JPM Options History — August 2020 In August 2020, JPM traded between $95.26 and $103.81. ATM implied volatility averaged 32.4%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 6.4% (HV 20d: 26.0%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.34.
Notable Days 2020-08-11 : Highest Volume — 373,626 contracts2020-08-27 : Largest IV spike — 7.7% change2020-08-31 : Highest IV Rank — 20.6%2020-08-31 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $99.70 $95.26 $103.81 $96.52 $100.44 Max Pain $99.29 $95.00 $100.00 $95.00 $100.00 ATM IV 32.4% 30.2% 35.3% 32.5% 35.3% Expected Move 9.3% 8.6% 9.9% 9.2% 9.9% HV 20d 26.0% 22.2% 30.4% 30.4% 27.0% HV 60d 41.5% 35.2% 47.0% 47.0% 35.2% IV Rank 17.8% 15.7% 20.6% 17.9% 20.6% IV Percentile 56.2% 51.2% 61.1% 58.3% 61.1% Term Structure 0.4% -0.4% 1.2% -0.3% 0.9% VWIV 33.0% 30.7% 35.6% 32.1% 35.6% Skew 25d 1.9% 0.6% 3.1% 3.0% 2.8% Skew 10d 4.1% 0.6% 6.9% 5.3% 5.4% Call IV 25d 32.2% 30.2% 34.5% 31.6% 34.5% Put IV 25d 34.1% 31.8% 37.3% 34.7% 37.3% Bid-Ask Spread % 2.81 1.54 5.46 3.04 3.00 Gamma HHI 0.08 0.05 0.12 0.06 0.09 Net GEX 73.9M 1.6M 143.2M 26.1M 64.5M Net DEX -132.1M -1.55B 910.4M 586.1M -162.3M Net VEX -20.1M -21.6M -18.6M -19.5M -20.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.34 0.18 0.66 0.32 0.55 Total Volume 157,126.857 65,419 373,626 79,859 108,138 Total OI 1,552,315.429 1,404,569 1,668,427 1,462,062 1,508,388
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 2020-08-03 $96.52 $95.00 32.5% 9.2% 30.4% 17.9% 32.1% 3.0% -0.3% 26.1M 586.1M -19.5M 0.32 3.04 N/A N/A 60,420 19,439 815,115 646,947 2020-08-04 $95.26 $95.00 32.2% 9.1% 29.0% 17.6% 32.0% 2.5% -0.4% 5.0M 910.4M -19.1M 0.44 4.09 N/A N/A 45,425 19,994 823,127 656,087 2020-08-05 $97.28 $95.00 31.9% 8.9% 29.7% 17.4% 31.4% 3.1% -0.0% 43.4M 381.8M -19.8M 0.18 3.23 N/A N/A 149,763 26,955 836,275 665,428 2020-08-06 $97.13 $100.00 32.1% 9.5% 28.6% 17.5% 33.5% 1.6% 0.1% 55.3M 329.3M -20.0M 0.25 2.61 N/A N/A 112,993 28,454 876,695 672,714 2020-08-07 $99.20 $100.00 32.7% 9.5% 22.2% 18.1% 34.2% 0.6% -0.1% 140.5M -378.9M -20.8M 0.31 3.42 N/A N/A 162,863 50,712 898,855 683,768 2020-08-10 $100.69 $100.00 33.3% 9.7% 22.4% 18.6% 34.4% 0.8% 0.4% 109.3M -664.5M -20.9M 0.25 3.47 N/A N/A 204,766 51,133 860,822 655,558 2020-08-11 $103.81 $100.00 34.0% 9.8% 24.3% 19.3% 35.4% 1.9% 0.3% 143.2M -1.55B -21.6M 0.29 5.46 N/A N/A 289,416 84,210 890,957 678,227 2020-08-12 $103.10 $100.00 33.4% 9.6% 24.3% 18.7% 34.7% 1.5% 0.0% 131.0M -1.17B -21.3M 0.36 4.09 N/A N/A 138,382 49,212 896,273 700,081 2020-08-13 $102.05 $100.00 33.0% 9.7% 24.6% 18.4% 33.6% 2.2% 0.9% 127.6M -819.6M -21.1M 0.34 2.20 N/A N/A 81,144 27,572 921,739 702,786 2020-08-14 $102.40 $100.00 33.1% 9.7% 23.9% 18.4% 33.6% 1.8% 1.2% 125.1M -953.5M -20.8M 0.29 2.91 N/A N/A 102,516 30,212 939,947 707,512 2020-08-17 $99.81 $100.00 31.9% 9.2% 25.6% 17.3% 32.5% 2.2% 0.4% 61.2M 15.1M -19.5M 0.27 1.54 N/A N/A 112,994 30,641 896,483 677,862 2020-08-18 $98.35 $100.00 31.2% 8.9% 25.4% 16.6% 32.2% 2.0% 0.5% 35.7M 450.5M -19.2M 0.59 2.00 N/A N/A 63,098 37,163 903,421 688,809 2020-08-19 $98.67 $100.00 31.0% 8.9% 25.3% 16.5% 31.6% 2.5% 1.1% 46.2M 336.8M -19.2M 0.40 2.04 N/A N/A 79,473 31,695 922,231 700,367 2020-08-20 $97.38 $100.00 31.1% 8.9% 25.7% 16.6% 31.6% 2.3% -0.2% 1.6M 766.5M -18.8M 0.50 1.70 N/A N/A 66,598 33,498 932,706 713,587 2020-08-21 $97.12 $100.00 30.2% 8.6% 25.7% 15.7% 31.7% 1.6% 0.4% 6.5M 773.3M -18.6M 0.66 1.90 N/A N/A 75,912 49,842 946,912 721,515 2020-08-24 $99.91 $100.00 30.4% 8.6% 26.9% 15.9% 30.7% 1.8% 0.5% 46.3M 115.8M -19.4M 0.23 2.38 N/A N/A 128,302 30,038 765,753 638,816 2020-08-25 $100.24 $100.00 30.5% 8.6% 26.8% 16.0% 30.7% 1.6% 0.3% 76.2M -100.6M -19.8M 0.19 2.31 N/A N/A 136,752 26,135 808,107 647,326 2020-08-26 $99.45 $100.00 31.9% 9.1% 26.0% 17.3% 31.6% 1.8% 0.7% 64.6M 127.8M -19.7M 0.18 2.25 N/A N/A 126,781 23,291 826,822 656,058 2020-08-27 $102.41 $100.00 34.3% 9.8% 25.9% 19.6% 34.7% 1.4% 0.7% 126.5M -857.7M -21.2M 0.20 2.41 N/A N/A 222,629 45,505 869,795 664,896 2020-08-28 $102.42 $100.00 34.2% 9.6% 25.7% 19.5% 34.4% 1.3% 1.1% 116.2M -912.6M -21.5M 0.26 2.85 N/A N/A 107,695 27,903 904,428 675,429 2020-08-31 $100.44 $100.00 35.3% 9.9% 27.0% 20.6% 35.6% 2.8% 0.9% 64.5M -162.3M -20.7M 0.55 3.00 N/A N/A 69,767 38,371 857,985 650,403
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