JPM Options History — May 2021

In May 2021, JPM traded between $153.65 and $164.63. ATM implied volatility averaged 22.7%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.3% (HV 20d: 20.5%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-05-06: Highest Volume — 107,291 contracts
  • 2021-05-25: Largest IV spike — 15.9% change
  • 2021-05-12: Highest IV Rank — 18.1%
  • 2021-05-12: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.10$153.65$164.63$153.65$164.39
Max Pain$146.75$145.00$150.00$150.00$150.00
ATM IV22.7%19.1%27.6%21.8%21.1%
Expected Move6.4%5.5%7.7%6.1%5.5%
HV 20d20.5%19.3%22.3%19.6%19.3%
HV 60d20.9%20.1%21.6%20.4%20.1%
IV Rank5.7%0.0%18.1%1.7%5.3%
IV Percentile5.1%0.0%18.7%1.6%0.4%
Term Structure0.8%-0.8%3.6%0.8%1.9%
VWIV23.4%19.9%28.6%21.6%19.9%
Skew 25d2.7%1.0%4.7%1.6%1.9%
Skew 10d6.2%2.8%13.3%5.6%2.8%
Call IV 25d22.4%20.4%26.1%22.0%20.4%
Put IV 25d25.0%22.3%30.9%23.7%22.3%
Bid-Ask Spread %6.992.2214.5614.563.86
Gamma HHI0.160.110.360.110.22
Net GEX145.7M85.3M246.3M85.3M151.7M
Net DEX-3.54B-4.35B-2.26B-2.26B-3.74B
Net VEX-18.3M-20.0M-17.2M-18.0M-17.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.371.140.770.69
Total Volume72,070.634,189107,29148,23648,438
Total OI1,057,381.95992,0981,126,108993,4531,047,140

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$153.65$150.0021.8%6.1%19.6%1.7%21.6%1.6%0.8%85.3M-2.26B-18.0M0.7714.56N/AN/A27,29920,937466,050527,403
2021-05-04$154.89$150.0023.2%6.6%19.5%5.7%23.3%1.7%0.0%100.6M-2.54B-18.0M0.652.67N/AN/A45,00929,039474,771535,221
2021-05-05$157.58$150.0022.4%6.4%19.3%3.3%22.8%1.6%0.2%135.4M-3.10B-18.7M0.373.27N/AN/A71,89426,269487,795545,136
2021-05-06$160.49$145.0022.6%6.6%20.3%3.9%23.9%1.7%0.3%158.8M-3.82B-18.2M0.647.04N/AN/A65,27642,015497,042550,207
2021-05-07$161.24$145.0021.7%6.4%20.3%1.4%23.7%1.0%0.4%163.8M-3.91B-18.4M0.4914.26N/AN/A70,47934,885499,225565,457
2021-05-10$162.08$145.0022.7%6.6%20.3%4.2%23.7%2.1%0.4%155.3M-3.91B-18.4M0.638.43N/AN/A58,91337,039492,858549,179
2021-05-11$158.53$145.0024.8%7.0%21.5%10.1%26.0%3.5%-0.4%115.3M-3.02B-19.0M0.847.79N/AN/A41,70435,135499,204560,458
2021-05-12$157.76$145.0027.6%7.7%20.1%18.1%28.6%4.7%-0.8%104.6M-2.82B-20.0M1.1413.13N/AN/A31,75436,197504,341568,462
2021-05-13$162.33$145.0025.4%7.3%22.2%11.9%26.5%3.6%0.3%153.5M-3.95B-18.4M0.6312.04N/AN/A50,97931,943505,783579,891
2021-05-14$164.10$145.0022.5%6.5%22.3%3.6%24.2%1.6%0.4%181.2M-4.35B-19.2M0.517.05N/AN/A61,90531,467517,918588,222
2021-05-17$164.63$145.0023.6%6.8%22.1%6.8%24.4%2.7%0.6%166.6M-4.28B-17.8M0.615.85N/AN/A44,79127,430502,892573,741
2021-05-18$163.50$145.0022.7%6.5%20.4%4.2%23.5%2.6%1.1%196.8M-4.11B-19.1M0.7414.10N/AN/A28,85521,293519,769583,777
2021-05-19$160.43$145.0024.4%7.0%22.0%9.1%24.8%4.1%0.3%167.2M-3.33B-18.9M0.957.36N/AN/A50,75648,223525,579589,739
2021-05-20$161.28$145.0022.7%6.5%20.4%4.3%23.2%3.6%0.4%176.2M-3.54B-18.6M0.632.79N/AN/A24,87615,556523,056597,138
2021-05-21$162.88$145.0021.9%6.2%19.7%2.0%22.4%3.7%1.2%246.3M-4.02B-17.8M0.422.22N/AN/A49,39620,589524,587601,521
2021-05-24$164.05$145.0019.1%5.8%19.7%0.0%23.0%3.8%3.6%115.2M-3.71B-17.4M0.864.67N/AN/A31,96027,645447,679544,419
2021-05-25$162.24$150.0022.1%6.1%20.4%8.0%21.7%2.7%1.8%107.3M-3.39B-17.8M0.732.92N/AN/A31,32822,740457,640551,380
2021-05-26$162.11$150.0021.1%5.7%20.4%5.4%20.5%2.5%1.8%100.1M-3.29B-17.5M0.873.21N/AN/A18,28215,907456,261559,800
2021-05-27$163.86$150.0021.2%5.6%19.9%5.7%21.0%2.2%1.5%133.4M-3.66B-17.2M0.962.64N/AN/A32,18831,021461,701565,197
2021-05-28$164.39$150.0021.1%5.5%19.3%5.3%19.9%1.9%1.9%151.7M-3.74B-17.3M0.693.86N/AN/A28,68019,758467,854579,286