JPM Options History — January 2021

In January 2021, JPM traded between $125.90 and $141.73. ATM implied volatility averaged 29.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.2% (HV 20d: 26.2%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.61.

Notable Days

  • 2021-01-04: Highest Volume — 518,246 contracts
  • 2021-01-27: Largest IV spike — 23.1% change
  • 2021-01-27: Highest IV Rank — 17.4%
  • 2021-01-27: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.20$125.90$141.73$126.26$129.10
Max Pain$129.21$125.00$130.00$125.00$130.00
ATM IV29.4%26.0%34.9%30.9%33.3%
Expected Move8.3%7.4%10.0%8.8%9.7%
HV 20d26.2%21.5%28.8%21.8%28.8%
HV 60d39.0%38.2%39.6%38.6%39.0%
IV Rank14.0%10.3%17.4%16.3%15.9%
IV Percentile20.9%9.5%46.8%27.8%41.3%
Term Structure-0.2%-3.3%0.7%-0.4%0.0%
VWIV29.7%26.1%36.5%31.3%35.7%
Skew 25d2.3%-0.4%6.4%1.9%6.4%
Skew 10d5.8%-0.3%14.7%4.4%14.7%
Call IV 25d29.1%25.4%33.3%31.1%31.6%
Put IV 25d31.4%27.9%38.3%33.0%38.0%
Bid-Ask Spread %15.682.6439.2139.218.96
Gamma HHI0.100.050.140.120.06
Net GEX75.0M4.8M141.3M104.2M12.6M
Net DEX-2.62B-4.58B-726.5M-3.10B-891.6M
Net VEX-17.0M-19.0M-15.5M-15.5M-19.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.081.530.081.53
Total Volume137,570.15844,071518,246518,24697,808
Total OI1,124,457.632920,4971,353,4491,263,1931,030,791

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$126.26$125.0030.9%8.8%21.8%16.3%31.3%1.9%-0.4%104.2M-3.10B-15.5M0.0839.21N/AN/A478,49539,751643,094620,099
2021-01-05$125.90$125.0030.5%8.6%21.5%16.0%30.6%3.4%0.1%98.4M-1.56B-16.5M0.6931.94N/AN/A42,30829,127535,056634,230
2021-01-06$131.22$125.0029.4%8.3%25.5%14.9%29.2%1.7%-0.1%130.5M-2.76B-15.9M0.4531.97N/AN/A138,57262,067539,092641,443
2021-01-07$135.72$130.0028.9%8.1%27.7%14.5%28.6%0.7%-0.2%132.5M-3.82B-15.8M0.3434.94N/AN/A154,72452,228561,582663,642
2021-01-08$136.10$130.0030.4%8.1%27.3%15.9%29.3%-0.3%-3.3%141.3M-3.81B-16.2M0.7335.16N/AN/A56,66241,499584,243681,047
2021-01-11$137.90$130.0030.3%8.4%27.0%15.8%30.0%1.3%-0.6%110.7M-3.73B-16.4M0.6327.96N/AN/A69,56343,662556,511661,498
2021-01-12$140.33$130.0030.1%8.4%26.7%15.6%30.2%1.1%-0.5%105.2M-4.26B-16.1M0.395.06N/AN/A104,26640,651567,143678,361
2021-01-13$140.05$130.0029.6%8.3%26.1%15.1%30.1%0.9%-0.6%99.6M-4.21B-16.3M0.3919.62N/AN/A56,30821,723577,510689,601
2021-01-14$141.73$130.0030.0%8.4%25.9%15.5%29.5%-0.4%-0.9%102.7M-4.58B-16.4M0.3710.77N/AN/A155,60657,765583,489690,016
2021-01-15$138.94$130.0027.9%7.9%27.7%13.5%28.0%1.5%-0.3%63.1M-3.87B-17.1M0.467.70N/AN/A164,10275,910634,198719,251
2021-01-19$138.58$130.0026.0%7.4%27.5%11.8%26.9%2.3%0.5%86.1M-2.64B-16.9M0.737.22N/AN/A58,68142,923484,875435,622
2021-01-20$136.14$130.0026.0%7.5%28.3%10.3%26.1%2.6%0.4%60.5M-2.10B-17.5M0.522.87N/AN/A60,25031,484505,548462,054
2021-01-21$135.23$130.0026.2%7.5%25.8%10.5%26.6%2.4%0.7%52.9M-1.97B-17.4M0.885.25N/AN/A38,00633,283523,046474,740
2021-01-22$134.17$130.0026.4%7.5%25.4%10.3%27.2%2.6%0.7%4.8M-1.71B-17.9M0.734.63N/AN/A44,89132,794531,357488,705
2021-01-25$132.12$130.0028.5%8.2%25.0%11.2%29.4%2.8%0.1%36.0M-1.42B-18.1M0.502.64N/AN/A55,86627,794499,265466,483
2021-01-26$131.91$130.0028.4%8.0%24.6%11.0%28.1%2.5%0.6%38.0M-1.45B-17.5M0.596.41N/AN/A27,73816,333511,015474,661
2021-01-27$127.80$130.0034.9%10.0%27.4%17.4%36.5%5.0%-0.0%13.5M-726.5M-18.4M0.908.32N/AN/A48,26843,296517,503481,371
2021-01-28$130.63$130.0031.3%8.9%28.3%13.9%31.5%4.7%0.7%32.3M-1.21B-18.8M0.767.30N/AN/A39,56129,868525,968490,585
2021-01-29$129.10$130.0033.3%9.7%28.8%15.9%35.7%6.4%0.0%12.6M-891.6M-19.0M1.538.96N/AN/A38,72559,083530,793499,998