JPM Options History — January 2020 In January 2020, JPM traded between $131.88 and $140.86. ATM implied volatility averaged 17.9%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.2% (HV 20d: 15.7%). Max pain ranged from $120.00 to $140.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2020-01-02 : Highest Volume — 808,596 contracts2020-01-24 : Largest IV spike — 16.0% change2020-01-31 : Highest IV Rank — 61.6%2020-01-31 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $136.40 $131.88 $140.86 $140.86 $131.88 Max Pain $134.52 $120.00 $140.00 $120.00 $135.00 ATM IV 17.9% 13.7% 21.8% 17.0% 21.8% Expected Move 5.1% 3.8% 6.3% 5.3% 6.3% HV 20d 15.7% 12.6% 19.4% 15.6% 19.4% HV 60d 15.2% 14.3% 16.4% 16.4% 15.8% IV Rank 28.7% 0.0% 61.6% 15.0% 61.6% IV Percentile 39.4% 0.0% 88.1% 23.4% 88.1% Term Structure 0.1% -1.6% 0.9% 0.1% -1.6% VWIV 17.8% 14.2% 22.1% 18.5% 22.1% Skew 25d 3.6% 2.1% 5.2% 2.1% 5.2% Skew 10d 7.6% 4.1% 12.8% 4.3% 12.8% Call IV 25d 16.5% 13.2% 20.3% 16.5% 20.3% Put IV 25d 20.1% 15.3% 25.5% 18.7% 25.5% Bid-Ask Spread % 3.18 1.96 5.02 5.02 4.83 Gamma HHI 0.12 0.07 0.33 0.16 0.09 Net GEX 64.6M -59.6M 221.7M 153.8M -11.4M Net DEX -895.9M -3.53B 27.4M -3.53B 27.4M Net VEX -15.8M -16.5M -15.0M -15.0M -16.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.03 1.28 0.03 1.28 Total Volume 123,559 45,816 808,596 808,596 85,729 Total OI 976,689.524 799,468 1,185,064 1,079,914 904,317
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 2020-01-02 $140.86 $120.00 17.0% 5.3% 15.6% 15.0% 18.5% 2.1% 0.1% 153.8M -3.53B -15.0M 0.03 5.02 N/A N/A 787,300 21,296 515,655 564,259 2020-01-03 $138.68 $140.00 18.0% 5.8% 15.8% 20.9% 20.4% 3.7% 0.1% 37.7M -1.10B -15.9M 0.56 4.03 N/A N/A 54,241 30,170 387,596 572,360 2020-01-06 $137.82 $135.00 19.5% 5.2% 16.0% 36.7% 19.4% 4.2% -0.3% 63.0M -1.01B -16.0M 0.72 3.04 N/A N/A 35,431 25,377 398,401 569,523 2020-01-07 $136.12 $135.00 19.9% 5.5% 15.8% 40.0% 18.4% 4.6% -0.5% 39.8M -672.7M -15.9M 0.58 3.22 N/A N/A 69,008 39,904 411,321 579,877 2020-01-08 $137.29 $135.00 19.8% 5.6% 15.9% 41.8% 18.8% 4.3% -0.6% 75.9M -972.0M -16.3M 0.32 2.77 N/A N/A 48,347 15,625 428,705 594,341 2020-01-09 $137.39 $135.00 18.9% 5.4% 15.8% 36.6% 19.1% 3.6% -0.5% 94.4M -1.04B -16.4M 0.47 3.59 N/A N/A 37,232 17,640 448,173 599,017 2020-01-10 $136.00 $135.00 19.0% 5.3% 16.3% 37.1% 18.0% 3.6% -0.5% -59.6M -633.1M -15.8M 0.78 3.01 N/A N/A 32,688 25,539 451,863 605,866 2020-01-13 $136.89 $135.00 18.9% 5.4% 12.6% 36.9% 18.7% 3.8% 0.1% 79.6M -963.0M -15.7M 0.84 2.56 N/A N/A 74,513 62,652 439,167 587,615 2020-01-14 $138.75 $135.00 16.0% 4.5% 13.0% 13.5% 16.4% 2.4% -0.5% 164.2M -1.46B -15.9M 0.18 3.97 N/A N/A 319,996 57,444 472,382 616,564 2020-01-15 $136.39 $135.00 16.0% 4.6% 14.4% 13.2% 15.8% 2.6% 0.1% 53.8M -652.7M -15.3M 0.45 2.88 N/A N/A 68,141 30,982 519,680 630,443 2020-01-16 $137.14 $135.00 14.7% 4.3% 14.2% 3.0% 14.2% 2.1% 0.6% 97.4M -908.2M -15.4M 0.35 2.76 N/A N/A 59,772 21,128 536,776 636,264 2020-01-17 $137.96 $135.00 13.7% 3.8% 14.4% 0.0% 14.8% 2.1% -0.5% 221.7M -1.20B -15.1M 0.81 1.96 N/A N/A 35,504 28,826 544,844 640,220 2020-01-21 $137.08 $135.00 15.8% 4.5% 14.3% 16.2% 15.6% 2.7% 0.4% 74.8M -934.1M -15.3M 0.56 2.76 N/A N/A 43,307 24,416 417,241 382,227 2020-01-22 $136.89 $135.00 15.4% 4.4% 14.3% 13.1% 15.5% 2.8% 0.6% 72.7M -864.6M -15.6M 0.68 3.12 N/A N/A 27,232 18,584 439,689 396,231 2020-01-23 $136.67 $135.00 15.8% 4.5% 14.3% 16.5% 16.0% 3.1% 0.6% 72.6M -871.3M -15.7M 0.51 3.76 N/A N/A 41,826 21,349 449,208 401,824 2020-01-24 $133.10 $135.00 18.4% 5.2% 17.1% 35.7% 17.5% 4.4% 0.6% -35.8M -44.5M -15.9M 0.69 3.46 N/A N/A 57,770 40,016 462,994 409,351 2020-01-27 $132.40 $135.00 20.0% 5.7% 16.4% 48.5% 19.6% 5.1% 0.6% 9.7M -48.0M -16.0M 0.90 2.28 N/A N/A 36,571 33,040 449,289 402,712 2020-01-28 $134.76 $135.00 18.2% 5.0% 17.9% 34.8% 17.6% 4.2% 0.7% 49.8M -602.4M -16.2M 0.68 2.33 N/A N/A 37,451 25,614 457,993 413,066 2020-01-29 $134.83 $135.00 19.0% 5.1% 17.9% 40.8% 18.2% 4.8% 0.9% 48.1M -589.3M -16.5M 0.80 2.55 N/A N/A 26,919 21,647 461,173 417,679 2020-01-30 $135.53 $135.00 19.1% 5.1% 17.9% 41.4% 18.4% 4.7% 0.8% 54.9M -751.6M -16.5M 0.95 2.99 N/A N/A 27,971 26,541 471,166 423,408 2020-01-31 $131.88 $135.00 21.8% 6.3% 19.4% 61.6% 22.1% 5.2% -1.6% -11.4M 27.4M -16.3M 1.28 4.83 N/A N/A 37,675 48,054 478,945 425,372
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