JPM Options History — September 2019 In September 2019, JPM traded between $108.60 and $120.30. ATM implied volatility averaged 19.8%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.0% (HV 20d: 22.8%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.99.
Notable Days 2019-09-13 : Highest Volume — 134,236 contracts2019-09-24 : Largest IV spike — 10.1% change2019-09-03 : Highest IV Rank — 38.0%2019-09-03 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $116.74 $108.60 $120.30 $108.60 $117.74 Max Pain $111.75 $110.00 $115.00 $110.00 $115.00 ATM IV 19.8% 18.5% 23.8% 23.8% 19.6% Expected Move 5.8% 5.4% 6.7% 6.7% 5.6% HV 20d 22.8% 17.4% 28.8% 27.6% 17.4% HV 60d 22.0% 21.4% 22.4% 21.4% 21.6% IV Rank 22.0% 16.8% 38.0% 38.0% 21.3% IV Percentile 44.0% 27.0% 81.0% 81.0% 42.9% Term Structure 0.4% -0.6% 2.4% -0.6% 0.0% VWIV 21.4% 19.6% 25.5% 25.5% 19.7% Skew 25d 5.2% 4.0% 7.8% 7.8% 4.6% Skew 10d 10.3% 7.4% 16.0% 16.0% 9.5% Call IV 25d 17.8% 16.0% 20.5% 20.5% 18.2% Put IV 25d 23.0% 20.9% 28.4% 28.4% 22.8% Bid-Ask Spread % 6.46 3.82 10.43 5.87 6.22 Gamma HHI 0.20 0.08 0.53 0.08 0.16 Net GEX 77.3M -15.4M 234.4M -15.4M 37.9M Net DEX -992.7M -2.36B 697.6M 697.6M -500.2M Net VEX -14.2M -14.6M -13.6M -14.1M -14.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.42 1.69 1.69 0.65 Total Volume 63,077.45 28,717 134,236 36,842 28,717 Total OI 941,110.85 791,839 1,071,886 904,249 854,573
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 2019-09-03 $108.60 $110.00 23.8% 6.7% 27.6% 38.0% 25.5% 7.8% -0.6% -15.4M 697.6M -14.1M 1.69 5.87 N/A N/A 13,684 23,158 384,622 519,627 2019-09-04 $110.03 $110.00 21.9% 6.0% 27.9% 30.5% 22.5% 7.1% -0.2% 744.5K 347.5M -14.1M 1.16 5.04 N/A N/A 17,990 20,855 388,363 529,474 2019-09-05 $112.53 $110.00 20.6% 5.7% 28.0% 25.2% 22.0% 6.2% -0.5% 41.8M -297.6M -14.1M 0.56 7.15 N/A N/A 49,682 27,736 392,397 534,903 2019-09-06 $112.67 $110.00 19.3% 5.5% 27.4% 19.8% 21.0% 5.5% -0.1% 58.5M -353.2M -14.1M 0.42 4.48 N/A N/A 37,973 16,118 411,849 543,775 2019-09-09 $115.62 $110.00 19.5% 6.0% 28.8% 20.9% 24.0% 5.9% 1.8% 89.1M -1.05B -14.1M 0.94 7.48 N/A N/A 43,347 40,651 409,009 527,059 2019-09-10 $116.72 $110.00 19.6% 6.2% 27.2% 21.0% 22.3% 5.9% 2.3% 105.9M -1.31B -14.3M 0.76 4.47 N/A N/A 57,802 43,904 421,514 537,863 2019-09-11 $116.84 $110.00 19.0% 6.1% 26.9% 18.9% 20.8% 5.5% 2.4% 103.1M -1.35B -14.3M 1.49 3.82 N/A N/A 22,861 33,979 428,640 549,724 2019-09-12 $118.19 $110.00 18.5% 5.4% 21.7% 16.8% 21.1% 5.1% -0.1% 130.2M -1.74B -14.2M 1.25 6.50 N/A N/A 39,548 49,589 433,362 562,121 2019-09-13 $120.30 $110.00 18.7% 5.6% 22.0% 17.7% 20.3% 4.9% 1.2% 139.8M -2.36B -14.2M 1.02 5.07 N/A N/A 66,292 67,944 440,741 580,262 2019-09-16 $119.08 $110.00 19.8% 5.7% 22.0% 22.0% 22.3% 5.3% 0.2% 126.2M -1.75B -14.5M 1.59 6.08 N/A N/A 20,452 32,617 437,097 573,051 2019-09-17 $118.52 $110.00 19.7% 5.7% 22.1% 21.5% 22.6% 5.5% 0.5% 123.1M -1.55B -14.6M 1.07 5.26 N/A N/A 23,346 25,081 441,537 573,902 2019-09-18 $119.94 $110.00 19.7% 5.6% 21.5% 21.6% 20.7% 4.4% -0.2% 173.7M -2.09B -13.6M 1.10 8.94 N/A N/A 35,796 39,401 446,422 580,651 2019-09-19 $119.47 $110.00 18.8% 5.4% 21.6% 18.0% 20.5% 4.3% 0.4% 234.4M -1.89B -13.7M 0.73 5.75 N/A N/A 42,548 31,172 454,637 594,145 2019-09-20 $119.34 $115.00 19.3% 5.5% 21.6% 19.8% 20.8% 4.3% -0.0% 46.9M -1.68B -14.1M 0.94 10.43 N/A N/A 40,245 37,820 462,905 608,981 2019-09-23 $118.94 $115.00 19.0% 5.5% 17.8% 18.7% 20.3% 4.3% 0.3% 41.1M -823.9M -13.7M 0.87 6.00 N/A N/A 20,573 17,909 338,288 453,551 2019-09-24 $117.35 $115.00 20.9% 6.1% 19.0% 26.4% 21.0% 4.9% 0.3% 23.5M -475.8M -14.3M 0.89 6.98 N/A N/A 26,671 23,859 354,281 471,053 2019-09-25 $118.03 $115.00 19.4% 5.7% 18.5% 20.3% 20.3% 4.2% 0.3% 33.1M -657.7M -14.2M 0.90 5.91 N/A N/A 28,561 25,809 361,058 476,487 2019-09-26 $117.23 $115.00 19.3% 5.6% 18.9% 19.8% 19.6% 4.0% 0.3% 22.9M -454.2M -14.2M 0.67 9.77 N/A N/A 24,999 16,816 374,905 488,751 2019-09-27 $117.62 $115.00 20.0% 5.8% 17.4% 22.7% 20.2% 4.6% 0.3% 29.2M -564.7M -14.6M 1.15 8.03 N/A N/A 21,421 24,623 386,503 494,134 2019-09-30 $117.74 $115.00 19.6% 5.6% 17.4% 21.3% 19.7% 4.6% 0.0% 37.9M -500.2M -14.2M 0.65 6.22 N/A N/A 17,397 11,320 368,087 486,486
« Aug 2019 | All History | Oct 2019 » Home JPM History September 2019