JPM Options History — December 2018

In December 2018, JPM traded between $92.71 and $112.05. ATM implied volatility averaged 30.7%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.5% (HV 20d: 24.1%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2018-12-06: Highest Volume — 103,862 contracts
  • 2018-12-04: Largest IV spike — 35.5% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.20$92.71$112.05$112.05$97.48
Max Pain$106.00$105.00$110.00$110.00$105.00
ATM IV30.7%19.8%39.2%19.8%31.5%
Expected Move9.2%5.7%11.7%5.7%9.6%
HV 20d24.1%20.8%25.9%20.8%24.6%
HV 60d22.5%20.6%23.4%20.6%23.4%
IV Rank71.3%25.8%100.0%25.8%69.5%
IV Percentile95.1%54.0%100.0%54.0%96.0%
Term Structure-0.2%-2.3%2.1%-0.6%-0.5%
VWIV32.0%20.1%42.5%20.1%33.5%
Skew 25d6.1%3.7%7.5%4.2%6.1%
Skew 10d12.1%7.7%16.2%8.1%13.3%
Call IV 25d28.2%17.8%35.9%17.8%29.2%
Put IV 25d34.2%22.0%43.3%22.0%35.3%
Bid-Ask Spread %5.903.0312.774.333.86
Gamma HHI0.090.070.110.110.09
Net GEX-28.5M-54.2M62.8M62.8M-24.6M
Net DEX920.8M-874.7M1.87B-874.7M948.8M
Net VEX-9.7M-11.1M-8.4M-10.8M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.601.661.071.04
Total Volume66,615.2535,252103,86243,57435,252
Total OI864,367.75760,309949,913823,464810,102

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$112.05$110.0019.8%5.7%20.8%25.8%20.1%4.2%-0.6%62.8M-874.7M-10.8M1.074.33N/AN/A21,07622,498385,292438,172
2018-12-04$107.42$110.0026.8%8.4%25.8%56.8%29.6%5.5%-0.4%-2.8M85.3M-11.1M1.665.46N/AN/A37,41962,082393,120444,710
2018-12-05$107.34$110.0026.3%8.6%25.8%54.3%30.2%3.7%-0.4%-2.9M92.3M-11.0M1.5612.77N/AN/A40,41663,200393,120444,710
2018-12-06$105.23$110.0026.5%8.0%25.1%55.4%27.1%6.6%0.1%-30.5M505.7M-10.5M1.204.66N/AN/A47,29456,568400,913459,320
2018-12-07$103.86$105.0027.6%7.9%25.1%60.2%28.1%6.6%-0.2%-28.0M664.9M-10.5M1.106.50N/AN/A19,42421,274414,346470,450
2018-12-10$101.62$105.0029.8%9.0%25.9%69.8%31.1%6.6%1.5%-36.2M944.3M-10.0M0.885.37N/AN/A48,44742,436396,022462,832
2018-12-11$100.77$105.0028.6%8.6%25.2%64.6%29.4%6.5%1.5%-36.2M1.02B-9.7M0.814.11N/AN/A35,92429,058413,639469,573
2018-12-12$101.42$105.0027.1%8.4%25.2%57.7%30.1%5.7%1.9%-34.3M927.0M-10.0M0.853.03N/AN/A46,46839,535422,187477,232
2018-12-13$101.02$105.0027.2%8.3%24.6%58.2%28.3%5.2%2.1%-36.3M967.7M-9.8M0.854.07N/AN/A25,56421,692431,066482,426
2018-12-14$100.13$105.0028.7%8.6%23.1%65.2%29.9%5.2%1.5%-37.5M1.10B-9.7M0.945.99N/AN/A33,01431,010438,054485,073
2018-12-17$98.58$105.0032.4%9.4%23.2%81.1%34.8%5.7%-1.4%-42.2M1.24B-9.4M1.525.01N/AN/A17,62926,808415,744474,282
2018-12-18$98.63$105.0033.1%9.5%23.2%84.2%31.3%5.8%-1.1%-45.9M1.24B-9.7M0.714.64N/AN/A40,86329,047423,789492,236
2018-12-19$97.16$105.0032.7%9.4%23.3%82.5%31.7%5.8%-0.6%-54.0M1.48B-9.3M0.606.45N/AN/A32,09119,145427,929490,175
2018-12-20$96.12$105.0034.7%10.1%23.3%91.4%34.4%6.4%-2.3%-54.2M1.60B-9.1M0.829.20N/AN/A33,11227,255441,701495,246
2018-12-21$94.05$105.0035.9%10.4%23.9%96.6%36.5%7.5%-0.9%-53.4M1.87B-8.7M1.246.13N/AN/A30,60037,960449,195500,718
2018-12-24$92.71$105.0039.2%11.7%20.8%100.0%42.5%7.4%-1.0%-39.5M1.43B-8.4M1.358.27N/AN/A18,18124,558338,958421,351
2018-12-26$95.59$105.0036.0%10.8%24.8%87.6%39.9%7.4%-1.0%-33.8M1.16B-8.7M0.645.58N/AN/A40,44025,976345,685427,812
2018-12-27$96.30$105.0035.6%10.9%24.3%86.0%36.9%6.8%-1.2%-24.3M1.01B-9.2M0.976.98N/AN/A33,55332,561357,112434,670
2018-12-28$96.57$105.0033.9%10.3%24.5%78.9%35.3%6.6%-0.6%-16.9M988.5M-9.1M0.815.66N/AN/A45,84437,031371,672446,721
2018-12-31$97.48$105.0031.5%9.6%24.6%69.5%33.5%6.1%-0.5%-24.6M948.8M-9.1M1.043.86N/AN/A17,27917,973365,604444,498