JPM Options History — July 2019 In July 2019, JPM traded between $112.47 and $116.76. ATM implied volatility averaged 16.4%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.3% (HV 20d: 16.7%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.69.
Notable Days 2019-07-16 : Highest Volume — 158,136 contracts2019-07-16 : Largest IV drop — 8.9% change2019-07-12 : Highest IV Rank — 16.5%2019-07-01 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $114.58 $112.47 $116.76 $113.73 $116.01 Max Pain $112.45 $110.00 $115.00 $110.00 $115.00 ATM IV 16.4% 14.3% 18.1% 18.0% 15.9% Expected Move 4.7% 4.1% 5.2% 5.2% 4.6% HV 20d 16.7% 13.9% 20.2% 20.2% 13.9% HV 60d 19.1% 18.0% 20.8% 20.6% 18.3% IV Rank 9.9% 1.5% 16.5% 16.0% 7.8% IV Percentile 16.6% 1.6% 32.5% 28.2% 14.7% Term Structure -0.1% -0.9% 0.6% -0.1% -0.1% VWIV 17.1% 14.5% 21.7% 19.7% 16.3% Skew 25d 3.3% 2.8% 3.8% 3.8% 3.4% Skew 10d 7.2% 6.4% 8.3% 8.1% 7.3% Call IV 25d 15.2% 13.2% 17.2% 16.9% 14.5% Put IV 25d 18.5% 16.2% 20.7% 20.7% 17.9% Bid-Ask Spread % 6.36 2.89 11.80 5.42 11.80 Gamma HHI 0.16 0.11 0.26 0.11 0.16 Net GEX 106.7M 26.4M 205.2M 72.9M 85.2M Net DEX -677.4M -1.23B -151.4M -597.3M -764.7M Net VEX -14.0M -14.6M -13.4M -13.5M -14.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.18 1.89 0.57 0.88 Total Volume 67,172.091 24,888 158,136 70,008 40,750 Total OI 807,808.364 710,201 937,890 719,871 828,582
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 2019-07-01 $113.73 $110.00 18.0% 5.2% 20.2% 16.0% 19.7% 3.8% -0.1% 72.9M -597.3M -13.5M 0.57 5.42 N/A N/A 44,611 25,397 332,258 387,613 2019-07-02 $113.80 $110.00 16.9% 4.9% 16.8% 11.5% 21.7% 3.6% -0.0% 73.6M -581.7M -13.4M 0.18 7.03 N/A N/A 94,600 16,631 343,074 397,481 2019-07-03 $112.47 $110.00 17.7% 5.2% 17.4% 14.9% 18.0% 3.7% -0.2% 26.4M -151.4M -13.5M 0.28 3.93 N/A N/A 33,928 9,602 323,249 406,572 2019-07-05 $113.38 $110.00 18.0% 4.9% 17.6% 16.1% 18.6% 3.4% -0.3% 50.4M -378.0M -13.6M 0.47 4.38 N/A N/A 26,264 12,284 327,486 413,534 2019-07-08 $112.99 $110.00 17.7% 4.8% 17.1% 14.9% 18.2% 3.4% -0.9% 54.4M -352.2M -13.5M 1.89 3.57 N/A N/A 15,078 28,535 318,921 391,280 2019-07-09 $113.33 $110.00 18.0% 4.9% 16.6% 16.1% 18.3% 3.6% -0.8% 59.5M -382.6M -13.5M 1.26 2.89 N/A N/A 16,934 21,382 323,922 407,663 2019-07-10 $112.88 $110.00 17.4% 4.7% 16.7% 13.8% 16.8% 3.3% -0.9% 47.5M -278.0M -13.5M 0.53 5.52 N/A N/A 24,039 12,624 328,433 418,502 2019-07-11 $113.94 $110.00 17.8% 5.0% 15.7% 15.3% 17.9% 3.2% -0.6% 82.9M -540.0M -13.5M 0.50 4.31 N/A N/A 55,972 28,179 335,634 421,973 2019-07-12 $115.17 $115.00 18.1% 5.1% 16.0% 16.5% 17.5% 3.1% -0.7% 158.9M -941.7M -13.9M 0.37 4.12 N/A N/A 83,351 30,489 365,282 433,097 2019-07-15 $113.62 $115.00 18.0% 5.1% 16.9% 16.0% 19.0% 2.8% 0.1% 98.9M -555.7M -13.7M 0.53 6.56 N/A N/A 93,823 49,279 382,210 430,623 2019-07-16 $115.42 $115.00 16.4% 4.7% 17.3% 9.7% 17.5% 3.2% -0.1% 200.5M -1.12B -14.1M 0.67 3.23 N/A N/A 94,621 63,515 421,092 457,735 2019-07-17 $114.08 $110.00 15.5% 4.4% 17.3% 6.0% 16.1% 3.3% 0.6% 131.3M -531.9M -14.0M 0.49 6.61 N/A N/A 65,646 32,049 423,598 470,424 2019-07-18 $114.67 $110.00 15.4% 4.4% 16.9% 5.8% 15.9% 3.5% 0.0% 205.2M -813.7M -14.4M 0.45 7.06 N/A N/A 36,042 16,277 445,123 485,267 2019-07-19 $114.08 $115.00 15.0% 4.3% 17.1% 4.3% 15.4% 3.5% 0.5% 113.9M -545.3M -14.4M 0.67 6.93 N/A N/A 33,172 22,209 449,109 488,781 2019-07-22 $114.33 $110.00 15.3% 4.4% 17.1% 5.2% 15.4% 3.4% 0.2% 103.9M -486.5M -14.3M 0.70 5.96 N/A N/A 22,951 16,039 373,307 426,553 2019-07-23 $116.33 $114.00 15.0% 4.4% 17.1% 4.1% 15.5% 3.1% 0.1% 166.5M -1.13B -14.4M 0.84 8.53 N/A N/A 42,897 35,974 383,217 435,163 2019-07-24 $116.76 $115.00 14.3% 4.1% 16.5% 1.5% 15.0% 3.0% 0.1% 172.4M -1.23B -14.4M 0.90 8.99 N/A N/A 19,335 17,346 388,175 448,824 2019-07-25 $115.87 $115.00 15.1% 4.4% 17.0% 4.6% 15.8% 3.0% 0.2% 180.2M -889.6M -14.6M 0.73 7.13 N/A N/A 40,563 29,749 395,033 456,429 2019-07-26 $116.26 $115.00 14.8% 4.2% 17.0% 3.3% 14.5% 3.0% 0.2% 108.1M -1.11B -14.6M 0.46 9.70 N/A N/A 45,334 20,660 398,913 464,422 2019-07-29 $115.99 $115.00 15.4% 4.4% 15.4% 5.9% 15.7% 3.1% -0.3% 79.9M -807.7M -14.4M 1.05 7.81 N/A N/A 16,930 17,837 365,581 450,955 2019-07-30 $115.69 $115.00 15.9% 4.6% 13.9% 7.6% 16.7% 3.3% -0.2% 75.2M -710.4M -14.6M 0.71 8.41 N/A N/A 14,563 10,325 370,001 456,693 2019-07-31 $116.01 $115.00 15.9% 4.6% 13.9% 7.8% 16.3% 3.4% -0.1% 85.2M -764.7M -14.5M 0.88 11.80 N/A N/A 21,674 19,076 370,889 457,693
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