JPM Options History — January 2019 In January 2019, JPM traded between $97.38 and $104.44. ATM implied volatility averaged 22.7%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.2% (HV 20d: 22.6%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.73.
Notable Days 2019-01-15 : Highest Volume — 150,974 contracts2019-01-15 : Largest IV drop — 14.3% change2019-01-03 : Highest IV Rank — 71.1%2019-01-02 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $101.92 $97.38 $104.44 $99.23 $103.19 Max Pain $100.24 $100.00 $105.00 $105.00 $100.00 ATM IV 22.7% 18.0% 31.9% 29.7% 18.8% Expected Move 6.5% 5.1% 9.1% 9.1% 5.3% HV 20d 22.6% 18.4% 26.2% 25.6% 18.4% HV 60d 23.5% 22.2% 25.0% 23.8% 22.3% IV Rank 34.8% 16.1% 71.1% 62.4% 19.1% IV Percentile 58.6% 25.8% 96.0% 94.4% 33.3% Term Structure -0.0% -1.1% 1.3% -1.0% 0.5% VWIV 23.7% 17.6% 46.4% 46.4% 18.2% Skew 25d 4.6% 3.4% 6.5% 6.1% 3.4% Skew 10d 9.5% 7.0% 13.7% 12.7% 7.0% Call IV 25d 20.8% 16.6% 29.2% 27.1% 17.2% Put IV 25d 25.4% 20.3% 35.7% 33.2% 20.6% Bid-Ask Spread % 3.75 2.57 5.88 4.60 2.74 Gamma HHI 0.10 0.06 0.13 0.08 0.13 Net GEX 23.8M -27.7M 61.3M -13.8M 36.7M Net DEX 51.0M -531.1M 959.6M 712.0M -127.2M Net VEX -10.1M -11.4M -9.2M -9.2M -11.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.27 1.59 0.31 0.54 Total Volume 66,251.667 10,203 150,974 108,235 58,568 Total OI 771,249.381 534,409 954,913 819,046 666,111
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 2019-01-02 $99.23 $105.00 29.7% 9.1% 25.6% 62.4% 46.4% 6.1% -1.0% -13.8M 712.0M -9.2M 0.31 4.60 N/A N/A 82,525 25,710 370,025 449,021 2019-01-03 $97.38 $100.00 31.9% 9.0% 22.4% 71.1% 29.2% 6.5% -1.1% -27.7M 959.6M -9.2M 1.09 4.59 N/A N/A 33,460 36,475 368,780 455,654 2019-01-04 $100.67 $100.00 28.4% 8.0% 26.2% 57.5% 27.9% 5.9% -0.6% -5.3M 360.0M -9.7M 0.73 5.46 N/A N/A 62,379 45,638 373,823 459,173 2019-01-07 $100.99 $100.00 28.3% 8.0% 25.5% 57.0% 28.0% 5.6% -0.3% -2.8M 277.8M -9.8M 0.27 4.89 N/A N/A 33,020 8,894 373,542 448,204 2019-01-08 $100.56 $100.00 27.4% 7.7% 25.2% 53.3% 26.9% 5.3% -0.3% 362.6K 290.6M -10.0M 0.51 5.88 N/A N/A 25,335 12,985 400,668 449,659 2019-01-09 $100.40 $100.00 26.3% 7.4% 24.0% 48.9% 27.7% 5.0% -0.6% 164.4K 319.1M -9.8M 1.59 3.67 N/A N/A 16,013 25,475 400,891 452,884 2019-01-10 $100.67 $100.00 25.4% 7.2% 23.9% 45.2% 25.3% 5.0% -0.2% 1.6M 315.5M -9.7M 1.08 3.49 N/A N/A 20,676 22,330 404,638 466,078 2019-01-11 $100.09 $100.00 24.9% 7.0% 23.8% 43.4% 26.2% 4.8% -0.9% -7.3M 407.8M -9.6M 0.91 3.45 N/A N/A 30,358 27,759 410,277 469,471 2019-01-14 $101.13 $100.00 24.5% 7.0% 24.1% 41.9% 23.5% 4.8% -1.1% 4.8M 233.7M -9.5M 0.70 2.57 N/A N/A 49,496 34,682 401,768 467,905 2019-01-15 $101.90 $100.00 21.0% 6.0% 24.0% 27.9% 20.9% 4.2% -0.9% 44.7M -15.3M -9.5M 0.59 4.91 N/A N/A 94,738 56,236 429,667 480,511 2019-01-16 $102.90 $100.00 18.8% 5.4% 23.4% 19.0% 19.9% 4.0% 0.7% 59.0M -273.5M -9.9M 0.66 3.48 N/A N/A 53,613 35,471 443,951 492,388 2019-01-17 $102.81 $100.00 18.5% 5.3% 23.4% 18.0% 19.0% 4.2% 1.0% 52.8M -228.3M -9.9M 0.38 3.10 N/A N/A 62,133 23,588 451,553 496,238 2019-01-18 $104.44 $100.00 18.0% 5.1% 23.0% 16.1% 17.6% 3.5% 0.4% 40.7M -531.1M -10.0M 0.48 2.80 N/A N/A 62,000 29,537 452,186 502,727 2019-01-22 $102.45 $100.00 20.3% 6.1% 23.8% 25.2% 22.1% 4.0% 0.5% 30.2M -77.3M -9.9M 0.82 4.67 N/A N/A 27,359 22,351 281,978 252,431 2019-01-23 $102.69 $100.00 19.9% 5.9% 22.0% 23.5% 21.0% 4.0% 0.7% 33.8M -103.1M -10.2M 0.53 3.00 N/A N/A 44,967 23,702 293,779 264,821 2019-01-24 $102.76 $100.00 19.4% 5.6% 20.9% 21.5% 20.8% 4.1% 0.8% 40.4M -138.5M -10.5M 0.70 3.17 N/A N/A 19,124 13,454 315,511 275,323 2019-01-25 $103.40 $100.00 18.7% 5.4% 18.6% 18.9% 19.0% 3.8% 1.3% 44.2M -273.1M -10.6M 0.99 2.98 N/A N/A 31,268 31,102 330,049 281,186 2019-01-28 $103.90 $100.00 18.7% 5.3% 18.6% 18.7% 19.0% 4.1% 0.6% 50.1M -287.5M -11.2M 1.05 2.97 N/A N/A 4,972 5,231 323,518 279,837 2019-01-29 $104.30 $100.00 19.4% 5.4% 18.6% 21.5% 18.8% 4.1% -0.1% 55.3M -366.6M -11.4M 0.71 2.83 N/A N/A 20,876 14,787 331,628 291,659 2019-01-30 $104.39 $100.00 19.2% 5.4% 18.5% 20.9% 20.2% 3.7% -0.0% 61.3M -384.7M -11.4M 0.64 3.39 N/A N/A 38,424 24,574 338,619 298,105 2019-01-31 $103.19 $100.00 18.8% 5.3% 18.4% 19.1% 18.2% 3.4% 0.5% 36.7M -127.2M -11.3M 0.54 2.74 N/A N/A 38,144 20,424 360,056 306,055
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