JPM Options History — November 2019

In November 2019, JPM traded between $127.87 and $132.15. ATM implied volatility averaged 16.2%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.9% (HV 20d: 15.3%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2019-11-05: Highest Volume — 80,842 contracts
  • 2019-11-22: Largest IV drop — 5.8% change
  • 2019-11-20: Highest IV Rank — 11.9%
  • 2019-11-07: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$129.98$127.87$132.15$127.87$131.75
Max Pain$121.15$120.00$125.00$120.00$125.00
ATM IV16.2%14.9%17.3%15.8%15.8%
Expected Move4.7%4.4%5.1%4.5%4.6%
HV 20d15.3%11.7%21.6%21.6%11.7%
HV 60d20.1%17.8%23.3%23.2%17.8%
IV Rank7.6%2.4%11.9%5.7%5.7%
IV Percentile11.0%0.8%19.4%6.7%8.7%
Term Structure0.3%-0.6%1.3%0.5%0.9%
VWIV17.2%15.7%18.6%16.6%16.4%
Skew 25d3.2%2.3%3.5%3.2%3.5%
Skew 10d6.7%4.5%8.1%7.3%6.9%
Call IV 25d15.0%13.7%16.0%14.5%14.3%
Put IV 25d18.2%17.2%19.5%17.6%17.8%
Bid-Ask Spread %6.223.2210.225.514.72
Gamma HHI0.130.110.190.190.12
Net GEX107.0M83.7M147.2M145.4M140.3M
Net DEX-2.56B-2.92B-2.29B-2.48B-2.77B
Net VEX-15.0M-15.4M-14.3M-14.8M-14.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.411.150.661.15
Total Volume46,627.9518,79080,84272,56518,790
Total OI1,028,270.4944,4521,084,746974,9121,069,113

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$127.87$120.0015.8%4.5%21.6%5.7%16.6%3.2%0.5%145.4M-2.48B-14.8M0.665.51N/AN/A43,75428,811428,217546,695
2019-11-04$128.99$120.0016.1%4.9%21.6%6.9%18.6%3.2%0.6%87.9M-2.54B-14.3M0.625.26N/AN/A28,11717,451419,262525,190
2019-11-05$129.45$120.0016.9%5.0%18.6%10.2%17.2%3.2%0.7%88.5M-2.64B-14.3M0.495.49N/AN/A54,32626,516426,232531,603
2019-11-06$129.08$120.0016.5%5.0%18.9%8.6%18.5%2.9%0.9%89.3M-2.50B-15.0M0.905.42N/AN/A20,25118,218450,306541,757
2019-11-07$130.01$120.0017.0%5.1%18.8%10.5%17.7%2.3%0.6%99.9M-2.79B-14.8M0.7610.22N/AN/A43,02532,841460,585547,529
2019-11-08$130.15$120.0016.4%4.9%17.7%8.5%18.2%2.8%0.9%96.2M-2.77B-15.1M0.726.84N/AN/A24,62317,740473,330558,273
2019-11-11$129.89$120.0016.4%4.8%17.4%8.3%17.0%2.9%0.2%89.0M-2.59B-14.8M0.995.14N/AN/A22,01621,704462,486539,864
2019-11-12$129.21$120.0016.3%4.7%14.3%8.0%16.1%3.1%-0.1%83.7M-2.41B-15.1M0.414.77N/AN/A52,59821,434471,699552,630
2019-11-13$128.47$120.0017.2%4.8%14.5%11.6%18.3%3.4%-0.6%90.0M-2.29B-15.3M0.577.72N/AN/A23,31313,248508,432558,159
2019-11-14$128.67$120.0016.3%4.6%14.4%7.8%17.4%3.5%-0.1%96.6M-2.38B-15.4M0.728.75N/AN/A15,58011,225518,593560,024
2019-11-15$129.21$120.0015.6%4.4%14.4%4.9%17.1%3.1%-0.2%105.1M-2.50B-15.4M0.966.61N/AN/A20,65419,831522,157562,589
2019-11-18$130.39$120.0016.4%4.7%12.8%8.1%16.8%3.3%-0.2%109.2M-2.45B-15.1M0.776.14N/AN/A29,05122,324480,524520,314
2019-11-19$130.75$120.0016.4%4.7%12.7%8.1%16.8%3.5%-0.0%110.0M-2.55B-15.0M0.904.77N/AN/A20,56418,501489,654531,625
2019-11-20$129.85$120.0017.3%5.0%13.1%11.9%17.8%3.5%-0.4%97.8M-2.30B-15.4M0.826.50N/AN/A21,62917,768500,231539,385
2019-11-21$130.03$120.0016.9%4.9%13.1%10.2%17.9%3.5%-0.5%108.4M-2.40B-15.3M1.148.80N/AN/A17,34319,725508,189543,183
2019-11-22$130.79$123.0015.9%4.6%12.8%6.3%15.7%3.5%-0.2%123.7M-2.60B-15.4M0.767.62N/AN/A31,80624,022511,340553,861
2019-11-25$131.36$125.0015.6%4.6%12.8%5.1%16.4%3.4%1.3%111.2M-2.65B-15.0M0.976.24N/AN/A22,40521,639500,730538,167
2019-11-26$131.54$125.0014.9%4.4%12.6%2.4%16.7%3.5%1.0%119.8M-2.71B-14.8M0.734.70N/AN/A22,52016,448506,375544,775
2019-11-27$132.15$125.0015.2%4.5%12.4%3.6%16.1%3.3%0.9%147.2M-2.92B-14.7M0.693.22N/AN/A18,22012,528511,207551,123
2019-11-29$131.75$125.0015.8%4.6%11.7%5.7%16.4%3.5%0.9%140.3M-2.77B-14.8M1.154.72N/AN/A8,73710,053514,526554,587