JPM Options History — February 2021

In February 2021, JPM traded between $129.78 and $153.22. ATM implied volatility averaged 28.1%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.5% (HV 20d: 24.6%). Max pain ranged from $125.00 to $135.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.76.

Notable Days

  • 2021-02-16: Highest Volume — 107,004 contracts
  • 2021-02-25: Largest IV spike — 9.8% change
  • 2021-02-01: Highest IV Rank — 14.4%
  • 2021-02-25: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$142.64$129.78$153.22$129.78$148.56
Max Pain$128.95$125.00$135.00$130.00$135.00
ATM IV28.1%26.2%31.9%31.9%30.6%
Expected Move8.0%7.4%9.0%8.9%8.6%
HV 20d24.6%18.5%30.3%28.6%20.1%
HV 60d27.9%24.0%38.3%38.3%24.0%
IV Rank8.7%2.6%14.4%14.4%4.9%
IV Percentile10.3%2.0%32.5%32.5%23.0%
Term Structure0.5%-1.6%1.4%0.5%-1.6%
VWIV28.8%26.3%32.0%31.3%30.4%
Skew 25d3.0%1.8%7.5%7.5%2.6%
Skew 10d6.5%-0.4%14.9%14.9%-0.4%
Call IV 25d27.3%25.1%31.0%28.7%29.9%
Put IV 25d30.4%27.9%36.2%36.2%32.5%
Bid-Ask Spread %6.312.9018.5918.599.61
Gamma HHI0.120.060.160.060.12
Net GEX104.4M28.4M143.6M28.4M67.1M
Net DEX-3.22B-4.66B-977.5M-977.5M-3.60B
Net VEX-18.1M-18.9M-17.1M-18.6M-18.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.401.040.720.99
Total Volume71,561.68442,469107,00447,99183,925
Total OI1,046,819.316992,4651,111,4141,000,8661,076,521

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$129.78$130.0031.9%8.9%28.6%14.4%31.3%7.5%0.5%28.4M-977.5M-18.6M0.7218.59N/AN/A27,96220,029504,308496,558
2021-02-02$133.61$130.0029.7%8.2%30.2%12.3%29.3%3.8%0.1%63.7M-1.75B-18.4M0.725.63N/AN/A46,58133,555512,364500,302
2021-02-03$135.13$130.0028.4%7.8%30.3%11.0%27.5%3.5%0.6%77.5M-2.08B-18.6M0.924.84N/AN/A35,09532,402520,774509,309
2021-02-04$137.78$125.0028.0%8.2%27.5%10.7%29.7%2.9%0.7%102.1M-2.58B-18.5M0.772.90N/AN/A54,91542,143525,142517,140
2021-02-05$138.08$125.0026.2%7.8%24.9%8.9%28.5%3.2%0.9%126.7M-2.65B-18.4M0.737.26N/AN/A31,12822,837537,852526,893
2021-02-08$139.93$125.0027.2%8.1%25.3%9.8%29.1%3.1%0.8%103.3M-2.89B-18.1M1.046.15N/AN/A28,35829,471518,027500,418
2021-02-09$139.34$125.0027.5%8.1%25.0%10.2%28.5%2.8%0.8%102.0M-2.71B-18.4M0.585.08N/AN/A26,85915,610524,311504,259
2021-02-10$139.44$125.0027.3%8.0%24.2%9.9%28.1%2.9%0.6%114.6M-2.81B-18.0M0.964.21N/AN/A23,46622,563544,048509,677
2021-02-11$139.31$125.0027.0%7.8%24.2%9.6%27.7%3.1%0.4%110.6M-2.71B-18.4M0.749.01N/AN/A28,38020,972542,961517,186
2021-02-12$141.28$125.0026.9%7.8%24.3%9.5%28.3%2.0%0.4%135.7M-3.21B-18.0M0.777.65N/AN/A30,53023,635547,396524,414
2021-02-16$144.95$130.0028.0%8.0%24.8%10.6%29.4%2.0%0.7%132.6M-3.82B-17.4M0.713.74N/AN/A62,51444,490535,943510,137
2021-02-17$144.83$130.0027.8%8.0%24.8%10.4%28.5%2.5%1.3%134.6M-3.81B-17.6M0.563.99N/AN/A35,74420,123548,176524,416
2021-02-18$145.49$130.0026.9%7.7%23.6%9.5%27.6%2.6%0.8%143.6M-3.92B-17.6M0.405.48N/AN/A48,20019,081552,475529,289
2021-02-19$148.32$130.0026.2%7.4%23.9%6.7%26.3%2.8%1.4%113.5M-4.66B-17.1M0.783.70N/AN/A58,38945,601571,382540,032
2021-02-22$149.14$130.0027.4%7.6%23.5%6.9%27.3%2.8%0.3%104.2M-3.88B-17.8M0.523.00N/AN/A47,18024,613505,409487,056
2021-02-23$150.68$130.0027.5%7.7%22.2%2.8%28.1%3.1%-0.1%112.1M-4.18B-18.1M0.894.92N/AN/A43,61738,992520,821498,670
2021-02-24$153.22$135.0028.4%8.1%22.3%2.6%29.0%1.8%0.4%116.6M-4.64B-18.0M0.753.16N/AN/A53,97840,333530,153510,664
2021-02-25$151.33$135.0031.2%9.0%18.5%5.6%32.0%2.3%0.0%94.2M-4.21B-18.6M0.8110.90N/AN/A53,25243,149541,574523,510
2021-02-26$148.56$135.0030.6%8.6%20.1%4.9%30.4%2.6%-1.6%67.1M-3.60B-18.9M0.999.61N/AN/A42,15741,768545,313531,208