JPM Options History — March 2019 In March 2019, JPM traded between $98.92 and $107.38. ATM implied volatility averaged 19.3%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.2% (HV 20d: 15.1%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2019-03-22 : Highest Volume — 133,069 contracts2019-03-22 : Largest IV spike — 17.2% change2019-03-22 : Highest IV Rank — 36.7%2019-03-22 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $103.25 $98.92 $107.38 $104.58 $101.23 Max Pain $103.95 $100.00 $105.00 $100.00 $105.00 ATM IV 19.3% 16.5% 23.2% 17.8% 19.7% Expected Move 5.3% 4.7% 6.1% 4.8% 5.7% HV 20d 15.1% 11.1% 18.3% 14.9% 18.3% HV 60d 18.0% 17.1% 20.6% 20.6% 17.1% IV Rank 21.0% 9.9% 36.7% 15.1% 22.9% IV Percentile 41.7% 11.5% 75.0% 23.8% 51.6% Term Structure -0.2% -1.5% 1.2% 0.7% -0.4% VWIV 18.4% 15.9% 21.5% 16.7% 18.7% Skew 25d 4.2% 2.8% 5.2% 2.8% 3.8% Skew 10d 8.0% 6.4% 10.1% 6.4% 7.3% Call IV 25d 17.4% 15.0% 21.6% 16.5% 18.2% Put IV 25d 21.6% 18.5% 26.8% 19.3% 22.0% Bid-Ask Spread % 4.83 3.02 19.04 3.90 3.02 Gamma HHI 0.11 0.06 0.22 0.14 0.07 Net GEX 23.4M -33.0M 108.3M 55.5M 4.0M Net DEX 31.8M -667.6M 790.6M -256.6M 243.9M Net VEX -11.1M -11.4M -10.6M -11.4M -11.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.34 1.10 0.58 0.52 Total Volume 58,857.762 28,064 133,069 63,282 60,469 Total OI 688,527.905 565,847 749,044 733,198 718,276
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 2019-03-01 $104.58 $100.00 17.8% 4.8% 14.9% 15.1% 16.7% 2.8% 0.7% 55.5M -256.6M -11.4M 0.58 3.90 N/A N/A 40,137 23,145 410,640 322,558 2019-03-04 $104.12 $100.00 19.3% 5.4% 14.9% 21.2% 18.4% 4.4% 0.8% 42.3M -145.1M -11.2M 0.44 19.04 N/A N/A 36,021 15,756 392,435 311,515 2019-03-05 $104.49 $100.00 18.7% 4.9% 14.9% 18.7% 16.5% 4.3% 1.0% 46.3M -208.3M -11.2M 0.34 3.97 N/A N/A 31,277 10,529 395,850 315,201 2019-03-06 $103.74 $102.00 18.8% 5.1% 15.1% 19.2% 18.3% 4.7% 1.2% 24.1M -48.3M -11.1M 1.10 3.66 N/A N/A 20,517 22,564 399,587 318,686 2019-03-07 $102.84 $103.00 20.0% 5.5% 15.4% 24.1% 19.3% 4.9% 0.8% -4.6M 165.3M -11.0M 1.03 3.67 N/A N/A 22,448 23,224 405,814 324,574 2019-03-08 $102.92 $103.00 20.1% 5.2% 14.3% 24.3% 17.9% 4.6% 0.8% -17.5M 129.0M -11.2M 0.63 3.36 N/A N/A 27,690 17,358 407,769 331,965 2019-03-11 $104.35 $105.00 18.6% 5.2% 14.1% 18.4% 17.9% 4.2% -0.9% 55.8M -222.4M -11.0M 0.63 4.93 N/A N/A 26,980 16,938 393,241 314,226 2019-03-12 $103.94 $105.00 18.4% 5.0% 14.3% 17.5% 17.3% 4.2% -0.8% 45.8M -103.6M -10.9M 0.92 3.78 N/A N/A 14,641 13,423 397,469 319,596 2019-03-13 $104.38 $105.00 18.2% 4.9% 13.4% 16.9% 17.3% 4.1% -1.3% 64.0M -183.8M -10.9M 0.66 5.00 N/A N/A 23,334 15,457 401,391 323,257 2019-03-14 $105.42 $105.00 17.5% 4.9% 13.5% 14.1% 16.9% 4.2% -0.8% 108.3M -535.8M -11.1M 0.97 4.87 N/A N/A 22,912 22,147 409,424 327,535 2019-03-15 $105.74 $105.00 16.5% 4.7% 13.4% 9.9% 15.9% 3.5% 0.1% 58.3M -667.6M -11.0M 0.43 4.85 N/A N/A 49,860 21,337 413,806 335,238 2019-03-18 $107.38 $105.00 17.1% 5.0% 11.1% 12.3% 17.3% 3.7% -0.6% 54.3M -539.0M -11.2M 0.41 3.54 N/A N/A 40,092 16,497 284,431 281,416 2019-03-19 $106.62 $105.00 17.7% 5.1% 11.4% 14.7% 17.0% 3.7% -0.7% 45.0M -403.2M -11.3M 0.56 3.73 N/A N/A 30,421 16,917 295,339 286,125 2019-03-20 $104.80 $105.00 18.8% 5.2% 13.0% 19.3% 19.3% 4.0% -0.6% 13.3M -22.4M -11.4M 0.74 4.18 N/A N/A 34,500 25,643 303,456 294,451 2019-03-21 $102.77 $105.00 19.8% 5.3% 14.7% 23.3% 19.7% 4.2% -0.4% -9.9M 341.2M -11.1M 0.70 4.14 N/A N/A 58,082 40,430 317,647 301,548 2019-03-22 $99.70 $105.00 23.2% 6.1% 18.0% 36.7% 21.5% 5.2% -1.5% -32.0M 782.1M -10.8M 0.79 4.93 N/A N/A 74,149 58,920 334,981 315,640 2019-03-25 $98.92 $105.00 22.5% 5.9% 17.4% 33.9% 20.9% 4.8% -0.5% -33.0M 790.6M -10.6M 0.68 4.06 N/A N/A 51,410 34,917 332,429 319,608 2019-03-26 $99.59 $105.00 21.0% 5.8% 17.8% 28.0% 20.1% 4.2% -0.2% -23.5M 642.3M -10.9M 0.42 4.36 N/A N/A 45,035 18,808 350,590 333,349 2019-03-27 $100.06 $105.00 20.8% 5.8% 18.0% 27.3% 20.1% 4.1% -0.2% -9.1M 524.6M -11.2M 0.57 3.77 N/A N/A 37,633 21,346 365,538 339,107 2019-03-28 $100.67 $105.00 20.0% 5.8% 18.1% 24.0% 19.4% 4.0% 0.1% 3.1M 384.7M -11.3M 0.54 4.70 N/A N/A 34,359 18,690 373,556 339,822 2019-03-29 $101.23 $105.00 19.7% 5.7% 18.3% 22.9% 18.7% 3.8% -0.4% 4.0M 243.9M -11.3M 0.52 3.02 N/A N/A 39,868 20,601 374,689 343,587
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