JPM Options History — June 2021 In June 2021, JPM traded between $148.11 and $166.58. ATM implied volatility averaged 22.7%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.9% (HV 20d: 17.8%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2021-06-17 : Highest Volume — 229,408 contracts2021-06-14 : Largest IV spike — 9.4% change2021-06-18 : Highest IV Rank — 24.4%2021-06-18 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $157.77 $148.11 $166.58 $165.76 $155.29 Max Pain $157.05 $150.00 $160.00 $150.00 $155.00 ATM IV 22.7% 20.4% 26.1% 23.1% 22.6% Expected Move 6.6% 5.9% 7.5% 6.0% 6.6% HV 20d 17.8% 14.0% 19.6% 19.3% 19.3% HV 60d 19.5% 18.3% 20.1% 20.1% 19.5% IV Rank 11.5% 3.4% 24.4% 10.7% 12.3% IV Percentile 10.2% 0.4% 20.6% 9.9% 12.3% Term Structure 0.0% -1.5% 1.8% -0.8% 0.1% VWIV 23.6% 21.2% 27.0% 21.2% 23.7% Skew 25d 1.2% 0.5% 2.3% 2.3% 0.5% Skew 10d 2.2% 0.5% 5.2% 4.7% 1.3% Call IV 25d 22.7% 20.0% 26.3% 22.6% 23.0% Put IV 25d 23.9% 20.4% 28.1% 24.9% 23.5% Bid-Ask Spread % 5.09 1.76 17.19 3.50 1.76 Gamma HHI 0.11 0.05 0.28 0.15 0.11 Net GEX 49.3M -64.8M 151.1M 127.0M 104.1M Net DEX -2.13B -4.07B 288.0M -3.90B -1.97B Net VEX -18.9M -21.0M -16.7M -17.1M -20.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.21 1.17 0.46 0.48 Total Volume 105,960 46,490 229,408 63,413 90,212 Total OI 1,103,925.955 1,010,639 1,256,329 1,025,937 1,129,077
Daily Data (22 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 2021-06-01 $165.76 $150.00 23.1% 6.0% 19.3% 10.7% 21.2% 2.3% -0.8% 127.0M -3.90B -17.1M 0.46 3.50 N/A N/A 43,466 19,947 456,154 569,783 2021-06-02 $165.83 $150.00 23.6% 5.9% 19.3% 11.9% 21.2% 2.0% -0.7% 138.3M -3.85B -18.1M 0.56 4.83 N/A N/A 29,742 16,748 465,983 582,767 2021-06-03 $166.28 $155.00 23.1% 6.8% 18.6% 10.7% 25.1% 2.2% -1.0% 133.6M -3.90B -17.9M 0.77 6.04 N/A N/A 39,363 30,198 469,660 586,455 2021-06-04 $166.58 $155.00 22.2% 6.2% 17.7% 8.4% 22.7% 0.9% -1.5% 151.1M -4.07B -16.7M 1.16 17.19 N/A N/A 42,499 49,399 478,181 597,661 2021-06-07 $165.60 $160.00 21.0% 6.2% 17.8% 5.2% 22.4% 1.5% 1.0% 103.0M -3.62B -17.7M 1.17 2.77 N/A N/A 27,755 32,374 463,236 601,574 2021-06-08 $165.28 $160.00 20.5% 6.2% 17.8% 3.8% 22.2% 1.5% 1.3% 106.9M -3.64B -17.0M 0.70 7.47 N/A N/A 34,083 23,792 472,807 619,055 2021-06-09 $163.03 $160.00 21.4% 6.4% 16.6% 6.1% 23.0% 1.4% 1.1% 59.3M -3.13B -17.4M 0.71 4.28 N/A N/A 35,238 25,129 479,273 626,081 2021-06-10 $160.72 $160.00 21.2% 6.5% 17.3% 5.7% 22.8% 1.1% 1.6% 27.0M -2.60B -17.8M 0.48 16.42 N/A N/A 66,726 31,806 486,010 633,923 2021-06-11 $159.86 $160.00 20.4% 6.2% 14.0% 3.4% 22.3% 0.5% 1.8% -64.8M -2.42B -17.8M 0.66 2.14 N/A N/A 56,323 37,116 500,674 644,527 2021-06-14 $157.22 $160.00 22.3% 6.5% 14.4% 9.4% 22.9% 1.0% -0.5% 8.4M -1.93B -17.8M 0.79 3.43 N/A N/A 55,454 43,772 479,885 638,037 2021-06-15 $155.39 $160.00 23.0% 6.7% 14.7% 11.8% 23.6% 1.1% -0.1% 2.5M -1.57B -17.9M 0.66 3.60 N/A N/A 81,519 53,766 496,912 652,105 2021-06-16 $156.74 $160.00 23.5% 6.7% 15.1% 14.4% 23.9% 1.2% -0.6% 33.5M -1.94B -18.8M 0.43 15.28 N/A N/A 128,891 55,930 515,561 673,068 2021-06-17 $151.99 $160.00 23.9% 6.9% 17.3% 16.7% 24.4% 1.3% -0.6% -28.2M -785.5M -18.7M 0.45 3.62 N/A N/A 158,388 71,020 530,212 679,254 2021-06-18 $148.11 $160.00 26.1% 7.5% 18.8% 24.4% 27.0% 1.8% -0.1% -63.8M 288.0M -19.9M 0.74 3.36 N/A N/A 103,598 76,527 554,510 701,819 2021-06-21 $150.01 $160.00 23.9% 7.0% 19.2% 16.8% 25.2% 1.4% -0.2% -8.9M -475.6M -20.5M 0.59 2.75 N/A N/A 79,198 46,507 457,373 553,266 2021-06-22 $150.44 $155.00 23.6% 6.9% 18.9% 15.6% 24.4% 1.2% -0.2% -9.9M -531.0M -20.6M 0.32 2.70 N/A N/A 63,959 20,709 471,076 568,729 2021-06-23 $151.49 $155.00 22.8% 6.6% 19.1% 12.7% 23.8% 1.1% 0.1% 18.5M -896.6M -20.2M 0.51 2.41 N/A N/A 53,998 27,539 495,928 573,475 2021-06-24 $152.78 $155.00 23.6% 7.0% 19.6% 15.6% 24.7% 0.8% -0.2% 37.2M -1.20B -21.0M 0.44 2.23 N/A N/A 75,068 33,355 509,184 583,261 2021-06-25 $154.35 $155.00 22.2% 6.5% 19.5% 10.8% 23.2% 0.6% 0.1% 83.2M -1.61B -21.0M 0.39 2.23 N/A N/A 93,969 36,869 522,172 598,679 2021-06-28 $154.03 $155.00 23.4% 7.0% 19.4% 14.8% 24.8% 0.6% -0.1% 51.8M -1.53B -20.6M 0.41 2.00 N/A N/A 65,263 27,019 498,507 568,310 2021-06-29 $154.19 $155.00 22.4% 6.6% 19.0% 11.7% 23.7% 0.5% 0.2% 75.8M -1.64B -20.6M 0.21 1.98 N/A N/A 121,853 25,033 521,824 580,343 2021-06-30 $155.29 $155.00 22.6% 6.6% 19.3% 12.3% 23.7% 0.5% 0.1% 104.1M -1.97B -20.9M 0.48 1.76 N/A N/A 60,806 29,406 542,898 586,179
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