JPM Options History — April 2021 In April 2021, JPM traded between $147.61 and $156.11. ATM implied volatility averaged 23.6%, placing in the 1.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.4% (HV 20d: 20.1%). Max pain ranged from $150.00 to $150.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.54.
Notable Days 2021-04-01 : Highest Volume — 289,701 contracts2021-04-14 : Largest IV drop — 12.0% change2021-04-20 : Highest IV Rank — 7.0%2021-04-01 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $152.69 $147.61 $156.11 $153.17 $153.62 Max Pain $150.00 $150.00 $150.00 $150.00 $150.00 ATM IV 23.6% 21.2% 27.0% 26.9% 21.8% Expected Move 6.7% 5.9% 8.0% 8.0% 6.1% HV 20d 20.1% 16.7% 22.0% 21.8% 19.7% HV 60d 22.1% 20.6% 24.4% 24.4% 20.7% IV Rank 1.6% 0.0% 7.0% 1.9% 1.8% IV Percentile 1.0% 0.0% 3.6% 3.2% 1.6% Term Structure -0.1% -0.9% 0.9% -0.1% 0.3% VWIV 24.0% 21.4% 27.8% 27.8% 21.9% Skew 25d 1.0% -0.2% 2.2% 0.7% 1.5% Skew 10d 2.2% -8.2% 6.2% 2.3% 3.8% Call IV 25d 23.8% 21.2% 27.7% 27.7% 21.8% Put IV 25d 24.8% 22.1% 28.4% 28.4% 23.2% Bid-Ask Spread % 7.35 3.11 27.96 4.97 3.11 Gamma HHI 0.11 0.06 0.15 0.10 0.11 Net GEX 87.5M -214.8K 145.2M 69.0M 90.7M Net DEX -2.28B -3.07B -1.16B -2.69B -2.37B Net VEX -17.4M -18.3M -16.3M -16.3M -18.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.12 0.86 0.12 0.67 Total Volume 87,761.333 42,791 289,701 289,701 42,791 Total OI 991,370.095 919,613 1,066,226 960,157 1,029,794
Daily Data (21 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 2021-04-01 $153.17 $150.00 26.9% 8.0% 21.8% 1.9% 27.8% 0.7% -0.1% 69.0M -2.69B -16.3M 0.12 4.97 N/A N/A 258,975 30,726 478,648 481,509 2021-04-05 $153.75 $150.00 27.0% 7.5% 21.8% 2.4% 27.4% 1.3% -0.9% 89.5M -2.41B -16.8M 0.69 27.96 N/A N/A 26,760 18,541 446,195 473,418 2021-04-06 $152.24 $150.00 26.2% 7.4% 21.2% 0.5% 26.4% 1.0% -0.4% 74.1M -2.20B -16.9M 0.66 12.91 N/A N/A 33,724 22,230 461,803 484,530 2021-04-07 $155.10 $150.00 25.9% 7.3% 22.0% 0.0% 26.0% 0.4% -0.3% 118.7M -2.71B -17.9M 0.35 14.87 N/A N/A 77,903 27,351 472,067 495,171 2021-04-08 $155.17 $150.00 25.7% 7.2% 21.0% 0.0% 25.6% 0.2% -0.3% 143.4M -2.90B -17.4M 0.51 13.29 N/A N/A 56,695 28,883 491,340 496,067 2021-04-09 $156.11 $150.00 24.9% 7.1% 21.0% 0.0% 25.0% -0.1% -0.1% 145.2M -3.07B -18.2M 0.33 5.50 N/A N/A 64,690 21,137 501,257 503,950 2021-04-12 $156.07 $150.00 25.0% 7.1% 20.6% 0.2% 25.0% 0.6% -0.1% 130.4M -2.91B -18.0M 0.40 7.71 N/A N/A 42,063 16,718 483,823 486,954 2021-04-13 $154.26 $150.00 25.0% 7.1% 20.9% 0.2% 25.8% 2.2% -0.4% 117.8M -2.66B -17.0M 0.54 4.12 N/A N/A 82,423 44,828 494,449 493,617 2021-04-14 $151.18 $150.00 22.0% 6.5% 21.9% 0.0% 23.4% -0.2% 0.9% 69.6M -1.93B -17.0M 0.33 3.89 N/A N/A 127,782 42,611 511,339 507,157 2021-04-15 $152.06 $150.00 22.4% 6.5% 21.9% 1.0% 23.2% 0.1% 0.2% 108.2M -2.17B -17.0M 0.50 7.39 N/A N/A 77,373 38,611 532,555 517,760 2021-04-16 $153.31 $150.00 21.2% 6.0% 21.1% 0.0% 21.9% 0.2% -0.3% 100.9M -2.55B -17.2M 0.45 3.53 N/A N/A 71,117 32,013 539,698 526,528 2021-04-19 $152.67 $150.00 22.3% 6.4% 16.7% 2.6% 23.0% 1.0% 0.5% 83.4M -2.15B -17.2M 0.67 3.95 N/A N/A 36,312 24,198 452,991 483,801 2021-04-20 $149.35 $150.00 24.0% 6.9% 18.4% 7.0% 24.3% 1.8% -0.4% 41.0M -1.56B -17.6M 0.76 3.38 N/A N/A 42,025 31,874 469,571 498,962 2021-04-21 $150.39 $150.00 22.4% 6.4% 18.0% 3.1% 23.6% 0.9% -0.2% 53.4M -1.75B -17.4M 0.86 6.95 N/A N/A 29,920 25,591 479,366 509,016 2021-04-22 $147.61 $150.00 23.3% 6.7% 18.6% 5.7% 24.0% 2.1% 0.3% -214.8K -1.16B -17.5M 0.58 3.51 N/A N/A 44,883 25,879 483,837 516,185 2021-04-23 $150.54 $150.00 21.6% 6.2% 19.6% 1.2% 22.6% 1.4% 0.2% 70.4M -1.85B -17.9M 0.60 7.95 N/A N/A 46,977 28,146 493,167 523,633 2021-04-26 $151.06 $150.00 22.5% 6.4% 19.3% 3.6% 22.5% 1.3% -0.1% 57.9M -1.89B -17.8M 0.86 3.71 N/A N/A 29,713 25,689 461,704 511,709 2021-04-27 $151.24 $150.00 22.0% 6.3% 19.1% 2.2% 22.1% 1.8% 0.1% 55.6M -1.86B -17.8M 0.37 7.17 N/A N/A 36,563 13,582 468,783 525,148 2021-04-28 $152.39 $150.00 21.6% 6.1% 18.9% 1.0% 21.4% 1.1% -0.1% 85.7M -2.19B -17.7M 0.48 5.31 N/A N/A 30,000 14,361 481,894 530,036 2021-04-29 $155.18 $150.00 21.3% 5.9% 19.4% 0.3% 21.4% 1.3% 0.0% 133.2M -2.80B -17.5M 0.67 3.29 N/A N/A 42,771 28,559 484,811 534,529 2021-04-30 $153.62 $150.00 21.8% 6.1% 19.7% 1.8% 21.9% 1.5% 0.3% 90.7M -2.37B -18.3M 0.67 3.11 N/A N/A 25,561 17,230 484,966 544,828
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