JPM Options History — September 2020 In September 2020, JPM traded between $92.62 and $103.76. ATM implied volatility averaged 37.2%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 8.5% (HV 20d: 28.7%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.48.
Notable Days 2020-09-03 : Highest Volume — 252,774 contracts2020-09-09 : Largest IV drop — 10.3% change2020-09-08 : Highest IV Rank — 28.1%2020-09-08 : Largest Expected Move — 12.4%Monthly Statistics Metric Avg Min Max Open Close Price $98.32 $92.62 $103.76 $99.87 $96.22 Max Pain $98.62 $95.00 $100.00 $100.00 $95.00 ATM IV 37.2% 34.4% 43.3% 35.7% 35.5% Expected Move 10.7% 9.9% 12.4% 10.0% 10.4% HV 20d 28.7% 26.3% 32.3% 26.5% 30.9% HV 60d 30.5% 28.5% 35.1% 35.0% 28.5% IV Rank 22.3% 19.7% 28.1% 21.0% 20.7% IV Percentile 60.0% 54.0% 72.6% 61.5% 55.2% Term Structure 0.6% -0.8% 3.9% 0.7% 3.3% VWIV 37.8% 35.3% 43.0% 35.6% 36.5% Skew 25d 2.8% 1.6% 4.3% 2.2% 1.9% Skew 10d 4.9% 1.9% 9.2% 4.1% 3.9% Call IV 25d 36.8% 34.6% 41.8% 35.5% 35.3% Put IV 25d 39.5% 36.6% 46.1% 37.7% 37.3% Bid-Ask Spread % 8.55 2.53 26.89 3.01 3.29 Gamma HHI 0.08 0.06 0.17 0.09 0.07 Net GEX 36.0M -55.5M 136.6M 54.9M 36.3M Net DEX 313.5M -1.29B 1.54B -24.9M 567.4M Net VEX -20.0M -22.6M -18.3M -21.1M -19.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.21 0.84 0.26 0.49 Total Volume 129,401.905 87,942 252,774 96,304 107,712 Total OI 1,506,078.762 1,228,466 1,704,232 1,547,704 1,353,380
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 2020-09-01 $99.87 $100.00 35.7% 10.0% 26.5% 21.0% 35.6% 2.2% 0.7% 54.9M -24.9M -21.1M 0.26 3.01 N/A N/A 76,293 20,011 876,849 670,855 2020-09-02 $101.76 $100.00 38.2% 10.6% 26.3% 23.3% 37.6% 2.3% 0.7% 93.2M -646.2M -21.9M 0.21 3.54 N/A N/A 94,635 19,826 897,448 678,369 2020-09-03 $101.15 $100.00 41.1% 12.3% 26.5% 26.1% 42.1% 4.0% 0.7% 91.7M -508.5M -22.1M 0.24 5.86 N/A N/A 204,175 48,599 914,395 682,260 2020-09-04 $103.76 $100.00 41.1% 12.0% 26.9% 26.1% 42.5% 3.7% 0.4% 136.6M -1.29B -22.6M 0.36 21.65 N/A N/A 169,699 61,134 929,902 691,200 2020-09-08 $100.52 $100.00 43.3% 12.4% 29.0% 28.1% 43.0% 4.3% 0.3% 60.4M -193.0M -21.3M 0.43 23.47 N/A N/A 100,835 43,539 894,468 674,373 2020-09-09 $101.36 $100.00 38.8% 11.3% 26.9% 23.9% 39.4% 3.3% 0.8% 82.0M -404.9M -21.3M 0.49 19.09 N/A N/A 78,267 38,663 923,052 689,516 2020-09-10 $100.17 $100.00 38.5% 11.1% 27.1% 23.6% 38.8% 2.7% 0.5% 52.0M 10.1M -20.7M 0.37 26.89 N/A N/A 76,232 27,870 934,233 704,948 2020-09-11 $101.13 $100.00 36.2% 10.6% 27.2% 21.4% 36.8% 3.0% 1.0% 106.2M -287.7M -20.5M 0.50 6.15 N/A N/A 70,429 35,563 941,629 712,988 2020-09-14 $102.76 $100.00 35.0% 10.1% 27.8% 20.3% 36.2% 3.3% 0.2% 89.0M -740.5M -20.3M 0.52 4.46 N/A N/A 69,056 36,185 911,740 689,999 2020-09-15 $99.56 $100.00 35.9% 10.4% 28.6% 21.2% 36.7% 2.1% -0.0% 35.2M 236.6M -19.8M 0.53 19.46 N/A N/A 83,024 44,379 934,826 702,462 2020-09-16 $99.97 $100.00 35.2% 10.1% 28.1% 20.4% 35.7% 2.3% -0.2% 39.4M 112.1M -19.7M 0.51 5.41 N/A N/A 69,998 36,021 952,639 714,444 2020-09-17 $98.12 $100.00 35.2% 10.1% 28.9% 20.4% 36.1% 1.6% 0.2% -11.0M 770.0M -19.3M 0.69 4.44 N/A N/A 60,283 41,584 961,741 720,493 2020-09-18 $98.84 $100.00 34.4% 9.9% 28.6% 19.7% 35.3% 1.8% -0.1% -55.5M 662.1M -19.3M 0.84 11.07 N/A N/A 102,579 86,007 972,557 731,675 2020-09-21 $94.84 $100.00 37.0% 10.7% 32.3% 22.1% 38.1% 2.9% -0.4% -19.8M 1.19B -18.4M 0.50 2.71 N/A N/A 113,036 56,228 657,492 570,974 2020-09-22 $93.99 $100.00 36.4% 10.5% 30.4% 21.6% 37.4% 2.5% -0.2% -22.5M 1.32B -18.5M 0.58 2.53 N/A N/A 55,575 32,367 689,223 594,664 2020-09-23 $92.92 $96.00 37.3% 11.0% 30.4% 22.4% 38.1% 3.1% -0.4% -25.3M 1.50B -18.3M 0.53 2.77 N/A N/A 60,841 32,393 708,171 603,530 2020-09-24 $92.62 $95.00 38.1% 10.9% 30.4% 23.2% 38.9% 3.8% -0.8% -25.8M 1.54B -18.5M 0.67 3.36 N/A N/A 68,698 45,989 722,856 614,720 2020-09-25 $93.16 $95.00 36.2% 10.3% 28.1% 21.4% 36.4% 2.5% -0.5% -6.6M 1.44B -18.7M 0.57 2.76 N/A N/A 69,337 39,253 734,974 634,478 2020-09-28 $96.39 $95.00 35.0% 10.1% 31.3% 20.2% 35.6% 2.5% 3.4% 22.3M 585.2M -19.1M 0.28 4.55 N/A N/A 114,250 31,876 703,683 600,291 2020-09-29 $95.51 $95.00 36.3% 10.7% 30.8% 21.5% 37.6% 2.4% 3.9% 23.5M 741.0M -19.2M 0.46 3.06 N/A N/A 65,189 29,810 721,611 608,546 2020-09-30 $96.22 $95.00 35.5% 10.4% 30.9% 20.7% 36.5% 1.9% 3.3% 36.3M 567.4M -19.2M 0.49 3.29 N/A N/A 72,110 35,602 734,747 618,633
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