JPM Options History — March 2021 In March 2021, JPM traded between $149.15 and $157.51. ATM implied volatility averaged 28.7%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.8% (HV 20d: 21.9%). Max pain ranged from $135.00 to $150.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.64.
Notable Days 2021-03-18 : Highest Volume — 198,213 contracts2021-03-05 : Largest IV drop — 7.6% change2021-03-04 : Highest IV Rank — 6.3%2021-03-04 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $152.97 $149.15 $157.51 $151.24 $152.41 Max Pain $146.52 $135.00 $150.00 $135.00 $150.00 ATM IV 28.7% 27.1% 31.9% 28.8% 28.0% Expected Move 8.3% 7.8% 9.2% 7.9% 8.4% HV 20d 21.9% 18.8% 24.9% 19.3% 22.7% HV 60d 24.2% 23.9% 24.5% 24.1% 24.4% IV Rank 3.5% 1.6% 6.3% 3.0% 4.2% IV Percentile 13.6% 3.6% 34.1% 14.3% 9.9% Term Structure 0.1% -1.0% 1.4% -0.1% -0.2% VWIV 29.7% 27.8% 32.6% 27.8% 29.6% Skew 25d 1.4% -1.0% 5.2% 1.8% 0.7% Skew 10d 3.6% -1.2% 7.5% 7.5% 2.9% Call IV 25d 28.9% 27.8% 32.3% 29.0% 28.9% Put IV 25d 30.4% 28.2% 34.2% 30.7% 29.6% Bid-Ask Spread % 10.36 2.85 32.40 5.49 14.11 Gamma HHI 0.13 0.07 0.23 0.15 0.11 Net GEX 103.3M 32.2M 181.7M 110.3M 54.3M Net DEX -3.78B -5.18B -1.92B -4.14B -2.46B Net VEX -17.4M -18.7M -15.9M -18.4M -17.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.33 0.96 0.62 0.60 Total Volume 77,970.087 35,403 198,213 70,412 56,630 Total OI 1,035,157.478 877,308 1,160,465 1,042,531 944,592
Daily Data (23 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 2021-03-01 $151.24 $135.00 28.8% 7.9% 19.3% 3.0% 27.8% 1.8% -0.1% 110.3M -4.14B -18.4M 0.62 5.49 N/A N/A 43,394 27,018 530,517 512,014 2021-03-02 $150.43 $135.00 28.2% 7.9% 19.8% 2.3% 28.0% 1.9% 0.4% 111.0M -4.01B -18.0M 0.83 4.45 N/A N/A 19,392 16,011 543,761 520,076 2021-03-03 $153.47 $135.00 30.3% 8.6% 18.8% 4.6% 30.8% -1.0% 0.2% 123.4M -4.62B -18.4M 0.76 5.60 N/A N/A 44,201 33,462 546,578 524,923 2021-03-04 $150.70 $150.00 31.9% 9.2% 20.7% 6.3% 32.6% 1.9% -0.3% 97.3M -4.00B -18.7M 0.87 32.40 N/A N/A 41,831 36,350 558,315 534,765 2021-03-05 $150.82 $150.00 29.4% 8.7% 20.1% 3.7% 30.3% 2.5% 0.1% 101.4M -4.02B -18.5M 0.76 26.10 N/A N/A 28,177 21,406 554,096 538,351 2021-03-08 $153.51 $150.00 30.5% 8.9% 20.6% 4.8% 31.8% 2.1% 0.4% 125.4M -4.52B -17.3M 0.54 25.42 N/A N/A 37,240 20,064 541,985 521,217 2021-03-09 $152.24 $150.00 28.8% 8.6% 20.9% 3.0% 30.6% 5.2% 1.4% 122.2M -4.27B -17.0M 0.40 15.67 N/A N/A 40,182 15,948 546,979 527,345 2021-03-10 $155.08 $145.00 29.4% 8.6% 21.2% 3.7% 30.7% 1.8% 0.9% 143.3M -4.76B -18.1M 0.33 13.42 N/A N/A 65,027 21,142 551,359 532,091 2021-03-11 $154.23 $145.00 28.5% 8.3% 21.5% 2.7% 29.5% 1.8% 0.5% 163.7M -4.74B -16.8M 0.96 7.75 N/A N/A 37,740 36,388 571,482 535,129 2021-03-12 $155.97 $145.00 29.1% 8.5% 21.5% 3.4% 30.1% 1.7% 0.4% 151.5M -5.14B -16.8M 0.42 14.27 N/A N/A 58,281 24,769 572,600 540,969 2021-03-15 $154.85 $145.00 28.8% 8.3% 21.7% 3.0% 30.0% 1.3% -0.5% 152.5M -4.70B -17.1M 0.37 3.15 N/A N/A 49,652 18,303 562,432 531,735 2021-03-16 $153.79 $145.00 27.5% 7.9% 20.6% 1.6% 28.2% 1.2% -0.1% 139.6M -4.50B -16.1M 0.92 3.52 N/A N/A 26,871 24,808 563,633 539,494 2021-03-17 $154.82 $145.00 27.6% 7.9% 20.6% 1.7% 28.3% 1.3% -0.3% 145.4M -4.74B -15.9M 0.54 12.43 N/A N/A 42,695 23,257 565,763 546,762 2021-03-18 $157.51 $145.00 28.7% 8.2% 21.1% 2.9% 29.4% 1.4% 0.2% 181.7M -5.18B -17.2M 0.57 3.59 N/A N/A 126,633 71,580 569,632 553,340 2021-03-19 $151.89 $150.00 28.3% 8.1% 24.7% 3.1% 29.6% 1.3% -0.1% 33.9M -3.89B -17.4M 0.89 15.49 N/A N/A 87,034 77,864 584,170 576,295 2021-03-22 $150.97 $150.00 27.1% 7.8% 24.8% 1.7% 28.5% 0.3% 0.2% 41.4M -2.28B -17.4M 0.66 2.85 N/A N/A 55,695 36,573 434,385 442,923 2021-03-23 $149.15 $150.00 27.6% 8.0% 24.9% 2.5% 28.6% 1.2% -0.1% 32.2M -1.92B -17.4M 0.67 5.18 N/A N/A 46,632 31,105 452,740 458,261 2021-03-24 $151.09 $150.00 28.3% 8.2% 24.6% 4.4% 29.5% 1.1% 0.1% 52.2M -2.27B -17.7M 0.57 3.14 N/A N/A 47,209 26,840 462,159 466,964 2021-03-25 $152.66 $150.00 28.4% 8.3% 24.5% 4.7% 29.8% 1.4% -0.3% 64.4M -2.54B -17.4M 0.82 3.86 N/A N/A 36,515 29,870 465,114 474,391 2021-03-26 $154.23 $150.00 27.5% 8.1% 23.6% 3.1% 29.3% 1.3% -0.3% 88.2M -2.86B -17.5M 0.63 11.58 N/A N/A 50,430 31,660 473,964 482,532 2021-03-29 $152.89 $150.00 28.5% 8.3% 23.1% 5.1% 30.1% 0.5% -1.0% 57.8M -2.57B -16.9M 0.58 4.95 N/A N/A 41,454 24,052 452,667 465,193 2021-03-30 $154.46 $150.00 28.2% 8.2% 23.3% 4.5% 29.4% 0.5% 0.0% 82.2M -2.87B -17.3M 0.43 3.77 N/A N/A 43,456 18,471 463,188 471,741 2021-03-31 $152.41 $150.00 28.0% 8.4% 22.7% 4.2% 29.6% 0.7% -0.2% 54.3M -2.46B -17.5M 0.60 14.11 N/A N/A 35,418 21,212 469,078 475,514
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