JPM Options History — June 2020 In June 2020, JPM traded between $92.56 and $112.88. ATM implied volatility averaged 46.0%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 11.2% (HV 20d: 57.2%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.47.
Notable Days 2020-06-11 : Highest Volume — 258,333 contracts2020-06-11 : Largest IV spike — 25.9% change2020-06-11 : Highest IV Rank — 40.8%2020-06-11 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $100.55 $92.56 $112.88 $98.81 $94.26 Max Pain $98.41 $95.00 $100.00 $95.00 $97.00 ATM IV 46.0% 39.5% 56.6% 42.4% 41.9% Expected Move 13.1% 11.0% 15.4% 11.7% 12.1% HV 20d 57.2% 49.8% 65.3% 54.3% 54.0% HV 60d 69.2% 57.9% 85.9% 85.9% 57.9% IV Rank 30.7% 24.5% 40.8% 27.3% 26.9% IV Percentile 80.7% 71.8% 89.7% 80.2% 71.8% Term Structure -1.4% -4.1% 0.4% -1.4% -0.3% VWIV 46.3% 39.7% 53.7% 41.2% 43.1% Skew 25d 5.7% 1.7% 11.6% 9.2% 3.7% Skew 10d 11.0% 4.1% 19.9% 17.9% 6.8% Call IV 25d 44.4% 38.6% 54.0% 38.6% 41.3% Put IV 25d 50.1% 43.1% 62.8% 47.7% 45.1% Bid-Ask Spread % 6.26 1.85 18.18 1.85 3.31 Gamma HHI 0.07 0.06 0.10 0.08 0.07 Net GEX 22.3M -19.9M 59.8M 24.1M 5.8M Net DEX -14.0M -2.37B 1.32B 241.7M 977.9M Net VEX -19.5M -20.5M -18.3M -18.7M -18.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.47 0.27 0.86 0.41 0.35 Total Volume 154,193.636 70,503 258,333 70,503 112,279 Total OI 1,418,424.409 1,217,683 1,638,874 1,320,759 1,353,250
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 2020-06-01 $98.81 $95.00 42.4% 11.7% 54.3% 27.3% 41.2% 9.2% -1.4% 24.1M 241.7M -18.7M 0.41 1.85 N/A N/A 49,962 20,541 696,810 623,949 2020-06-02 $98.32 $95.00 44.2% 12.0% 54.1% 29.0% 41.5% 8.4% -2.1% 23.4M 321.0M -18.6M 0.86 2.25 N/A N/A 59,129 50,592 706,829 630,598 2020-06-03 $104.65 $95.00 43.0% 11.6% 58.0% 27.9% 41.1% 7.7% -1.8% 47.3M -949.1M -19.6M 0.39 5.35 N/A N/A 129,023 50,526 722,497 645,185 2020-06-04 $106.22 $95.00 41.2% 11.7% 57.4% 26.2% 40.7% 6.7% -2.5% 53.9M -1.27B -19.6M 0.49 7.61 N/A N/A 102,916 50,685 733,953 659,919 2020-06-05 $111.24 $95.00 39.5% 11.0% 58.9% 24.5% 39.7% 4.0% -2.3% 58.4M -2.37B -19.7M 0.36 6.73 N/A N/A 179,754 64,903 749,191 671,455 2020-06-08 $112.88 $95.00 42.0% 11.5% 58.9% 26.9% 42.4% 3.8% -1.0% 59.8M -2.25B -20.1M 0.51 5.38 N/A N/A 86,555 43,965 739,900 651,041 2020-06-09 $111.09 $100.00 43.4% 12.0% 57.9% 28.2% 43.1% 3.2% -1.1% 55.3M -1.90B -20.2M 0.48 9.69 N/A N/A 61,683 29,796 753,623 670,399 2020-06-10 $106.13 $100.00 45.0% 12.5% 59.8% 29.8% 44.6% 1.7% -1.3% 37.6M -891.9M -20.1M 0.38 12.76 N/A N/A 142,346 53,984 768,209 678,649 2020-06-11 $97.67 $100.00 56.6% 15.4% 65.3% 40.8% 53.7% 8.8% -4.1% 696.8K 852.2M -19.7M 0.67 12.51 N/A N/A 155,015 103,318 810,124 698,664 2020-06-12 $99.41 $100.00 53.2% 14.7% 63.7% 37.6% 52.6% 11.6% -2.8% 13.9M 505.1M -20.4M 0.83 6.13 N/A N/A 92,349 76,258 840,795 718,264 2020-06-15 $100.41 $100.00 52.6% 14.9% 62.6% 37.0% 52.0% 6.8% -1.1% 15.7M 161.1M -20.3M 0.31 18.18 N/A N/A 126,962 38,843 810,416 700,033 2020-06-16 $101.52 $100.00 49.8% 14.3% 59.0% 34.3% 49.0% 7.6% -2.3% 31.9M -170.2M -20.5M 0.42 6.18 N/A N/A 92,893 39,000 846,626 713,095 2020-06-17 $99.49 $100.00 48.1% 13.8% 58.9% 32.7% 48.2% 7.3% -1.3% 17.2M 325.2M -19.8M 0.61 6.56 N/A N/A 68,491 41,937 856,360 721,752 2020-06-18 $98.58 $100.00 46.9% 13.5% 58.6% 31.6% 48.9% 6.0% -1.0% 5.8M 527.9M -19.4M 0.68 7.39 N/A N/A 69,324 47,115 866,753 740,265 2020-06-19 $97.95 $100.00 46.6% 13.4% 58.4% 31.3% 48.1% 5.4% 0.4% 11.5M 636.2M -19.4M 0.49 4.50 N/A N/A 137,623 67,384 885,403 753,471 2020-06-22 $97.02 $100.00 45.5% 13.2% 58.4% 30.2% 46.5% 5.5% -1.0% 5.7M 684.0M -18.8M 0.43 3.38 N/A N/A 71,564 30,653 651,596 566,087 2020-06-23 $98.27 $100.00 43.7% 12.6% 51.8% 28.5% 44.6% 4.2% -0.3% 20.2M 448.8M -19.2M 0.27 3.26 N/A N/A 117,941 31,607 672,205 576,876 2020-06-24 $95.16 $100.00 46.9% 13.7% 49.8% 31.6% 49.1% 3.4% -0.9% 965.6K 916.5M -18.9M 0.29 4.82 N/A N/A 133,979 38,593 696,999 589,058 2020-06-25 $97.83 $100.00 47.2% 13.8% 50.8% 31.8% 49.3% 3.6% -0.6% 31.1M 337.9M -20.0M 0.30 3.57 N/A N/A 161,950 48,621 732,545 602,686 2020-06-26 $92.69 $100.00 47.3% 14.0% 53.7% 31.9% 50.0% 3.2% -1.4% -19.9M 1.32B -18.6M 0.43 3.19 N/A N/A 143,158 61,573 764,961 615,116 2020-06-29 $92.56 $98.00 45.6% 13.6% 53.5% 30.4% 48.5% 3.9% -0.2% -9.3M 1.22B -18.3M 0.42 3.03 N/A N/A 75,814 31,656 721,197 598,533 2020-06-30 $94.26 $97.00 41.9% 12.1% 54.0% 26.9% 43.1% 3.7% -0.3% 5.8M 977.9M -18.6M 0.35 3.31 N/A N/A 82,937 29,342 742,560 610,690
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