JPM Options History — July 2021 In July 2021, JPM traded between $146.39 and $158.29. ATM implied volatility averaged 22.5%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.6% (HV 20d: 25.1%). Max pain ranged from $150.00 to $157.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.58.
Notable Days 2021-07-01 : Highest Volume — 487,952 contracts2021-07-19 : Largest IV spike — 24.3% change2021-07-19 : Highest IV Rank — 32.5%2021-07-19 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $152.99 $146.39 $158.29 $156.96 $151.61 Max Pain $150.83 $150.00 $157.50 $155.00 $150.00 ATM IV 22.5% 20.8% 27.0% 21.5% 22.1% Expected Move 6.4% 5.9% 7.7% 6.2% 6.0% HV 20d 25.1% 19.8% 28.0% 19.8% 27.6% HV 60d 21.4% 19.3% 22.9% 19.3% 22.3% IV Rank 13.2% 6.4% 32.5% 8.4% 12.7% IV Percentile 12.2% 1.2% 31.7% 4.4% 11.5% Term Structure 0.0% -0.9% 0.5% -0.3% 0.3% VWIV 22.6% 21.1% 26.9% 21.2% 21.5% Skew 25d 2.5% 0.6% 4.6% 0.6% 3.2% Skew 10d 6.7% 1.9% 11.9% 1.9% 6.8% Call IV 25d 21.9% 20.4% 25.2% 21.9% 20.6% Put IV 25d 24.4% 22.4% 29.7% 22.6% 23.9% Bid-Ask Spread % 3.86 1.85 26.58 2.06 3.47 Gamma HHI 0.09 0.07 0.14 0.14 0.09 Net GEX 70.7M -6.2M 163.6M 163.6M 69.0M Net DEX -1.16B -2.38B 66.8M -2.38B -1.02B Net VEX -23.3M -24.5M -21.9M -22.0M -22.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.07 0.95 0.07 0.95 Total Volume 124,516.476 48,189 487,952 487,952 61,573 Total OI 1,150,266.857 1,074,097 1,238,173 1,144,147 1,168,043
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 2021-07-01 $156.96 $155.00 21.5% 6.2% 19.8% 8.4% 21.2% 0.6% -0.3% 163.6M -2.38B -22.0M 0.07 2.06 N/A N/A 454,942 33,010 551,531 592,616 2021-07-02 $155.94 $157.50 21.4% 6.2% 19.8% 8.0% 22.0% 1.1% 0.2% 78.8M -1.40B -21.9M 0.53 2.43 N/A N/A 55,588 29,359 513,828 600,749 2021-07-06 $153.56 $155.00 22.5% 6.3% 20.2% 11.9% 22.7% 1.6% -0.3% 41.9M -896.2M -22.3M 0.64 2.58 N/A N/A 62,732 40,201 499,436 574,661 2021-07-07 $153.74 $150.00 23.5% 6.6% 20.3% 15.3% 23.5% 1.4% -0.0% 49.6M -1.05B -22.3M 0.62 2.17 N/A N/A 50,795 31,644 516,448 594,750 2021-07-08 $150.27 $150.00 25.3% 7.0% 21.1% 21.5% 24.9% 1.8% -0.9% -6.2M -232.6M -23.0M 0.63 2.99 N/A N/A 68,137 43,057 529,048 604,541 2021-07-09 $155.78 $150.00 22.7% 6.4% 25.1% 12.6% 23.4% 1.3% -0.2% 81.6M -1.79B -23.5M 0.42 3.04 N/A N/A 111,015 46,964 543,357 613,296 2021-07-12 $158.29 $150.00 22.7% 6.4% 25.8% 13.0% 23.0% 1.5% -0.4% 125.6M -2.33B -23.5M 0.44 2.24 N/A N/A 150,754 66,259 542,893 591,429 2021-07-13 $155.89 $150.00 20.8% 5.9% 25.7% 6.4% 21.1% 1.8% -0.2% 111.5M -1.64B -23.3M 0.44 1.85 N/A N/A 145,600 63,973 578,366 612,420 2021-07-14 $154.81 $150.00 21.1% 6.0% 25.5% 8.5% 21.4% 2.0% -0.2% 97.4M -1.36B -23.8M 0.60 2.09 N/A N/A 82,141 49,299 594,755 624,722 2021-07-15 $155.18 $150.00 21.2% 6.1% 25.3% 8.8% 21.4% 2.0% 0.2% 120.1M -1.57B -23.1M 0.54 2.17 N/A N/A 61,607 33,537 600,138 628,611 2021-07-16 $151.31 $150.00 21.7% 6.2% 24.5% 10.8% 22.0% 3.2% 0.4% 12.3M -401.2M -23.8M 0.69 26.58 N/A N/A 66,179 45,603 603,295 634,878 2021-07-19 $146.39 $150.00 27.0% 7.7% 25.6% 32.5% 26.9% 4.6% 0.0% 5.7M 66.8M -23.7M 0.65 2.46 N/A N/A 91,989 60,142 521,839 553,871 2021-07-20 $149.94 $150.00 23.2% 6.7% 26.6% 17.1% 23.8% 3.9% 0.1% 43.7M -758.0M -23.2M 0.65 2.53 N/A N/A 78,296 50,639 542,565 573,744 2021-07-21 $153.11 $150.00 21.7% 6.2% 27.6% 10.9% 22.2% 2.7% -0.2% 107.0M -1.52B -24.4M 0.36 6.03 N/A N/A 67,960 24,395 559,272 602,864 2021-07-22 $151.12 $150.00 22.2% 6.4% 28.0% 13.1% 22.1% 2.9% 0.5% 45.2M -900.7M -23.7M 0.95 2.38 N/A N/A 40,273 38,455 558,345 604,047 2021-07-23 $150.66 $150.00 21.6% 6.1% 27.8% 10.3% 21.6% 2.5% 0.5% 42.5M -762.9M -24.5M 0.81 2.44 N/A N/A 42,451 34,221 567,049 618,067 2021-07-26 $151.57 $150.00 22.6% 6.3% 27.6% 14.5% 22.5% 3.5% 0.2% 56.6M -977.0M -24.1M 0.46 2.77 N/A N/A 32,976 15,213 524,543 588,652 2021-07-27 $151.32 $150.00 23.6% 6.6% 27.6% 18.7% 23.4% 4.1% 0.0% 62.4M -1.02B -23.2M 0.61 3.66 N/A N/A 41,150 25,118 534,561 597,723 2021-07-28 $152.14 $150.00 22.8% 6.2% 27.7% 15.2% 22.6% 3.8% 0.0% 75.0M -1.05B -24.4M 0.45 2.86 N/A N/A 43,807 19,819 538,808 603,462 2021-07-29 $153.28 $150.00 21.0% 5.9% 27.7% 7.9% 21.3% 3.5% 0.5% 100.6M -1.37B -23.6M 0.56 2.21 N/A N/A 34,658 19,315 543,912 608,469 2021-07-30 $151.61 $150.00 22.1% 6.0% 27.6% 12.7% 21.5% 3.2% 0.3% 69.0M -1.02B -22.9M 0.95 3.47 N/A N/A 31,595 29,978 554,661 613,382
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