JPM Options History — June 2019 In June 2019, JPM traded between $105.94 and $111.45. ATM implied volatility averaged 21.1%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.7% (HV 20d: 20.5%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.95.
Notable Days 2019-06-28 : Highest Volume — 105,557 contracts2019-06-04 : Largest IV drop — 9.9% change2019-06-03 : Highest IV Rank — 40.0%2019-06-03 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $109.59 $105.94 $111.45 $105.94 $111.45 Max Pain $110.00 $110.00 $110.00 $110.00 $110.00 ATM IV 21.1% 20.2% 24.1% 24.1% 20.3% Expected Move 6.2% 5.9% 6.8% 6.8% 6.0% HV 20d 20.5% 18.1% 23.2% 18.9% 19.2% HV 60d 21.1% 19.7% 22.0% 20.8% 20.2% IV Rank 28.4% 24.9% 40.0% 40.0% 25.3% IV Percentile 65.1% 55.2% 83.3% 83.3% 56.7% Term Structure 0.2% -0.9% 2.3% -0.9% 0.3% VWIV 22.3% 20.1% 24.6% 23.6% 21.2% Skew 25d 4.9% 4.2% 6.3% 6.3% 4.2% Skew 10d 9.5% 8.0% 11.6% 11.5% 8.9% Call IV 25d 19.1% 17.3% 21.8% 21.8% 18.7% Put IV 25d 24.0% 22.3% 28.1% 28.1% 22.9% Bid-Ask Spread % 4.97 2.93 7.89 7.47 7.18 Gamma HHI 0.11 0.07 0.34 0.08 0.10 Net GEX 36.8M -22.3M 119.6M -22.3M 62.6M Net DEX -93.0M -494.7M 608.0M 608.0M -208.2M Net VEX -13.4M -13.9M -12.8M -13.1M -13.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.45 2.15 1.17 0.55 Total Volume 52,671.3 30,570 105,557 43,228 105,557 Total OI 835,442.2 658,503 935,244 830,178 726,689
Daily Data (20 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 2019-06-03 $105.94 $110.00 24.1% 6.8% 18.9% 40.0% 23.6% 6.3% -0.9% -22.3M 608.0M -13.1M 1.17 7.47 N/A N/A 19,963 23,265 381,882 448,296 2019-06-04 $109.55 $110.00 21.7% 6.0% 23.2% 30.6% 22.4% 5.7% -0.6% 31.1M -211.3M -13.9M 0.87 6.69 N/A N/A 26,901 23,418 392,232 456,821 2019-06-05 $110.12 $110.00 21.9% 6.0% 22.1% 31.3% 20.9% 5.5% -0.6% 50.1M -367.8M -13.9M 0.82 5.77 N/A N/A 17,600 14,394 400,480 461,738 2019-06-06 $110.42 $110.00 21.2% 6.4% 22.0% 28.7% 22.6% 5.5% -0.6% 55.8M -447.6M -13.7M 1.45 7.89 N/A N/A 18,470 26,751 405,977 465,218 2019-06-07 $109.17 $110.00 20.8% 6.2% 22.3% 27.2% 22.2% 4.8% -0.5% 19.6M -105.5M -13.4M 1.29 7.73 N/A N/A 26,683 34,519 410,396 473,173 2019-06-10 $110.47 $110.00 20.9% 6.5% 22.8% 27.7% 22.9% 4.9% 1.9% 50.8M -408.2M -13.7M 0.86 4.58 N/A N/A 18,496 15,999 402,084 455,350 2019-06-11 $110.81 $110.00 20.4% 6.4% 20.3% 25.4% 22.5% 5.1% 2.3% 59.4M -493.9M -13.5M 2.15 4.42 N/A N/A 24,962 53,691 408,043 461,811 2019-06-12 $109.06 $110.00 20.8% 6.3% 20.7% 27.0% 24.5% 5.1% 1.1% 12.4M 68.8M -13.6M 1.29 3.35 N/A N/A 20,588 26,630 417,501 480,646 2019-06-13 $109.33 $110.00 20.5% 6.2% 20.7% 26.1% 22.7% 5.3% 1.5% 19.8M -7.5M -13.3M 1.11 4.75 N/A N/A 19,835 21,995 420,527 482,847 2019-06-14 $110.09 $110.00 20.2% 6.2% 20.3% 24.9% 23.9% 5.0% 2.1% 17.6M -233.3M -13.5M 1.25 5.07 N/A N/A 22,289 27,866 424,583 488,044 2019-06-17 $109.28 $110.00 21.3% 6.2% 20.4% 29.2% 24.6% 5.0% 0.1% 27.0M -3.9M -13.2M 1.14 4.09 N/A N/A 14,308 16,262 409,938 472,254 2019-06-18 $110.99 $110.00 21.4% 6.2% 21.1% 29.5% 20.9% 4.8% -0.9% 61.8M -494.7M -13.3M 0.45 2.93 N/A N/A 39,037 17,622 413,452 474,121 2019-06-19 $109.98 $110.00 21.3% 6.1% 21.3% 29.2% 22.6% 4.5% -0.6% 51.9M -178.9M -13.1M 0.79 5.36 N/A N/A 36,432 28,809 417,644 477,599 2019-06-20 $110.33 $110.00 20.6% 5.9% 21.2% 26.3% 22.0% 4.7% -0.1% 84.1M -258.1M -13.2M 0.52 4.15 N/A N/A 46,646 24,378 427,786 489,869 2019-06-21 $110.37 $110.00 20.6% 6.0% 18.9% 26.5% 21.3% 4.3% -0.5% 119.6M -375.9M -13.2M 0.46 5.43 N/A N/A 53,246 24,394 437,748 497,496 2019-06-24 $109.02 $110.00 20.9% 6.1% 18.6% 27.4% 21.8% 4.3% -0.1% 11.0M 236.1M -13.0M 0.65 2.99 N/A N/A 19,975 13,069 300,463 358,040 2019-06-25 $108.06 $110.00 21.7% 6.5% 18.6% 30.7% 22.1% 4.3% -0.3% 1.7M 395.2M -12.8M 0.75 2.93 N/A N/A 26,039 19,427 310,605 364,274 2019-06-26 $108.52 $110.00 20.9% 6.2% 18.6% 27.6% 21.7% 4.4% -0.2% 7.1M 340.8M -13.2M 0.69 3.05 N/A N/A 19,153 13,307 319,089 373,573 2019-06-27 $108.94 $110.00 20.8% 6.1% 18.1% 27.0% 20.1% 4.4% -0.2% 15.7M 285.6M -13.2M 0.76 3.62 N/A N/A 29,224 22,226 323,742 376,813 2019-06-28 $111.45 $110.00 20.3% 6.0% 19.2% 25.3% 21.2% 4.2% 0.3% 62.6M -208.2M -13.6M 0.55 7.18 N/A N/A 68,307 37,250 338,045 388,644
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