25.0%	5.3%	-1.1%	-5.8M	109.5M	-11.7M	1.28	7.30	N/A	N/A	40,402	51,910	442,969	495,033
2018-11-15	$109.85	$110.00	23.4%	6.7%	23.6%	41.7%	24.0%	5.3%	-0.2%	53.9M	-466.3M	-11.8M	0.53	7.64	N/A	N/A	55,032	29,424	454,093	497,697
2018-11-16	$110.30	$110.00	21.7%	6.2%	23.7%	34.0%	21.6%	4.6%	-0.0%	62.9M	-733.2M	-11.4M	0.84	6.91	N/A	N/A	45,060	37,786	457,727	505,943
2018-11-19	$110.36	$110.00	23.3%	6.7%	22.7%	41.3%	23.6%	5.0%	-0.9%	31.2M	-544.3M	-11.6M	1.27	4.27	N/A	N/A	27,669	35,275	360,415	430,736
2018-11-20	$108.83	$110.00	26.2%	7.5%	23.2%	53.8%	25.9%	5.6%	-1.1%	13.8M	-245.1M	-11.8M	1.44	4.80	N/A	N/A	21,793	31,406	368,628	441,589
2018-11-21	$107.89	$110.00	24.3%	7.0%	22.8%	45.4%	23.1%	5.1%	-0.9%	-1.9M	-47.4M	-11.4M	0.80	3.75	N/A	N/A	21,447	17,060	373,248	447,909
2018-11-23	$106.65	$110.00	25.1%	7.3%	22.9%	49.3%	25.9%	5.1%	-1.2%	-10.9M	209.8M	-11.4M	1.10	6.72	N/A	N/A	15,057	16,635	379,621	451,897
2018-11-26	$109.43	$110.00	23.0%	6.9%	23.8%	39.9%	23.1%	4.6%	0.4%	20.9M	-345.6M	-11.0M	0.85	3.57	N/A	N/A	31,133	26,447	358,436	436,351
2018-11-27	$109.59	$110.00	22.3%	6.6%	23.8%	36.7%	23.7%	4.5%	0.5%	26.4M	-353.0M	-11.2M	1.09	3.75	N/A	N/A	13,153	14,305	367,796	440,231
2018-11-28	$111.08	$110.00	21.4%	6.4%	23.0%	33.0%	23.2%	4.2%	0.6%	47.6M	-667.7M	-11.1M	0.69	4.08	N/A	N/A	29,884	20,657	370,417	444,810
2018-11-29	$110.31	$110.00	21.8%	6.5%	20.9%	34.7%	22.8%	4.2%	0.3%	44.7M	-557.6M	-10.9M	0.45	4.68	N/A	N/A	31,094	13,949	379,124	448,948
2018-11-30	$111.28	$110.00	21.5%	6.3%	20.8%	33.1%	22.2%	4.4%	0.5%	55.7M	-778.7M	-11.3M	1.06	4.27	N/A	N/A	27,863	29,667	394,516	452,794