JPM Options History — October 2020 In October 2020, JPM traded between $96.56 and $103.77. ATM implied volatility averaged 36.1%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 9.4% (HV 20d: 26.7%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.53.
Notable Days 2020-10-13 : Highest Volume — 260,444 contracts2020-10-28 : Largest IV spike — 16.5% change2020-10-28 : Highest IV Rank — 26.9%2020-10-28 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $100.04 $96.56 $103.77 $96.56 $97.40 Max Pain $99.09 $95.00 $100.00 $95.00 $100.00 ATM IV 36.1% 32.2% 42.0% 36.2% 40.9% Expected Move 10.4% 9.2% 12.7% 10.2% 12.4% HV 20d 26.7% 22.2% 30.6% 30.0% 26.5% HV 60d 26.9% 26.1% 28.5% 28.5% 27.5% IV Rank 21.3% 17.6% 26.9% 21.4% 25.9% IV Percentile 53.2% 41.3% 69.4% 56.7% 63.9% Term Structure -0.1% -1.7% 4.1% 4.1% -0.9% VWIV 36.0% 31.5% 43.6% 35.7% 42.1% Skew 25d 3.8% 0.9% 8.8% 2.7% 8.8% Skew 10d 8.0% 2.1% 19.7% 3.4% 19.7% Call IV 25d 34.8% 31.1% 43.6% 33.7% 37.4% Put IV 25d 38.6% 33.6% 46.2% 36.4% 46.2% Bid-Ask Spread % 3.30 2.22 10.49 2.71 3.93 Gamma HHI 0.08 0.06 0.10 0.07 0.07 Net GEX 62.9M 11.4M 104.7M 46.9M 11.4M Net DEX -161.5M -1.07B 812.7M 492.5M 812.7M Net VEX -21.3M -22.3M -19.5M -19.5M -21.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.31 0.85 0.50 0.67 Total Volume 126,268.864 64,318 260,444 127,037 94,261 Total OI 1,450,549.818 1,358,237 1,567,682 1,379,570 1,558,580
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 2020-10-01 $96.56 $95.00 36.2% 10.2% 30.0% 21.4% 35.7% 2.7% 4.1% 46.9M 492.5M -19.5M 0.50 2.71 N/A N/A 84,963 42,074 751,798 627,772 2020-10-02 $97.88 $95.00 36.4% 10.3% 30.6% 21.6% 35.0% 2.0% 3.5% 82.0M 91.2M -20.3M 0.38 2.73 N/A N/A 128,027 48,494 776,482 650,154 2020-10-05 $99.19 $95.00 39.1% 11.1% 29.4% 24.2% 39.4% 3.0% -0.5% 63.2M -135.3M -21.0M 0.47 10.49 N/A N/A 76,493 35,937 724,117 634,120 2020-10-06 $98.03 $95.00 40.5% 11.0% 27.5% 25.5% 38.8% 3.3% -1.7% 52.7M 154.4M -20.8M 0.47 2.72 N/A N/A 109,026 51,653 735,071 644,147 2020-10-07 $99.88 $100.00 39.6% 10.9% 28.3% 24.6% 38.5% 0.9% -0.8% 80.1M -299.3M -21.4M 0.31 2.37 N/A N/A 76,792 23,920 751,382 663,617 2020-10-08 $101.70 $100.00 38.7% 10.8% 28.7% 23.8% 37.2% 3.0% -0.6% 104.1M -820.4M -21.7M 0.43 2.74 N/A N/A 84,645 36,444 765,480 668,532 2020-10-09 $100.98 $100.00 36.7% 10.3% 28.6% 21.9% 36.1% 1.4% -0.2% 76.6M -654.4M -21.3M 0.31 2.79 N/A N/A 104,587 32,920 770,173 678,446 2020-10-12 $102.83 $100.00 35.0% 9.7% 28.8% 20.3% 35.0% 2.4% -1.1% 89.9M -941.0M -21.2M 0.52 2.55 N/A N/A 119,434 61,616 748,951 642,457 2020-10-13 $100.85 $100.00 32.6% 9.2% 27.3% 18.0% 31.7% 1.7% -0.4% 85.9M -399.7M -20.5M 0.32 2.48 N/A N/A 197,100 63,344 777,587 652,056 2020-10-14 $100.56 $100.00 32.2% 9.2% 27.3% 17.6% 31.7% 2.0% -0.1% 75.5M -306.6M -20.8M 0.38 2.22 N/A N/A 82,472 31,673 808,907 671,291 2020-10-15 $101.74 $100.00 33.6% 9.7% 26.6% 18.9% 33.0% 3.7% 0.3% 104.5M -705.7M -21.0M 0.79 2.27 N/A N/A 111,511 88,312 822,148 678,214 2020-10-16 $101.65 $100.00 32.2% 9.3% 26.6% 17.6% 31.5% 3.1% 0.3% 81.9M -655.0M -21.6M 0.52 3.44 N/A N/A 83,825 43,342 856,048 711,634 2020-10-19 $99.89 $100.00 34.4% 9.8% 22.5% 19.7% 34.0% 4.2% -0.7% 39.6M 50.4M -21.3M 0.61 2.37 N/A N/A 44,719 27,445 735,952 649,241 2020-10-20 $100.76 $100.00 34.1% 9.8% 22.2% 19.4% 33.3% 4.5% -0.6% 50.2M -175.2M -21.6M 0.51 3.33 N/A N/A 51,230 26,105 750,760 660,055 2020-10-21 $99.47 $100.00 34.0% 9.8% 22.3% 19.4% 34.4% 4.4% -0.7% 38.0M 162.9M -21.5M 0.50 2.69 N/A N/A 42,815 21,503 767,427 669,647 2020-10-22 $102.97 $100.00 33.5% 9.6% 24.7% 18.9% 33.6% 4.9% -0.8% 91.6M -800.6M -22.1M 0.63 2.87 N/A N/A 73,928 46,418 780,104 677,888 2020-10-23 $103.77 $100.00 32.9% 9.5% 24.7% 18.2% 33.3% 4.7% -0.4% 104.7M -1.07B -22.3M 0.61 2.83 N/A N/A 91,486 55,458 793,221 689,206 2020-10-26 $100.90 $100.00 35.7% 10.6% 25.0% 20.9% 36.6% 5.8% -0.3% 46.8M -119.1M -21.9M 0.68 5.16 N/A N/A 55,523 37,650 772,940 679,350 2020-10-27 $99.56 $100.00 36.0% 10.8% 25.3% 21.3% 37.5% 4.7% -0.0% 33.1M 206.6M -21.9M 0.54 2.79 N/A N/A 47,560 25,785 792,528 689,653 2020-10-28 $97.09 $100.00 42.0% 12.7% 27.0% 26.9% 43.6% 6.9% -0.9% 13.1M 755.2M -21.6M 0.85 3.47 N/A N/A 69,106 58,743 799,705 696,651 2020-10-29 $97.31 $100.00 38.3% 11.5% 27.0% 23.4% 40.5% 6.4% -0.5% 11.6M 798.7M -21.7M 0.60 3.59 N/A N/A 55,950 33,626 820,973 717,631 2020-10-30 $97.40 $100.00 40.9% 12.4% 26.5% 25.9% 42.1% 8.8% -0.9% 11.4M 812.7M -21.9M 0.67 3.93 N/A N/A 56,298 37,963 829,156 729,424
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