JPM Options History — December 2019 In December 2019, JPM traded between $129.68 and $139.18. ATM implied volatility averaged 17.3%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.9% (HV 20d: 14.4%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.88.
Notable Days 2019-12-12 : Highest Volume — 114,997 contracts2019-12-03 : Largest IV spike — 8.0% change2019-12-31 : Highest IV Rank — 19.4%2019-12-31 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $136.18 $129.68 $139.18 $131.61 $139.18 Max Pain $119.29 $115.00 $125.00 $125.00 $120.00 ATM IV 17.3% 16.6% 18.5% 17.2% 17.7% Expected Move 5.1% 4.8% 5.4% 5.0% 5.4% HV 20d 14.4% 7.5% 16.7% 7.5% 16.7% HV 60d 17.8% 16.3% 18.4% 17.8% 16.3% IV Rank 12.6% 9.0% 19.4% 11.4% 19.4% IV Percentile 25.4% 19.0% 37.7% 21.4% 34.1% Term Structure 0.3% -1.0% 2.3% 0.0% 0.2% VWIV 18.9% 17.1% 21.5% 18.9% 18.9% Skew 25d 3.2% 2.1% 4.5% 3.9% 2.6% Skew 10d 6.2% 4.0% 9.2% 5.8% 6.3% Call IV 25d 16.2% 14.7% 17.3% 16.3% 17.0% Put IV 25d 19.4% 17.4% 21.5% 20.2% 19.6% Bid-Ask Spread % 3.66 2.58 5.69 4.12 3.44 Gamma HHI 0.13 0.10 0.20 0.12 0.13 Net GEX 130.5M 75.9M 170.0M 115.8M 126.1M Net DEX -3.30B -4.26B -2.03B -2.65B -3.10B Net VEX -14.7M -15.3M -14.3M -14.8M -15.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.30 2.53 1.41 0.54 Total Volume 56,622.857 18,486 114,997 48,333 33,671 Total OI 1,109,598.952 1,021,482 1,214,109 1,043,785 1,071,755
Daily Data (21 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 2019-12-02 $131.61 $125.00 17.2% 5.0% 7.5% 11.4% 18.9% 3.9% 0.0% 115.8M -2.65B -14.8M 1.41 4.12 N/A N/A 20,048 28,285 503,526 540,259 2019-12-03 $129.68 $125.00 18.5% 5.4% 8.9% 16.9% 19.5% 4.4% -0.2% 75.9M -2.03B -15.0M 1.66 2.90 N/A N/A 22,934 38,173 508,481 554,946 2019-12-04 $132.35 $125.00 17.7% 5.1% 11.4% 13.5% 18.4% 4.3% 0.1% 126.7M -2.83B -14.4M 1.10 3.93 N/A N/A 26,508 29,157 510,092 557,929 2019-12-05 $133.22 $115.00 17.0% 5.1% 11.5% 10.8% 21.4% 4.0% 0.0% 137.3M -3.03B -14.8M 2.53 5.48 N/A N/A 19,566 49,501 519,899 571,919 2019-12-06 $135.42 $115.00 16.9% 5.2% 12.5% 10.3% 19.3% 3.5% -0.1% 144.3M -3.68B -14.7M 0.67 3.82 N/A N/A 46,511 31,005 526,378 592,165 2019-12-09 $134.58 $115.00 17.3% 5.3% 12.8% 11.7% 21.5% 4.2% 1.3% 128.6M -3.23B -14.7M 1.73 3.98 N/A N/A 17,810 30,765 522,973 581,797 2019-12-10 $134.27 $115.00 17.6% 5.4% 12.8% 13.2% 19.7% 4.3% 1.1% 124.8M -3.11B -15.0M 0.95 2.87 N/A N/A 24,734 23,458 527,276 591,747 2019-12-11 $134.25 $115.00 17.3% 5.4% 12.6% 11.7% 20.9% 4.5% 1.4% 127.4M -3.16B -14.7M 0.90 4.54 N/A N/A 17,537 15,730 530,932 599,621 2019-12-12 $138.25 $115.00 17.8% 5.3% 15.6% 14.0% 19.7% 2.9% 0.8% 138.9M -4.26B -14.3M 0.59 4.56 N/A N/A 72,233 42,764 536,394 605,004 2019-12-13 $136.89 $120.00 16.6% 5.2% 16.3% 9.0% 19.2% 2.7% 2.3% 145.5M -3.91B -14.9M 0.58 5.69 N/A N/A 56,793 32,965 556,183 621,270 2019-12-16 $137.42 $120.00 17.2% 5.1% 16.3% 11.5% 18.0% 2.7% -1.0% 144.1M -3.94B -14.3M 0.48 3.01 N/A N/A 47,166 22,866 546,908 609,212 2019-12-17 $138.47 $120.00 16.6% 4.8% 16.2% 9.1% 17.1% 2.6% 0.3% 145.9M -4.18B -14.3M 0.49 3.25 N/A N/A 35,240 17,270 557,914 616,977 2019-12-18 $138.35 $120.00 16.9% 4.8% 16.3% 10.3% 18.3% 2.7% 0.2% 148.5M -4.04B -14.7M 0.71 3.33 N/A N/A 24,461 17,416 569,114 626,616 2019-12-19 $137.32 $120.00 17.3% 5.0% 16.3% 12.0% 18.7% 2.7% -0.6% 141.6M -3.75B -14.8M 0.39 2.58 N/A N/A 33,105 12,905 570,683 633,698 2019-12-20 $137.01 $120.00 17.3% 5.0% 16.4% 12.0% 17.6% 2.5% -0.8% 159.0M -3.72B -14.7M 0.53 3.73 N/A N/A 54,923 29,151 579,031 635,078 2019-12-23 $137.35 $120.00 16.7% 4.9% 16.4% 9.3% 17.3% 2.3% 0.5% 101.2M -2.70B -14.5M 0.73 2.86 N/A N/A 23,146 16,798 485,676 535,806 2019-12-24 $137.46 $120.00 16.8% 4.9% 16.4% 10.1% 17.6% 2.3% 0.3% 110.9M -2.75B -14.5M 1.05 2.82 N/A N/A 9,038 9,448 494,341 545,284 2019-12-26 $139.03 $120.00 17.4% 5.1% 16.7% 13.9% 18.1% 2.1% 0.2% 125.5M -3.15B -14.7M 0.53 3.80 N/A N/A 33,658 17,740 497,071 552,469 2019-12-27 $139.08 $120.00 17.9% 5.2% 16.7% 16.8% 18.5% 2.3% 0.2% 170.0M -3.19B -15.1M 0.53 3.00 N/A N/A 29,982 16,011 505,489 562,250 2019-12-30 $138.61 $120.00 17.6% 5.3% 16.7% 16.6% 19.0% 2.8% 0.3% 101.9M -2.87B -14.8M 0.30 3.12 N/A N/A 45,030 13,578 494,192 553,223 2019-12-31 $139.18 $120.00 17.7% 5.4% 16.7% 19.4% 18.9% 2.6% 0.2% 126.1M -3.10B -15.3M 0.54 3.44 N/A N/A 21,881 11,790 513,140 558,615
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