JPM Options History — July 2020 In July 2020, JPM traded between $91.20 and $99.98. ATM implied volatility averaged 38.1%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 0.4% (HV 20d: 38.4%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.35.
Notable Days 2020-07-13 : Highest Volume — 416,733 contracts2020-07-14 : Largest IV drop — 11.0% change2020-07-09 : Highest IV Rank — 32.5%2020-07-09 : Largest Expected Move — 13.1%Monthly Statistics Metric Avg Min Max Open Close Price $96.70 $91.20 $99.98 $93.58 $96.20 Max Pain $95.00 $95.00 $95.00 $95.00 $95.00 ATM IV 38.1% 31.4% 47.9% 42.0% 32.2% Expected Move 10.8% 9.0% 13.1% 12.7% 9.3% HV 20d 38.4% 29.8% 48.3% 48.3% 31.5% HV 60d 49.7% 46.6% 56.4% 56.4% 47.0% IV Rank 23.2% 16.9% 32.5% 26.9% 17.7% IV Percentile 65.8% 57.9% 81.3% 72.2% 57.9% Term Structure -0.3% -1.2% 0.5% -0.6% 0.4% VWIV 37.8% 30.8% 45.6% 45.3% 32.3% Skew 25d 2.4% -0.5% 3.6% 3.6% 3.0% Skew 10d 4.5% -0.1% 6.7% 5.6% 5.7% Call IV 25d 37.5% 30.5% 47.3% 41.0% 31.4% Put IV 25d 39.9% 33.2% 50.3% 44.6% 34.3% Bid-Ask Spread % 3.79 2.32 8.01 3.13 4.09 Gamma HHI 0.07 0.06 0.14 0.07 0.06 Net GEX 43.8M -13.8M 123.6M 4.4M 15.0M Net DEX 315.0M -709.4M 1.32B 1.10B 650.3M Net VEX -20.3M -22.2M -18.5M -18.5M -19.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.18 0.72 0.25 0.72 Total Volume 162,611.227 88,943 416,733 176,993 95,441 Total OI 1,485,183.045 1,342,537 1,714,555 1,384,171 1,510,884
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 2020-07-01 $93.58 $95.00 42.0% 12.7% 48.3% 26.9% 45.3% 3.6% -0.6% 4.4M 1.10B -18.5M 0.25 3.13 N/A N/A 141,174 35,819 759,756 624,415 2020-07-02 $92.55 $95.00 40.1% 12.0% 47.7% 25.1% 42.8% 2.6% -0.5% -13.8M 1.32B -18.6M 0.40 2.32 N/A N/A 121,128 48,921 790,481 640,782 2020-07-06 $94.73 $95.00 41.6% 11.4% 45.0% 26.6% 39.7% 3.5% -0.7% 20.2M 771.0M -19.2M 0.31 4.12 N/A N/A 104,664 32,576 750,639 621,727 2020-07-07 $92.10 $95.00 43.3% 12.0% 44.7% 28.1% 41.3% 2.4% -0.8% 3.6M 1.20B -18.6M 0.37 7.46 N/A N/A 94,514 35,150 783,651 631,831 2020-07-08 $93.01 $95.00 45.4% 12.2% 45.2% 30.1% 43.2% 2.8% -1.0% 15.8M 931.4M -19.5M 0.31 3.58 N/A N/A 96,583 29,863 808,850 646,984 2020-07-09 $91.20 $95.00 47.9% 13.1% 43.3% 32.5% 45.6% 2.9% -1.2% -25.4K 1.20B -19.6M 0.37 5.18 N/A N/A 87,738 32,528 841,415 661,347 2020-07-10 $96.37 $95.00 46.9% 12.9% 38.9% 31.6% 45.0% 1.6% -1.2% 59.8M -66.8M -21.6M 0.31 5.32 N/A N/A 211,254 64,871 872,010 675,964 2020-07-13 $97.44 $95.00 46.3% 12.9% 38.5% 30.9% 45.2% -0.5% -1.2% 51.6M -167.1M -21.5M 0.29 8.01 N/A N/A 323,683 93,050 841,813 663,136 2020-07-14 $98.83 $95.00 41.2% 11.6% 38.7% 26.1% 40.9% 1.6% -0.5% 80.1M -411.1M -21.4M 0.41 4.87 N/A N/A 236,035 96,959 902,318 702,924 2020-07-15 $99.98 $95.00 39.5% 11.2% 38.7% 24.5% 39.2% 1.6% -0.4% 108.5M -709.4M -22.2M 0.33 2.65 N/A N/A 159,721 52,135 932,042 725,497 2020-07-16 $99.95 $95.00 38.3% 11.0% 38.0% 23.4% 38.3% 2.3% -0.0% 123.6M -645.7M -22.0M 0.33 3.53 N/A N/A 152,323 50,561 947,944 743,241 2020-07-17 $98.49 $95.00 35.6% 10.1% 38.3% 20.8% 36.0% 1.5% -0.2% 42.8M -16.1M -21.1M 0.49 3.02 N/A N/A 88,766 43,595 964,594 749,961 2020-07-20 $97.67 $95.00 34.2% 9.8% 38.3% 19.5% 34.9% 2.0% 0.1% 29.1M 320.9M -20.5M 0.28 2.66 N/A N/A 99,622 28,103 733,402 609,135 2020-07-21 $99.42 $95.00 34.9% 10.0% 38.7% 20.2% 34.7% 2.5% 0.4% 59.9M -92.1M -21.0M 0.18 2.84 N/A N/A 144,361 26,210 768,980 620,681 2020-07-22 $98.52 $95.00 34.2% 9.8% 38.6% 19.5% 34.1% 2.3% 0.4% 57.9M 67.1M -21.0M 0.27 3.11 N/A N/A 95,462 25,682 807,302 627,794 2020-07-23 $98.62 $95.00 32.8% 9.4% 36.6% 18.1% 33.2% 2.9% 0.4% 63.8M 31.2M -21.0M 0.47 2.63 N/A N/A 60,402 28,541 831,048 636,669 2020-07-24 $98.38 $95.00 33.0% 9.5% 35.4% 18.4% 32.7% 2.9% 0.2% 60.7M 131.7M -20.8M 0.30 2.58 N/A N/A 81,533 24,857 832,319 640,235 2020-07-27 $96.74 $95.00 32.8% 9.3% 29.8% 18.2% 32.4% 2.9% -0.1% 28.7M 529.3M -19.9M 0.30 3.00 N/A N/A 69,198 21,081 787,262 622,744 2020-07-28 $97.42 $95.00 32.0% 9.2% 29.8% 17.4% 31.7% 3.2% 0.5% 41.4M 373.4M -19.9M 0.28 2.66 N/A N/A 71,114 19,569 803,834 626,787 2020-07-29 $99.47 $95.00 31.4% 9.0% 30.0% 16.9% 30.8% 2.7% 0.2% 83.8M -140.3M -20.4M 0.33 2.63 N/A N/A 106,319 34,862 814,633 636,224 2020-07-30 $96.83 $95.00 32.4% 9.2% 31.7% 17.8% 32.1% 3.3% 0.2% 26.1M 551.0M -19.7M 0.30 3.97 N/A N/A 85,934 25,545 836,430 644,342 2020-07-31 $96.20 $95.00 32.2% 9.3% 31.5% 17.7% 32.3% 3.0% 0.4% 15.0M 650.3M -19.5M 0.72 4.09 N/A N/A 55,517 39,924 859,321 651,563
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