JPM Options History — August 2019 In August 2019, JPM traded between $105.01 and $113.19. ATM implied volatility averaged 22.6%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 1.3% (HV 20d: 23.9%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.03.
Notable Days 2019-08-14 : Highest Volume — 105,466 contracts2019-08-05 : Largest IV spike — 24.7% change2019-08-14 : Highest IV Rank — 50.6%2019-08-14 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $108.46 $105.01 $113.19 $113.19 $109.58 Max Pain $110.45 $110.00 $115.00 $115.00 $110.00 ATM IV 22.6% 19.2% 26.8% 19.2% 21.5% Expected Move 6.4% 5.5% 7.6% 5.6% 6.1% HV 20d 23.9% 15.8% 29.3% 16.0% 29.3% HV 60d 20.4% 18.4% 21.9% 18.4% 21.4% IV Rank 33.6% 20.8% 50.6% 20.8% 29.0% IV Percentile 73.0% 46.8% 90.5% 46.8% 67.9% Term Structure 0.0% -1.6% 1.1% -0.5% 0.9% VWIV 22.8% 18.6% 25.9% 18.6% 22.2% Skew 25d 6.6% 4.4% 8.0% 4.4% 6.8% Skew 10d 12.8% 9.1% 16.1% 9.1% 13.6% Call IV 25d 19.7% 17.1% 23.6% 17.2% 18.5% Put IV 25d 26.2% 21.6% 31.2% 21.6% 25.3% Bid-Ask Spread % 6.10 3.95 9.34 7.83 8.33 Gamma HHI 0.09 0.07 0.16 0.12 0.08 Net GEX -26.5M -96.3M 22.6M 22.6M -4.9M Net DEX 808.5M -13.2M 1.60B -13.2M 399.0M Net VEX -14.2M -14.7M -13.7M -14.7M -14.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.49 1.96 0.61 1.45 Total Volume 52,009.864 16,623 105,466 60,077 49,035 Total OI 882,062.136 834,215 935,451 843,003 935,451
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 2019-08-01 $113.19 $115.00 19.2% 5.6% 16.0% 20.8% 18.6% 4.4% -0.5% 22.6M -13.2M -14.7M 0.61 7.83 N/A N/A 37,406 22,671 377,193 465,810 2019-08-02 $113.03 $115.00 19.3% 5.5% 15.8% 21.0% 19.6% 5.2% 0.1% 20.7M 53.8M -14.7M 1.31 9.34 N/A N/A 25,639 33,502 382,703 469,361 2019-08-05 $109.76 $110.00 24.0% 6.7% 18.9% 39.9% 23.8% 7.1% -0.5% -19.3M 688.8M -14.6M 0.82 7.98 N/A N/A 36,648 30,213 369,696 464,559 2019-08-06 $110.19 $110.00 22.0% 6.2% 18.9% 32.1% 21.8% 6.3% 0.0% -17.1M 606.0M -14.4M 0.99 6.28 N/A N/A 27,252 26,985 382,330 474,052 2019-08-07 $108.06 $110.00 23.5% 6.2% 20.0% 37.7% 23.2% 6.4% -0.5% -46.0M 1.07B -14.2M 0.93 4.68 N/A N/A 39,853 37,172 387,689 484,348 2019-08-08 $110.01 $110.00 20.3% 6.0% 20.8% 24.7% 22.5% 5.7% 0.5% -23.7M 560.7M -14.5M 0.83 5.57 N/A N/A 29,219 24,159 397,989 488,751 2019-08-09 $110.26 $110.00 21.4% 6.1% 20.4% 28.8% 23.0% 5.9% 0.1% -15.7M 456.6M -14.7M 1.96 5.33 N/A N/A 17,242 33,824 407,498 495,306 2019-08-12 $107.69 $110.00 24.2% 6.5% 21.4% 40.2% 25.1% 6.8% -1.6% -43.0M 1.07B -14.3M 1.12 4.48 N/A N/A 19,234 21,608 389,803 489,159 2019-08-13 $109.24 $110.00 22.3% 6.1% 21.2% 32.4% 21.7% 6.3% -0.9% -35.5M 719.1M -14.4M 0.73 5.61 N/A N/A 24,536 17,863 395,470 496,091 2019-08-14 $105.01 $110.00 26.8% 7.6% 24.8% 50.6% 25.3% 7.6% -0.6% -57.2M 1.60B -13.7M 0.88 7.37 N/A N/A 55,977 49,489 397,779 499,893 2019-08-15 $105.12 $110.00 25.7% 7.3% 24.6% 46.2% 25.9% 7.3% -0.4% -52.5M 1.45B -13.7M 1.37 4.69 N/A N/A 32,192 44,009 410,695 493,834 2019-08-16 $107.49 $110.00 23.3% 6.9% 26.4% 36.4% 22.7% 6.6% 1.1% -31.1M 974.6M -14.1M 0.78 6.37 N/A N/A 24,315 19,017 418,569 507,865 2019-08-19 $108.88 $110.00 20.6% 5.9% 26.9% 25.6% 20.4% 5.9% 0.4% -12.2M 599.4M -14.0M 0.84 5.63 N/A N/A 23,098 19,427 363,517 470,698 2019-08-20 $107.69 $110.00 21.2% 6.1% 26.0% 28.2% 24.8% 6.2% 0.1% -23.5M 863.6M -13.9M 1.53 4.03 N/A N/A 13,748 20,976 373,448 484,546 2019-08-21 $107.69 $110.00 20.6% 5.9% 25.9% 25.7% 20.6% 6.1% 0.1% -29.4M 881.1M -13.8M 1.71 6.77 N/A N/A 15,308 26,192 375,043 498,928 2019-08-22 $108.94 $110.00 21.0% 6.0% 26.4% 27.2% 21.2% 6.4% 0.2% -15.6M 629.2M -14.4M 0.89 7.38 N/A N/A 16,094 14,314 378,034 514,633 2019-08-23 $105.76 $110.00 24.6% 7.1% 27.9% 41.8% 24.2% 7.3% -0.3% -96.3M 1.34B -13.9M 0.86 7.52 N/A N/A 23,740 20,353 381,596 515,649 2019-08-26 $106.53 $110.00 24.6% 7.1% 28.2% 41.5% 24.7% 7.4% 0.3% -35.8M 1.11B -14.0M 0.82 4.47 N/A N/A 9,116 7,507 366,719 501,321 2019-08-27 $105.77 $110.00 24.8% 7.1% 28.2% 42.1% 25.1% 8.0% 0.6% -41.8M 1.26B -13.8M 0.85 5.72 N/A N/A 26,130 22,109 373,162 507,363 2019-08-28 $106.81 $110.00 23.5% 6.8% 28.6% 36.8% 23.3% 7.3% 0.5% -33.4M 1.05B -14.1M 0.49 3.95 N/A N/A 36,974 18,094 382,100 516,244 2019-08-29 $109.49 $110.00 22.1% 6.3% 29.3% 31.2% 21.0% 7.1% 0.6% 8.0M 415.4M -14.4M 0.95 4.77 N/A N/A 26,642 25,335 398,303 522,169 2019-08-30 $109.58 $110.00 21.5% 6.1% 29.3% 29.0% 22.2% 6.8% 0.9% -4.9M 399.0M -14.6M 1.45 8.33 N/A N/A 19,989 29,046 403,089 532,362
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