JPM Options History — December 2020 In December 2020, JPM traded between $118.24 and $126.74. ATM implied volatility averaged 30.1%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.9% (HV 20d: 32.0%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.56.
Notable Days 2020-12-21 : Highest Volume — 202,695 contracts2020-12-07 : Largest IV spike — 8.3% change2020-12-21 : Highest IV Rank — 17.1%2020-12-07 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $122.07 $118.24 $126.74 $119.72 $126.74 Max Pain $109.09 $100.00 $110.00 $100.00 $110.00 ATM IV 30.1% 27.8% 31.7% 28.5% 28.8% Expected Move 8.8% 8.0% 9.3% 8.4% 8.3% HV 20d 32.0% 22.4% 57.1% 57.1% 22.4% HV 60d 39.1% 38.2% 40.4% 40.4% 38.7% IV Rank 15.6% 13.4% 17.1% 14.1% 14.4% IV Percentile 26.6% 14.7% 32.9% 26.2% 19.8% Term Structure 0.5% -1.0% 2.3% 2.3% 0.4% VWIV 31.4% 28.3% 33.5% 30.0% 29.4% Skew 25d 2.5% 0.9% 4.3% 3.2% 1.9% Skew 10d 4.9% -2.2% 11.8% 6.4% 4.2% Call IV 25d 29.4% 26.5% 31.1% 27.5% 29.0% Put IV 25d 32.0% 29.5% 34.4% 30.7% 31.0% Bid-Ask Spread % 2.97 1.92 7.43 2.60 2.78 Gamma HHI 0.10 0.08 0.13 0.10 0.13 Net GEX 107.9M 74.8M 152.2M 89.0M 152.2M Net DEX -3.39B -4.18B -2.41B -3.39B -3.45B Net VEX -16.7M -18.0M -15.5M -17.7M -15.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.38 0.82 0.48 0.58 Total Volume 77,135.273 43,256 202,695 80,081 65,905 Total OI 1,416,742.182 1,189,766 1,538,599 1,456,447 1,304,247
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 2020-12-01 $119.72 $100.00 28.5% 8.4% 57.1% 14.1% 30.0% 3.2% 2.3% 89.0M -3.39B -17.7M 0.48 2.60 N/A N/A 53,971 26,110 736,545 719,902 2020-12-02 $122.22 $100.00 28.8% 8.5% 56.2% 14.3% 30.3% 2.9% 2.2% 114.2M -4.00B -18.0M 0.42 2.79 N/A N/A 66,181 28,088 752,612 726,416 2020-12-03 $120.64 $110.00 28.9% 8.9% 54.7% 14.5% 31.8% 2.5% 2.2% 111.7M -3.67B -18.0M 0.49 5.84 N/A N/A 36,825 17,909 774,131 733,941 2020-12-04 $122.22 $110.00 29.2% 8.9% 53.6% 14.8% 31.7% 1.3% 2.1% 151.1M -4.18B -17.6M 0.43 2.65 N/A N/A 67,478 28,865 778,723 738,533 2020-12-07 $121.49 $110.00 31.6% 9.3% 53.5% 17.0% 33.5% 2.7% 0.7% 98.3M -3.80B -17.4M 0.51 3.04 N/A N/A 36,651 18,615 756,743 719,466 2020-12-08 $122.06 $110.00 30.6% 9.2% 26.5% 16.1% 32.3% 2.5% 1.1% 106.0M -4.03B -17.1M 0.67 2.41 N/A N/A 28,006 18,825 765,164 726,214 2020-12-09 $121.17 $110.00 30.7% 9.1% 26.2% 16.2% 32.2% 1.7% 0.8% 104.2M -3.75B -17.1M 0.59 3.11 N/A N/A 33,651 19,763 769,255 727,898 2020-12-10 $120.41 $110.00 31.0% 9.1% 25.4% 16.4% 32.4% 2.2% 0.8% 98.0M -3.58B -17.1M 0.52 3.09 N/A N/A 32,622 16,833 774,448 732,082 2020-12-11 $119.53 $110.00 31.2% 9.1% 24.8% 16.7% 32.8% 2.2% 1.0% 91.9M -3.31B -17.3M 0.80 2.13 N/A N/A 36,079 28,802 779,169 735,571 2020-12-14 $118.24 $110.00 31.2% 9.0% 24.7% 16.7% 32.5% 3.6% -0.4% 88.6M -2.99B -16.5M 0.44 2.72 N/A N/A 42,128 18,675 762,496 721,780 2020-12-15 $120.26 $110.00 31.0% 8.9% 24.9% 16.5% 31.7% 3.8% -0.7% 103.0M -3.52B -16.5M 0.59 2.13 N/A N/A 42,534 25,115 769,255 729,803 2020-12-16 $120.67 $110.00 31.0% 8.9% 24.8% 16.5% 31.7% 3.6% -1.0% 111.6M -3.66B -16.6M 0.82 7.43 N/A N/A 23,825 19,431 778,556 736,227 2020-12-17 $119.83 $110.00 30.3% 8.7% 25.0% 15.8% 30.9% 3.0% -0.6% 105.3M -3.45B -16.2M 0.51 4.62 N/A N/A 40,737 20,742 783,149 741,340 2020-12-18 $118.73 $110.00 30.0% 8.7% 25.2% 15.5% 30.7% 3.5% -0.5% 74.8M -3.12B -16.2M 0.68 2.75 N/A N/A 58,684 39,891 789,117 749,482 2020-12-21 $123.61 $110.00 31.7% 9.2% 28.6% 17.1% 32.3% 2.9% -0.4% 91.5M -2.69B -16.5M 0.38 2.65 N/A N/A 146,485 56,210 604,458 585,308 2020-12-22 $122.08 $110.00 30.0% 8.8% 27.6% 15.5% 30.9% 2.8% 0.0% 95.0M -2.41B -16.4M 0.61 1.95 N/A N/A 60,142 36,901 641,029 606,386 2020-12-23 $125.37 $110.00 30.6% 9.0% 25.5% 16.1% 31.6% 0.9% -0.1% 134.4M -3.32B -16.3M 0.50 2.02 N/A N/A 97,236 49,074 655,127 621,093 2020-12-24 $124.24 $110.00 29.7% 8.7% 25.6% 15.2% 30.9% 4.3% 0.0% 102.9M -2.93B -16.6M 0.47 2.40 N/A N/A 40,059 18,822 671,543 639,391 2020-12-28 $125.48 $110.00 29.7% 8.8% 25.6% 15.3% 31.0% 1.1% 0.3% 116.8M -3.18B -15.8M 0.59 1.92 N/A N/A 51,024 30,040 647,754 615,095 2020-12-29 $125.27 $110.00 29.7% 8.7% 23.6% 15.2% 31.0% 1.6% 0.1% 113.1M -3.08B -15.9M 0.61 2.09 N/A N/A 42,354 25,857 656,977 623,197 2020-12-30 $125.58 $110.00 27.8% 8.0% 23.3% 13.4% 28.3% 1.7% 0.4% 120.0M -3.11B -15.6M 0.59 2.22 N/A N/A 31,277 18,554 657,353 631,352 2020-12-31 $126.74 $110.00 28.8% 8.3% 22.4% 14.4% 29.4% 1.9% 0.4% 152.2M -3.45B -15.5M 0.58 2.78 N/A N/A 41,726 24,179 664,193 640,054
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