JPM Options History — October 2019 In October 2019, JPM traded between $111.88 and $126.83. ATM implied volatility averaged 19.6%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 2.3% (HV 20d: 21.9%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.85.
Notable Days 2019-10-15 : Highest Volume — 328,087 contracts2019-10-15 : Largest IV drop — 15.2% change2019-10-08 : Highest IV Rank — 40.9%2019-10-08 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $119.64 $111.88 $126.83 $115.81 $124.44 Max Pain $115.91 $115.00 $120.00 $115.00 $120.00 ATM IV 19.6% 16.0% 24.5% 21.4% 16.6% Expected Move 5.6% 4.6% 7.3% 6.2% 4.8% HV 20d 21.9% 18.3% 24.9% 18.3% 21.1% HV 60d 23.5% 21.8% 24.6% 21.8% 22.9% IV Rank 21.2% 6.7% 40.9% 28.4% 9.0% IV Percentile 39.9% 9.5% 83.3% 64.7% 12.7% Term Structure -0.1% -1.3% 1.2% -0.1% 0.6% VWIV 20.1% 16.7% 24.8% 21.6% 16.9% Skew 25d 4.8% 3.6% 6.4% 4.9% 3.6% Skew 10d 9.9% 7.3% 12.4% 9.7% 8.2% Call IV 25d 17.7% 14.6% 22.0% 19.9% 14.9% Put IV 25d 22.4% 18.4% 27.9% 24.8% 18.5% Bid-Ask Spread % 7.15 2.86 14.03 6.53 5.31 Gamma HHI 0.16 0.08 0.58 0.12 0.14 Net GEX 85.2M -10.4M 458.2M 12.6M 64.8M Net DEX -992.6M -2.35B 676.4M -41.5M -1.57B Net VEX -14.6M -15.1M -14.0M -14.4M -14.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.33 1.64 0.63 0.63 Total Volume 76,159.087 27,792 328,087 54,874 57,386 Total OI 915,815.391 854,084 988,028 867,214 954,607
Daily Data (23 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 2019-10-01 $115.81 $115.00 21.4% 6.2% 18.3% 28.4% 21.6% 4.9% -0.1% 12.6M -41.5M -14.4M 0.63 6.53 N/A N/A 33,618 21,256 374,894 492,320 2019-10-02 $113.42 $115.00 23.7% 6.9% 19.7% 37.6% 22.8% 5.3% -0.4% -10.0M 445.9M -14.4M 0.46 7.95 N/A N/A 71,363 32,873 384,235 495,342 2019-10-03 $111.88 $115.00 24.5% 7.2% 18.8% 40.8% 24.8% 6.4% -0.7% -10.4M 676.4M -14.8M 1.64 11.18 N/A N/A 25,476 41,702 390,711 498,933 2019-10-04 $114.51 $115.00 21.2% 6.1% 20.6% 27.6% 22.0% 5.4% -0.3% 21.2M 87.4M -14.9M 0.56 8.33 N/A N/A 34,590 19,364 395,532 510,196 2019-10-07 $114.76 $115.00 21.6% 6.2% 18.4% 29.4% 21.5% 5.3% 0.2% 29.1M 561.2K -14.8M 0.96 5.29 N/A N/A 16,041 15,330 381,220 491,419 2019-10-08 $112.07 $115.00 24.5% 7.3% 19.7% 40.9% 24.4% 5.6% 1.0% -4.3M 523.8M -14.7M 0.75 8.25 N/A N/A 35,922 27,103 385,123 494,882 2019-10-09 $112.67 $115.00 23.1% 6.3% 19.9% 35.4% 22.5% 5.9% -1.3% 3.4M 329.0M -14.9M 0.55 14.03 N/A N/A 17,973 9,819 397,876 500,717 2019-10-10 $114.19 $115.00 22.9% 6.4% 20.1% 34.7% 22.6% 5.7% -0.6% 34.2M -43.2M -15.0M 0.92 9.80 N/A N/A 33,563 30,831 402,798 500,946 2019-10-11 $116.97 $115.00 22.1% 6.5% 21.0% 31.3% 21.7% 4.9% 1.2% 82.2M -696.5M -15.1M 0.67 11.75 N/A N/A 49,836 33,558 406,856 504,889 2019-10-14 $116.31 $115.00 21.7% 6.2% 20.8% 29.6% 23.0% 5.4% -0.8% 55.4M -434.6M -14.7M 1.18 9.78 N/A N/A 42,276 49,783 391,570 489,741 2019-10-15 $120.27 $115.00 18.4% 5.3% 24.1% 16.3% 19.2% 4.6% 0.1% 133.3M -1.47B -14.4M 0.33 6.55 N/A N/A 247,235 80,852 407,750 517,858 2019-10-16 $119.85 $115.00 18.1% 5.2% 23.8% 15.0% 20.1% 4.6% 0.2% 170.3M -1.33B -14.5M 0.66 6.87 N/A N/A 39,545 26,243 439,051 533,837 2019-10-17 $120.59 $115.00 17.5% 5.0% 23.8% 12.9% 18.7% 4.5% -0.4% 232.9M -1.59B -14.4M 0.58 7.99 N/A N/A 41,319 23,807 445,815 535,410 2019-10-18 $120.94 $115.00 18.0% 5.2% 23.8% 14.8% 18.4% 4.9% -0.3% 458.2M -1.73B -14.4M 0.73 6.97 N/A N/A 38,440 28,117 448,147 539,881 2019-10-21 $123.65 $115.00 17.9% 5.1% 24.9% 14.5% 19.0% 4.6% -0.7% 86.9M -1.72B -14.0M 1.17 3.94 N/A N/A 51,980 60,702 374,668 479,416 2019-10-22 $124.67 $115.00 17.8% 5.1% 24.3% 14.0% 19.1% 4.5% -0.1% 83.3M -1.93B -14.4M 1.46 5.50 N/A N/A 42,523 62,158 389,311 508,411 2019-10-23 $124.67 $115.00 17.5% 4.9% 24.3% 12.7% 18.6% 4.3% -0.4% 83.2M -1.89B -14.7M 0.69 5.15 N/A N/A 28,997 20,066 401,405 523,009 2019-10-24 $125.06 $115.00 16.9% 4.7% 24.1% 10.2% 17.6% 4.0% -0.4% 93.6M -1.99B -14.6M 1.02 4.13 N/A N/A 22,866 23,242 407,626 530,052 2019-10-25 $126.26 $117.00 16.5% 4.6% 24.2% 8.8% 17.2% 3.8% -0.3% 93.3M -2.35B -14.4M 0.72 3.95 N/A N/A 34,340 24,894 413,318 537,911 2019-10-28 $126.83 $119.00 16.3% 4.7% 24.2% 8.0% 17.7% 3.8% 0.4% 87.2M -2.22B -14.1M 0.72 2.86 N/A N/A 33,036 23,826 395,892 516,212 2019-10-29 $126.19 $120.00 16.5% 4.7% 23.2% 8.7% 17.3% 3.8% 0.5% 84.0M -2.01B -14.6M 1.41 6.31 N/A N/A 23,923 33,823 400,887 525,892 2019-10-30 $125.67 $120.00 16.0% 4.6% 21.5% 6.7% 16.7% 3.8% 0.5% 75.4M -1.88B -14.9M 1.21 5.93 N/A N/A 18,123 21,939 409,030 538,158 2019-10-31 $124.44 $120.00 16.6% 4.8% 21.1% 9.0% 16.9% 3.6% 0.6% 64.8M -1.57B -14.9M 0.63 5.31 N/A N/A 35,304 22,082 413,603 541,004
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