JPM Options History — November 2020 In November 2020, JPM traded between $99.97 and $122.85. ATM implied volatility averaged 30.4%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 20.7% (HV 20d: 51.1%). Max pain ranged from $100.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.58.
Notable Days 2020-11-09 : Highest Volume — 341,619 contracts2020-11-04 : Largest IV drop — 14.9% change2020-11-02 : Highest IV Rank — 24.3%2020-11-02 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $113.48 $99.97 $122.85 $99.97 $118.17 Max Pain $100.00 $100.00 $100.00 $100.00 $100.00 ATM IV 30.4% 27.9% 39.3% 39.3% 28.7% Expected Move 8.9% 8.1% 12.2% 12.2% 8.5% HV 20d 51.1% 27.7% 58.7% 27.7% 57.4% HV 60d 37.3% 27.7% 40.7% 27.7% 40.7% IV Rank 15.9% 13.6% 24.3% 24.3% 14.3% IV Percentile 31.4% 23.4% 59.9% 59.9% 26.6% Term Structure -0.0% -0.8% 2.0% -0.8% 2.0% VWIV 32.3% 29.0% 42.1% 42.1% 31.6% Skew 25d 3.3% 1.3% 7.1% 7.1% 1.9% Skew 10d 7.5% 4.2% 12.7% 12.7% 6.5% Call IV 25d 29.7% 27.2% 36.2% 36.2% 28.3% Put IV 25d 33.0% 29.7% 43.3% 43.3% 30.2% Bid-Ask Spread % 3.61 2.06 8.01 3.40 7.08 Gamma HHI 0.12 0.07 0.23 0.07 0.11 Net GEX 100.9M 40.8M 151.9M 40.8M 68.6M Net DEX -2.97B -4.76B 102.9M 100.6M -2.93B Net VEX -20.0M -22.6M -18.1M -22.3M -18.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.42 0.84 0.45 0.49 Total Volume 113,014.9 47,425 341,619 85,732 75,980 Total OI 1,553,413.8 1,409,735 1,634,290 1,515,363 1,427,100
Daily Data (20 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 2020-11-02 $99.97 $100.00 39.3% 12.2% 27.7% 24.3% 42.1% 7.1% -0.8% 40.8M 100.6M -22.3M 0.45 3.40 N/A N/A 59,245 26,487 799,773 715,590 2020-11-03 $103.92 $100.00 38.4% 11.8% 30.5% 23.5% 42.0% 6.4% -0.4% 69.9M -944.9M -22.6M 0.61 2.57 N/A N/A 96,568 58,492 799,773 715,590 2020-11-04 $100.51 $100.00 32.7% 9.9% 32.4% 18.1% 35.2% 4.0% 0.0% 48.7M 102.9M -21.3M 0.53 3.31 N/A N/A 65,142 34,290 831,662 742,359 2020-11-05 $104.40 $100.00 31.4% 9.1% 34.6% 16.8% 32.9% 3.8% 0.6% 112.6M -1.14B -22.0M 0.42 3.03 N/A N/A 85,933 36,204 843,304 751,785 2020-11-06 $103.36 $100.00 30.8% 8.9% 34.7% 16.3% 33.6% 2.9% 0.5% 99.7M -771.6M -21.7M 0.56 3.53 N/A N/A 56,999 31,780 853,834 760,573 2020-11-09 $117.99 $100.00 30.8% 8.7% 58.0% 16.3% 32.7% 2.5% -0.2% 105.1M -4.76B -20.0M 0.52 8.01 N/A N/A 224,941 116,678 819,601 731,857 2020-11-10 $116.56 $100.00 30.8% 9.0% 57.6% 16.2% 32.2% 2.7% 0.8% 126.4M -4.33B -20.3M 0.42 3.04 N/A N/A 106,242 44,404 841,180 748,266 2020-11-11 $114.49 $100.00 28.7% 8.3% 58.2% 14.3% 30.4% 2.4% 0.4% 130.1M -3.64B -20.4M 0.68 2.18 N/A N/A 65,940 44,782 854,900 752,834 2020-11-12 $112.85 $100.00 31.3% 8.9% 58.6% 16.8% 33.7% 3.9% -0.2% 104.8M -3.07B -20.8M 0.77 2.56 N/A N/A 67,660 52,066 857,443 763,775 2020-11-13 $114.77 $100.00 30.1% 8.6% 58.7% 15.6% 31.0% 3.5% 0.3% 151.9M -3.71B -20.1M 0.49 2.39 N/A N/A 51,962 25,312 857,446 770,409 2020-11-16 $116.42 $100.00 28.5% 8.2% 58.1% 14.1% 29.0% 3.0% -0.2% 123.4M -4.09B -19.0M 0.46 3.35 N/A N/A 75,339 34,943 821,112 738,583 2020-11-17 $115.74 $100.00 28.9% 8.3% 58.3% 14.5% 29.6% 3.3% -0.7% 131.9M -3.85B -19.6M 0.78 5.66 N/A N/A 41,289 32,099 845,491 757,172 2020-11-18 $115.90 $100.00 28.4% 8.1% 57.9% 14.0% 29.1% 2.9% -0.6% 137.6M -3.96B -19.4M 0.68 3.30 N/A N/A 58,207 39,406 853,802 769,460 2020-11-19 $115.51 $100.00 28.4% 8.2% 57.1% 14.0% 29.7% 2.9% -0.6% 125.5M -3.69B -19.6M 0.43 2.36 N/A N/A 51,587 22,151 854,405 779,885 2020-11-20 $114.81 $100.00 28.5% 8.2% 57.2% 14.1% 29.8% 3.6% -0.4% 70.0M -3.36B -19.2M 0.67 2.40 N/A N/A 49,507 33,301 851,336 782,934 2020-11-23 $118.07 $100.00 28.0% 8.1% 56.4% 13.6% 31.5% 3.5% -0.4% 87.8M -3.14B -18.7M 0.46 2.06 N/A N/A 73,005 33,584 719,552 690,183 2020-11-24 $122.85 $100.00 28.4% 8.3% 56.9% 14.0% 29.7% 2.7% -0.3% 96.9M -4.30B -18.1M 0.45 5.03 N/A N/A 119,118 53,040 728,559 699,979 2020-11-25 $122.08 $100.00 28.1% 8.2% 55.7% 13.7% 30.0% 1.3% -0.2% 97.6M -4.04B -18.5M 0.83 2.25 N/A N/A 37,802 31,388 739,115 722,172 2020-11-27 $121.25 $100.00 27.9% 8.2% 56.0% 13.6% 29.6% 1.7% -0.1% 89.1M -3.82B -18.3M 0.84 4.65 N/A N/A 25,737 21,688 744,442 731,040 2020-11-30 $118.17 $100.00 28.7% 8.5% 57.4% 14.3% 31.6% 1.9% 2.0% 68.6M -2.93B -18.2M 0.49 7.08 N/A N/A 51,026 24,954 716,351 710,749
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