JPM Options History — April 2020 In April 2020, JPM traded between $83.29 and $103.17. ATM implied volatility averaged 55.8%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 39.6% (HV 20d: 95.5%). Max pain ranged from $90.00 to $115.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2020-04-14 : Highest Volume — 243,685 contracts2020-04-06 : Largest IV drop — 16.8% change2020-04-01 : Highest IV Rank — 57.1%2020-04-01 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $92.17 $83.29 $103.17 $83.78 $95.56 Max Pain $92.86 $90.00 $115.00 $115.00 $90.00 ATM IV 55.8% 41.8% 73.8% 73.8% 44.3% Expected Move 16.0% 12.1% 22.3% 22.3% 13.0% HV 20d 95.5% 69.7% 121.4% 120.6% 69.7% HV 60d 80.8% 74.3% 84.1% 74.3% 84.1% IV Rank 40.0% 26.7% 57.1% 57.1% 29.1% IV Percentile 90.0% 84.5% 95.2% 95.2% 84.9% Term Structure -0.7% -4.2% 1.4% -4.2% 0.7% VWIV 56.1% 43.5% 76.9% 76.9% 46.3% Skew 25d 12.5% 8.6% 20.9% 20.9% 9.2% Skew 10d 25.9% 17.5% 39.8% 39.6% 18.4% Call IV 25d 50.3% 37.7% 64.8% 64.8% 40.5% Put IV 25d 62.9% 46.3% 85.6% 85.6% 49.6% Bid-Ask Spread % 5.97 2.16 15.64 6.23 3.16 Gamma HHI 0.06 0.04 0.08 0.08 0.06 Net GEX -1.4M -21.4M 27.7M -20.2M 9.3M Net DEX 1.35B 296.0M 2.31B 2.22B 891.7M Net VEX -14.9M -17.3M -11.8M -11.8M -16.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.37 1.02 0.73 1.02 Total Volume 118,181.476 62,466 243,685 77,691 64,838 Total OI 1,135,545 1,046,453 1,279,028 1,077,361 1,178,003
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 2020-04-01 $83.78 $115.00 73.8% 22.3% 120.6% 57.1% 76.9% 20.9% -4.2% -20.2M 2.22B -11.8M 0.73 6.23 N/A N/A 44,881 32,810 547,940 529,421 2020-04-02 $87.26 $90.00 67.9% 19.1% 121.3% 51.5% 66.7% 19.0% -1.6% -18.3M 2.01B -12.9M 0.90 7.77 N/A N/A 48,747 43,681 564,329 543,447 2020-04-03 $83.29 $90.00 67.2% 18.4% 121.4% 50.9% 62.8% 20.1% -1.1% -18.8M 2.31B -12.3M 0.71 9.96 N/A N/A 48,112 34,187 578,301 561,207 2020-04-06 $88.85 $90.00 56.0% 15.7% 114.9% 40.2% 52.3% 15.9% -1.2% -6.4M 1.72B -13.4M 0.45 9.76 N/A N/A 51,636 23,225 553,622 510,248 2020-04-07 $91.62 $90.00 56.4% 16.2% 112.6% 40.5% 53.0% 15.9% 0.4% 605.5K 1.48B -14.1M 0.38 15.64 N/A N/A 75,265 28,426 561,550 513,777 2020-04-08 $93.80 $90.00 54.6% 15.5% 111.7% 38.9% 60.9% 15.9% -0.0% 6.2M 1.32B -14.6M 0.57 8.51 N/A N/A 39,811 22,867 571,484 523,931 2020-04-09 $103.17 $90.00 55.8% 15.5% 113.6% 40.1% 56.4% 11.3% -2.3% 14.9M 296.0M -17.3M 0.42 8.62 N/A N/A 155,524 66,080 584,128 533,195 2020-04-13 $98.69 $95.00 58.0% 16.5% 108.7% 42.1% 59.6% 10.9% -1.1% 4.9M 984.0M -15.8M 0.88 6.74 N/A N/A 83,900 73,536 560,324 527,779 2020-04-14 $95.99 $95.00 52.0% 14.9% 101.3% 36.5% 51.7% 10.0% -0.5% -202.2K 1.30B -15.0M 0.78 5.65 N/A N/A 136,735 106,950 594,710 561,033 2020-04-15 $90.71 $95.00 58.5% 16.8% 101.7% 42.6% 58.1% 10.1% -0.7% -15.5M 1.77B -14.3M 0.65 4.18 N/A N/A 94,266 61,615 622,740 578,141 2020-04-16 $87.58 $95.00 60.0% 17.2% 86.7% 44.0% 61.1% 10.1% 0.9% -21.4M 2.01B -13.9M 0.70 5.06 N/A N/A 91,232 63,456 648,113 589,906 2020-04-17 $94.90 $95.00 55.3% 15.9% 89.0% 39.6% 55.7% 11.7% 0.1% 9.2M 1.06B -16.0M 0.57 6.67 N/A N/A 137,998 78,932 674,454 604,574 2020-04-20 $91.46 $95.00 59.1% 17.1% 89.5% 43.1% 59.4% 10.1% -1.1% -1.1M 1.20B -15.2M 0.75 5.42 N/A N/A 69,226 52,252 546,994 499,459 2020-04-21 $89.40 $95.00 60.8% 17.5% 87.7% 44.8% 62.4% 11.9% -1.4% -7.3M 1.38B -15.0M 0.87 2.16 N/A N/A 60,349 52,689 569,453 525,609 2020-04-22 $89.96 $90.00 58.0% 16.6% 79.0% 42.1% 57.4% 11.3% -1.2% -6.3M 1.36B -15.4M 0.48 2.99 N/A N/A 42,197 20,269 589,149 546,560 2020-04-23 $89.83 $90.00 54.2% 15.8% 75.6% 38.5% 54.4% 10.7% -1.1% -7.5M 1.43B -15.0M 0.68 3.42 N/A N/A 50,156 33,909 597,610 550,815 2020-04-24 $91.05 $90.00 50.1% 14.2% 75.4% 34.6% 49.8% 9.5% -0.8% -2.8M 1.32B -15.2M 0.76 4.13 N/A N/A 55,330 41,889 607,901 564,256 2020-04-27 $94.88 $90.00 44.8% 12.8% 75.2% 29.6% 45.8% 10.9% 0.1% 7.1M 976.2M -16.0M 0.41 3.01 N/A N/A 75,471 31,279 577,859 545,392 2020-04-28 $95.65 $90.00 43.6% 12.4% 75.0% 28.5% 43.9% 9.4% 0.0% 16.0M 828.0M -16.4M 0.37 2.79 N/A N/A 65,506 24,017 597,519 551,060 2020-04-29 $98.19 $90.00 41.8% 12.1% 74.0% 26.7% 43.5% 8.6% 1.4% 27.7M 480.1M -16.8M 0.55 3.44 N/A N/A 63,557 35,005 602,011 558,441 2020-04-30 $95.56 $90.00 44.3% 13.0% 69.7% 29.1% 46.3% 9.2% 0.7% 9.3M 891.7M -16.3M 1.02 3.16 N/A N/A 32,112 32,726 608,064 569,939
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