JPM Options History — February 2020 In February 2020, JPM traded between $113.32 and $138.18. ATM implied volatility averaged 23.2%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.7% (HV 20d: 21.5%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.90.
Notable Days 2020-02-28 : Highest Volume — 99,657 contracts2020-02-28 : Largest IV spike — 44.1% change2020-02-25 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $133.65 $113.32 $138.18 $133.45 $113.32 Max Pain $130.79 $130.00 $135.00 $135.00 $130.00 ATM IV 23.2% 17.2% 52.1% 21.2% 52.1% Expected Move 6.6% 4.9% 16.4% 5.7% 16.4% HV 20d 21.5% 18.3% 37.2% 19.5% 37.2% HV 60d 17.6% 15.9% 26.4% 15.9% 26.4% IV Rank 56.2% 26.9% 100.0% 57.2% 100.0% IV Percentile 68.7% 28.2% 100.0% 82.1% 100.0% Term Structure -0.5% -2.6% 0.5% -0.4% -2.6% VWIV 23.6% 18.0% 56.8% 20.2% 56.8% Skew 25d 5.7% 3.8% 11.6% 5.4% 11.6% Skew 10d 11.3% 7.9% 19.9% 11.1% 12.6% Call IV 25d 21.1% 16.3% 49.0% 19.0% 49.0% Put IV 25d 26.8% 20.3% 60.6% 24.4% 60.6% Bid-Ask Spread % 5.06 2.43 15.97 2.43 15.97 Gamma HHI 0.12 0.07 0.18 0.09 0.07 Net GEX 43.8M -33.2M 102.7M 30.1M -23.1M Net DEX -512.4M -1.40B 2.05B -343.3M 2.05B Net VEX -16.0M -17.2M -14.7M -16.3M -14.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.57 1.50 0.78 0.69 Total Volume 53,330.526 30,770 99,657 39,438 99,657 Total OI 926,347.789 875,978 958,702 882,333 947,698
Daily Data (19 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 2020-02-03 $133.45 $135.00 21.2% 5.7% 19.5% 57.2% 20.2% 5.4% -0.4% 30.1M -343.3M -16.3M 0.78 2.43 N/A N/A 22,188 17,250 463,394 418,939 2020-02-04 $135.67 $135.00 19.7% 5.3% 20.5% 45.5% 18.8% 4.8% -0.3% 71.3M -886.3M -16.7M 1.38 3.07 N/A N/A 23,055 31,891 473,975 429,893 2020-02-05 $137.53 $135.00 19.6% 5.1% 20.6% 45.4% 18.6% 4.3% -0.5% 102.7M -1.37B -17.2M 0.89 3.06 N/A N/A 32,612 28,922 479,428 444,995 2020-02-06 $137.83 $130.00 19.3% 5.1% 20.4% 43.0% 18.2% 4.4% -0.5% 94.8M -1.40B -17.1M 0.79 6.16 N/A N/A 21,367 16,956 484,709 457,733 2020-02-07 $137.60 $130.00 19.4% 5.2% 20.4% 43.3% 19.9% 4.3% -0.4% 89.8M -1.29B -16.8M 0.69 5.59 N/A N/A 20,392 14,136 484,160 460,784 2020-02-10 $137.50 $130.00 19.9% 5.7% 20.1% 47.7% 20.8% 4.4% 0.2% 77.4M -1.17B -16.7M 1.50 5.20 N/A N/A 13,426 20,080 466,938 446,564 2020-02-11 $138.11 $130.00 19.4% 5.2% 20.0% 44.0% 20.0% 4.2% -1.4% 88.2M -1.34B -16.4M 1.26 3.83 N/A N/A 13,610 17,160 470,850 453,478 2020-02-12 $138.18 $130.00 18.1% 4.9% 19.4% 33.9% 18.8% 3.8% -1.1% 94.6M -1.36B -16.0M 0.57 3.59 N/A N/A 20,028 11,318 473,922 459,034 2020-02-13 $137.83 $130.00 18.4% 5.0% 18.4% 36.2% 19.0% 4.2% -1.1% 79.8M -1.24B -16.0M 0.81 3.82 N/A N/A 20,369 16,567 473,316 462,944 2020-02-14 $137.39 $130.00 18.1% 5.3% 18.3% 33.6% 18.0% 4.0% 0.5% 58.7M -1.14B -15.8M 1.01 4.89 N/A N/A 21,981 22,176 480,457 466,547 2020-02-18 $135.72 $130.00 18.7% 5.4% 18.7% 38.2% 18.8% 4.4% -0.5% 24.2M -599.0M -15.3M 0.71 3.95 N/A N/A 23,809 16,892 465,761 461,987 2020-02-19 $137.67 $130.00 17.2% 4.9% 19.3% 26.9% 19.5% 4.2% 0.5% 77.6M -1.16B -15.2M 0.71 4.03 N/A N/A 30,854 21,923 470,413 466,855 2020-02-20 $137.40 $130.00 19.5% 5.7% 19.3% 44.5% 18.9% 4.6% -1.2% 62.9M -1.08B -15.5M 1.18 6.25 N/A N/A 18,816 22,295 476,672 474,025 2020-02-21 $135.33 $130.00 20.6% 5.9% 20.1% 52.7% 20.8% 5.3% -0.4% -33.2M -512.9M -15.5M 1.01 4.31 N/A N/A 42,898 43,283 480,734 477,968 2020-02-24 $132.65 $130.00 24.9% 7.3% 19.1% 85.4% 25.5% 7.0% 0.1% 9.5M -73.3M -15.8M 0.89 3.17 N/A N/A 37,247 33,177 438,843 437,135 2020-02-25 $126.54 $130.00 29.6% 8.9% 25.3% 100.0% 31.0% 9.2% -0.1% -22.5M 910.3M -15.4M 0.88 7.22 N/A N/A 42,394 37,167 451,055 445,463 2020-02-26 $127.01 $130.00 28.1% 8.4% 24.3% 90.1% 27.9% 7.3% 0.4% -24.0M 866.8M -15.5M 0.59 3.59 N/A N/A 44,316 26,054 461,795 454,492 2020-02-27 $122.58 $130.00 36.1% 10.6% 26.9% 100.0% 37.4% 10.4% -0.8% -25.7M 1.40B -15.4M 0.82 6.10 N/A N/A 36,825 30,189 477,602 460,050 2020-02-28 $113.32 $130.00 52.1% 16.4% 37.2% 100.0% 56.8% 11.6% -2.6% -23.1M 2.05B -14.7M 0.69 15.97 N/A N/A 59,142 40,515 484,341 463,357
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