JPM Options History — March 2020 In March 2020, JPM traded between $79.27 and $119.61. ATM implied volatility averaged 74.3%, placing in the 76.9% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded below realized volatility by 13.6% (HV 20d: 87.8%). Max pain ranged from $115.00 to $130.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.97.
Notable Days 2020-03-18 : Highest Volume — 114,362 contracts2020-03-05 : Largest IV spike — 46.8% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 34.1%Monthly Statistics Metric Avg Min Max Open Close Price $96.49 $79.27 $119.61 $119.61 $89.85 Max Pain $124.77 $115.00 $130.00 $130.00 $115.00 ATM IV 74.3% 33.1% 119.0% 37.3% 64.3% Expected Move 21.2% 9.7% 34.1% 11.4% 18.8% HV 20d 87.8% 42.3% 122.8% 42.7% 119.4% HV 60d 54.1% 28.5% 73.2% 28.7% 73.2% IV Rank 76.9% 48.1% 100.0% 61.4% 48.1% IV Percentile 98.3% 93.7% 100.0% 99.6% 93.7% Term Structure -3.0% -10.4% 2.0% -1.9% -2.0% VWIV 74.9% 37.1% 118.2% 38.4% 63.6% Skew 25d 25.9% 11.3% 40.8% 11.7% 19.7% Skew 10d 54.0% 24.2% 83.4% 24.2% 39.5% Call IV 25d 62.6% 28.0% 99.7% 33.0% 55.2% Put IV 25d 88.5% 39.2% 140.5% 44.7% 75.0% Bid-Ask Spread % 10.38 5.35 22.94 7.91 5.35 Gamma HHI 0.07 0.04 0.09 0.08 0.09 Net GEX -15.9M -31.8M -114.8K -23.7M -14.3M Net DEX 2.13B 1.32B 2.88B 1.48B 1.90B Net VEX -13.8M -15.3M -10.8M -15.2M -13.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.46 2.83 0.46 0.74 Total Volume 89,981.318 56,916 114,362 75,749 56,916 Total OI 1,077,019.909 954,002 1,231,690 954,002 1,058,826
Daily Data (22 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 2020-03-02 $119.61 $130.00 37.3% 11.4% 42.7% 61.4% 38.4% 11.7% -1.9% -23.7M 1.48B -15.2M 0.46 7.91 N/A N/A 51,763 23,986 492,985 461,017 2020-03-03 $117.65 $130.00 40.6% 12.5% 42.4% 70.1% 44.8% 14.5% -1.2% -24.1M 1.70B -15.0M 0.60 7.94 N/A N/A 48,981 29,403 507,451 470,897 2020-03-04 $119.42 $130.00 33.1% 9.7% 42.3% 50.5% 37.1% 11.3% -1.1% -26.1M 1.57B -14.7M 0.90 8.79 N/A N/A 36,623 32,785 527,712 481,746 2020-03-05 $112.82 $130.00 48.5% 12.3% 45.2% 90.7% 39.5% 17.7% -1.9% -28.2M 2.12B -14.5M 1.07 7.68 N/A N/A 46,359 49,706 535,549 487,013 2020-03-06 $108.03 $130.00 55.9% 14.5% 46.4% 100.0% 52.9% 24.3% -2.6% -31.8M 2.50B -14.2M 0.82 7.01 N/A N/A 57,806 47,382 553,413 508,889 2020-03-09 $94.10 $130.00 73.5% 19.7% 64.2% 100.0% 65.8% 29.0% -4.1% -22.3M 2.88B -11.6M 1.33 5.93 N/A N/A 44,672 59,639 536,575 503,625 2020-03-10 $100.74 $130.00 67.0% 18.7% 71.1% 89.2% 67.0% 24.5% -2.0% -23.5M 2.49B -13.8M 0.87 8.13 N/A N/A 56,474 49,049 555,391 509,443 2020-03-11 $95.85 $130.00 80.3% 21.9% 71.7% 100.0% 75.1% 30.7% -3.8% -19.6M 2.61B -13.6M 2.83 9.14 N/A N/A 26,483 74,846 573,829 527,869 2020-03-12 $89.48 $130.00 94.7% 26.0% 73.4% 100.0% 87.9% 38.0% -5.8% -18.7M 2.74B -13.1M 1.14 11.42 N/A N/A 48,564 55,269 584,439 553,491 2020-03-13 $99.48 $125.00 81.2% 21.9% 86.2% 83.3% 80.0% 28.5% -10.4% -10.7M 2.38B -15.1M 1.36 19.66 N/A N/A 44,531 60,376 599,856 564,979 2020-03-16 $89.06 $125.00 101.5% 28.5% 92.3% 100.0% 102.5% 40.4% -3.6% -15.9M 2.58B -13.4M 0.85 12.19 N/A N/A 41,199 35,108 586,538 555,354 2020-03-17 $93.99 $125.00 93.3% 26.5% 96.1% 90.7% 91.2% 36.4% -4.9% -13.8M 2.33B -14.9M 0.78 9.56 N/A N/A 47,874 37,308 601,679 565,326 2020-03-18 $80.99 $125.00 119.0% 34.1% 105.7% 100.0% 118.2% 40.8% -7.0% -12.2M 2.52B -12.6M 0.65 22.94 N/A N/A 69,309 45,053 616,183 565,565 2020-03-19 $85.78 $125.00 99.6% 28.8% 109.5% 81.6% 104.0% 35.0% -4.2% -11.5M 2.40B -13.6M 0.90 19.45 N/A N/A 57,193 51,279 650,290 568,705 2020-03-20 $83.42 $125.00 90.3% 25.8% 109.5% 72.8% 98.1% 29.5% 2.0% -12.1M 2.49B -12.8M 1.06 18.90 N/A N/A 48,760 51,847 654,991 576,699 2020-03-23 $79.27 $120.00 89.0% 26.7% 109.9% 71.6% 93.4% 29.8% -1.4% -12.1M 2.17B -10.8M 0.88 6.53 N/A N/A 36,631 32,203 490,854 487,328 2020-03-24 $88.32 $120.00 73.9% 22.0% 119.3% 57.2% 79.2% 18.7% -4.2% -10.4M 1.92B -12.8M 0.68 9.06 N/A N/A 53,026 36,177 505,458 498,109 2020-03-25 $93.96 $120.00 78.2% 22.4% 122.5% 61.3% 81.6% 23.8% -2.1% -4.0M 1.49B -14.9M 0.95 10.16 N/A N/A 51,859 49,249 519,265 504,156 2020-03-26 $95.85 $120.00 70.6% 21.6% 122.8% 54.0% 72.6% 20.8% -1.3% -114.8K 1.32B -15.3M 0.77 7.40 N/A N/A 49,243 37,879 529,372 516,037 2020-03-27 $91.67 $115.00 75.8% 22.8% 121.0% 59.0% 85.6% 21.6% -1.7% -4.4M 1.61B -14.6M 1.20 7.32 N/A N/A 36,685 43,914 544,437 530,656 2020-03-30 $93.38 $115.00 66.5% 20.4% 119.1% 50.2% 69.1% 22.2% -1.6% -9.9M 1.66B -14.3M 0.61 5.81 N/A N/A 41,115 25,065 522,039 510,402 2020-03-31 $89.85 $115.00 64.3% 18.8% 119.4% 48.1% 63.6% 19.7% -2.0% -14.3M 1.90B -13.2M 0.74 5.35 N/A N/A 32,664 24,252 539,552 519,274
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