JPM Options History — May 2020 In May 2020, JPM traded between $83.52 and $101.26. ATM implied volatility averaged 44.0%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 9.5% (HV 20d: 53.5%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.57.
Notable Days 2020-05-26 : Highest Volume — 254,492 contracts2020-05-13 : Largest IV spike — 19.0% change2020-05-13 : Highest IV Rank — 34.7%2020-05-04 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $91.62 $83.52 $101.26 $93.26 $97.65 Max Pain $98.13 $90.00 $105.00 $90.00 $95.00 ATM IV 44.0% 40.0% 50.2% 49.3% 42.7% Expected Move 12.6% 11.3% 14.4% 14.3% 11.8% HV 20d 53.5% 41.5% 69.3% 69.3% 55.0% HV 60d 85.5% 84.1% 86.9% 84.1% 86.6% IV Rank 28.8% 25.0% 34.7% 33.8% 27.6% IV Percentile 81.9% 77.4% 86.1% 85.7% 80.6% Term Structure 0.3% -2.0% 1.2% 0.4% 0.4% VWIV 43.9% 40.2% 52.3% 52.3% 41.1% Skew 25d 8.7% 5.5% 10.9% 10.1% 7.2% Skew 10d 17.3% 13.2% 22.8% 22.0% 13.8% Call IV 25d 40.4% 36.6% 45.8% 45.0% 39.3% Put IV 25d 49.1% 44.1% 56.5% 55.2% 46.5% Bid-Ask Spread % 3.83 2.11 5.27 4.65 2.49 Gamma HHI 0.08 0.05 0.26 0.06 0.07 Net GEX 1.2M -44.2M 37.0M -5.4M 15.1M Net DEX 1.19B -644.1M 2.31B 1.21B 157.6M Net VEX -16.1M -19.1M -13.5M -16.0M -18.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.33 0.84 0.62 0.56 Total Volume 121,063.2 61,225 254,492 92,924 107,203 Total OI 1,284,597.65 1,145,421 1,411,310 1,191,935 1,411,310
Daily Data (20 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 2020-05-01 $93.26 $90.00 49.3% 14.3% 69.3% 33.8% 52.3% 10.1% 0.4% -5.4M 1.21B -16.0M 0.62 4.65 N/A N/A 57,452 35,472 612,326 579,609 2020-05-04 $92.33 $105.00 48.6% 14.4% 67.0% 33.2% 49.6% 10.8% 0.2% -4.0M 1.28B -15.6M 0.70 4.46 N/A N/A 35,976 25,249 589,566 555,855 2020-05-05 $92.12 $105.00 46.2% 13.6% 63.2% 30.9% 45.1% 10.5% 0.2% -5.4M 1.34B -15.3M 0.66 4.67 N/A N/A 44,153 29,098 598,221 568,643 2020-05-06 $90.51 $105.00 45.7% 13.3% 62.6% 30.4% 45.5% 9.1% 0.7% -15.0M 1.54B -14.9M 0.74 4.02 N/A N/A 40,813 30,193 606,179 575,107 2020-05-07 $91.23 $100.00 43.7% 12.9% 62.0% 28.5% 42.4% 9.5% 0.2% -8.3M 1.45B -15.2M 0.42 5.01 N/A N/A 55,771 23,542 625,353 588,524 2020-05-08 $92.81 $100.00 40.8% 11.6% 51.1% 25.8% 41.3% 9.3% 1.1% 28.5M 1.18B -15.5M 0.75 4.65 N/A N/A 60,715 45,268 643,522 594,983 2020-05-11 $90.08 $100.00 41.4% 12.1% 49.9% 26.4% 41.4% 7.8% 0.7% -12.5M 1.61B -14.7M 0.55 3.79 N/A N/A 68,094 37,625 624,974 582,005 2020-05-12 $87.66 $100.00 42.2% 12.0% 49.9% 27.1% 41.9% 7.3% -0.2% -26.2M 1.90B -14.0M 0.42 4.83 N/A N/A 92,147 38,420 644,600 596,162 2020-05-13 $83.52 $100.00 50.2% 14.1% 48.8% 34.7% 48.9% 10.6% -1.3% -31.5M 2.31B -13.5M 0.70 4.05 N/A N/A 90,425 62,850 693,743 619,376 2020-05-14 $87.58 $100.00 49.9% 13.8% 50.6% 34.4% 48.8% 10.9% -2.0% -8.8M 1.67B -15.6M 0.41 5.01 N/A N/A 149,333 61,074 724,776 634,650 2020-05-15 $85.42 $100.00 47.9% 13.7% 41.5% 32.5% 48.0% 9.6% -0.2% -44.2M 2.03B -14.8M 0.68 4.97 N/A N/A 70,403 47,600 738,104 646,451 2020-05-18 $91.12 $97.50 42.2% 12.1% 46.5% 27.1% 42.6% 9.4% 1.1% 10.4M 1.19B -16.4M 0.33 3.09 N/A N/A 96,615 32,248 655,153 590,877 2020-05-19 $89.08 $95.00 43.3% 12.4% 46.5% 28.2% 44.4% 8.7% 0.1% 9.7M 1.44B -16.1M 0.84 5.27 N/A N/A 60,983 51,356 680,021 599,957 2020-05-20 $91.27 $95.00 40.8% 11.7% 47.3% 25.7% 41.0% 8.1% 0.1% 19.2M 1.13B -16.8M 0.45 2.24 N/A N/A 73,586 33,063 699,597 630,060 2020-05-21 $89.90 $95.00 41.1% 11.7% 47.6% 26.1% 40.7% 7.4% 1.2% 9.7M 1.39B -16.6M 0.51 2.24 N/A N/A 51,402 26,273 708,539 641,838 2020-05-22 $89.27 $95.00 40.0% 11.3% 47.4% 25.0% 40.2% 7.5% 1.1% -3.3M 1.56B -16.3M 0.58 2.11 N/A N/A 51,889 30,213 719,634 651,326 2020-05-26 $96.45 $95.00 41.0% 11.8% 53.1% 26.0% 41.4% 5.5% 0.9% 25.7M 326.3M -18.0M 0.45 3.20 N/A N/A 175,286 79,206 688,087 628,414 2020-05-27 $101.26 $95.00 41.9% 12.0% 55.7% 26.9% 40.8% 7.2% -0.0% 37.0M -644.1M -19.0M 0.44 2.75 N/A N/A 156,615 69,297 713,884 639,021 2020-05-28 $99.91 $95.00 41.5% 11.6% 55.3% 26.5% 41.2% 7.7% 0.5% 33.9M -336.2M -19.1M 0.62 3.01 N/A N/A 76,772 47,584 734,866 656,640 2020-05-29 $97.65 $95.00 42.7% 11.8% 55.0% 27.6% 41.1% 7.2% 0.4% 15.1M 157.6M -18.7M 0.56 2.49 N/A N/A 68,780 38,423 741,342 669,968
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