JPM Options History — May 2019 In May 2019, JPM traded between $105.95 and $116.10. ATM implied volatility averaged 19.8%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.1% (HV 20d: 19.8%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.11.
Notable Days 2019-05-31 : Highest Volume — 100,198 contracts2019-05-07 : Largest IV spike — 21.4% change2019-05-31 : Highest IV Rank — 38.5%2019-05-31 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $111.18 $105.95 $116.10 $115.56 $105.95 Max Pain $110.00 $110.00 $110.00 $110.00 $110.00 ATM IV 19.8% 15.6% 23.7% 15.6% 23.7% Expected Move 5.7% 4.5% 6.6% 4.7% 6.6% HV 20d 19.8% 17.0% 22.9% 20.3% 19.3% HV 60d 19.8% 19.0% 20.9% 19.2% 20.9% IV Rank 23.4% 6.7% 38.5% 6.7% 38.5% IV Percentile 53.4% 8.3% 83.3% 8.3% 83.3% Term Structure 0.3% -0.1% 0.8% 0.4% 0.4% VWIV 20.3% 15.8% 23.9% 16.6% 23.9% Skew 25d 4.6% 2.7% 5.8% 2.7% 5.4% Skew 10d 9.4% 5.1% 12.0% 5.1% 11.3% Call IV 25d 17.8% 14.5% 21.2% 14.7% 21.2% Put IV 25d 22.4% 17.3% 26.6% 17.4% 26.6% Bid-Ask Spread % 5.62 3.05 14.13 14.13 3.05 Gamma HHI 0.12 0.07 0.21 0.16 0.13 Net GEX 27.8M -60.5M 142.8M 78.6M -60.5M Net DEX -607.9M -1.96B 667.1M -1.82B 667.1M Net VEX -13.4M -14.2M -12.6M -12.6M -13.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.77 1.98 0.84 1.55 Total Volume 53,680.273 35,419 100,198 56,111 100,198 Total OI 796,991.636 745,678 838,863 745,678 837,749
Daily Data (22 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 2019-05-01 $115.56 $110.00 15.6% 4.7% 20.3% 6.7% 16.6% 2.7% 0.4% 78.6M -1.82B -12.6M 0.84 14.13 N/A N/A 30,511 25,600 367,773 377,905 2019-05-02 $115.27 $110.00 16.2% 4.7% 20.5% 9.0% 16.0% 3.0% -0.0% 74.1M -1.72B -12.9M 1.04 7.41 N/A N/A 24,352 25,327 375,022 389,436 2019-05-03 $116.10 $110.00 15.9% 4.5% 20.5% 7.8% 15.8% 2.9% 0.5% 142.8M -1.96B -13.0M 0.90 5.57 N/A N/A 27,079 24,298 382,947 399,783 2019-05-06 $115.16 $110.00 17.7% 5.2% 20.8% 14.8% 18.9% 3.9% 0.7% 73.4M -1.58B -13.2M 1.15 5.61 N/A N/A 23,643 27,206 365,792 390,787 2019-05-07 $112.63 $110.00 21.5% 5.9% 22.9% 29.9% 22.0% 5.0% -0.1% 41.8M -960.4M -14.0M 1.98 5.43 N/A N/A 23,511 46,475 370,620 402,433 2019-05-08 $113.13 $110.00 20.6% 5.6% 22.5% 26.2% 20.8% 4.6% -0.1% 41.8M -1.03B -14.2M 0.96 5.02 N/A N/A 19,185 18,409 375,080 418,031 2019-05-09 $112.53 $110.00 20.8% 5.8% 22.7% 27.0% 22.6% 5.0% -0.1% 31.0M -876.9M -14.2M 1.22 5.90 N/A N/A 26,216 32,064 379,088 423,699 2019-05-10 $112.24 $110.00 19.4% 5.9% 22.7% 21.8% 20.0% 4.5% 0.1% 28.2M -836.5M -13.9M 0.80 3.69 N/A N/A 19,713 15,706 385,013 429,343 2019-05-13 $109.08 $110.00 23.2% 6.6% 20.1% 36.6% 23.7% 5.8% -0.1% 6.4M -135.5M -13.8M 0.96 5.54 N/A N/A 32,944 31,750 370,139 416,462 2019-05-14 $110.40 $110.00 20.8% 6.0% 20.2% 27.2% 22.7% 5.1% 0.3% 20.5M -399.3M -13.5M 1.06 4.61 N/A N/A 22,631 24,081 378,083 427,731 2019-05-15 $110.01 $110.00 19.8% 5.8% 19.8% 23.1% 20.6% 5.0% 0.4% 12.9M -291.1M -13.4M 0.81 4.79 N/A N/A 25,767 20,973 384,155 435,022 2019-05-16 $111.34 $110.00 18.8% 5.6% 17.0% 19.4% 19.1% 4.3% 0.7% 33.7M -699.1M -13.3M 0.86 5.78 N/A N/A 28,121 24,281 390,355 439,931 2019-05-17 $110.74 $110.00 19.0% 5.6% 17.0% 20.1% 19.7% 4.8% 0.8% -11.3M -546.4M -13.4M 0.82 7.13 N/A N/A 40,781 33,387 394,941 443,922 2019-05-20 $111.34 $110.00 20.1% 5.8% 17.1% 24.5% 19.7% 5.0% 0.1% 37.8M -578.5M -13.5M 1.02 5.34 N/A N/A 20,572 21,052 355,997 403,493 2019-05-21 $111.76 $110.00 17.4% 5.0% 17.2% 13.8% 18.7% 4.2% 0.8% 46.6M -678.5M -13.4M 0.89 5.36 N/A N/A 19,719 17,572 365,910 416,091 2019-05-22 $110.92 $110.00 18.1% 5.2% 17.3% 16.6% 18.0% 4.4% 0.3% 34.5M -500.0M -13.3M 0.77 4.83 N/A N/A 22,116 17,050 373,538 418,826 2019-05-23 $108.09 $110.00 21.9% 6.3% 19.4% 31.6% 22.5% 5.4% 0.1% -15.5M 172.0M -13.4M 1.41 3.33 N/A N/A 29,775 42,119 380,824 422,887 2019-05-24 $109.78 $110.00 20.0% 5.7% 20.3% 23.8% 21.7% 4.9% 0.6% 36.4M -201.5M -13.5M 1.39 4.82 N/A N/A 21,430 29,878 389,443 432,196 2019-05-28 $108.69 $110.00 21.2% 6.0% 19.0% 28.9% 21.5% 5.3% 0.3% -2.1M 53.8M -13.2M 1.68 6.90 N/A N/A 15,990 26,846 369,664 424,341 2019-05-29 $108.19 $110.00 22.3% 6.3% 19.0% 33.2% 20.6% 5.4% 0.1% -13.3M 155.6M -13.3M 1.01 4.75 N/A N/A 23,418 23,544 375,781 431,674 2019-05-30 $107.02 $110.00 22.4% 6.3% 19.2% 33.5% 21.4% 5.1% 0.3% -27.0M 394.6M -13.2M 1.22 4.67 N/A N/A 25,049 30,627 386,714 435,195 2019-05-31 $105.95 $110.00 23.7% 6.6% 19.3% 38.5% 23.9% 5.4% 0.4% -60.5M 667.1M -13.1M 1.55 3.05 N/A N/A 39,247 60,951 392,523 445,226
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