JPM Options History — September 2021 In September 2021, JPM traded between $152.42 and $166.89. ATM implied volatility averaged 23.6%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.8% (HV 20d: 18.8%). Max pain ranged from $150.00 to $155.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2021-09-27 : Highest Volume — 145,850 contracts2021-09-20 : Largest IV spike — 33.7% change2021-09-20 : Highest IV Rank — 49.6%2021-09-20 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $159.85 $152.42 $166.89 $159.67 $164.08 Max Pain $154.05 $150.00 $155.00 $155.00 $155.00 ATM IV 23.6% 20.2% 30.4% 20.2% 25.6% Expected Move 6.9% 5.5% 8.7% 5.5% 8.0% HV 20d 18.8% 14.5% 23.9% 18.4% 23.7% HV 60d 22.0% 20.6% 23.3% 22.3% 23.1% IV Rank 19.6% 4.6% 49.6% 4.6% 28.4% IV Percentile 31.1% 0.8% 76.2% 0.8% 45.6% Term Structure 0.2% -0.8% 1.2% 1.1% -0.1% VWIV 25.0% 19.5% 30.1% 19.5% 28.7% Skew 25d 4.9% 2.7% 8.3% 2.7% 5.3% Skew 10d 10.6% 5.9% 17.5% 6.1% 12.6% Call IV 25d 22.3% 19.4% 26.7% 19.8% 25.0% Put IV 25d 27.2% 22.3% 34.8% 22.5% 30.3% Bid-Ask Spread % 9.76 2.32 30.42 15.14 4.11 Gamma HHI 0.12 0.07 0.17 0.15 0.11 Net GEX 75.3M -1.9M 121.2M 97.1M 88.9M Net DEX -1.94B -3.18B -406.7M -2.05B -2.48B Net VEX -20.9M -22.1M -19.8M -21.5M -22.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.32 1.00 0.41 0.96 Total Volume 70,022.095 34,318 145,850 38,437 65,354 Total OI 1,097,373.857 937,116 1,184,768 1,145,474 1,108,454
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 2021-09-01 $159.67 $155.00 20.2% 5.5% 18.4% 4.6% 19.5% 2.7% 1.1% 97.1M -2.05B -21.5M 0.41 15.14 N/A N/A 27,202 11,235 518,064 627,410 2021-09-02 $159.85 $150.00 20.4% 6.3% 18.3% 5.5% 22.2% 2.9% 1.2% 106.2M -2.17B -21.2M 0.50 18.13 N/A N/A 30,568 15,388 523,180 632,529 2021-09-03 $159.85 $150.00 20.2% 6.2% 15.2% 4.6% 22.4% 2.9% 1.2% 97.9M -2.15B -21.2M 0.65 6.37 N/A N/A 33,700 21,807 526,384 634,691 2021-09-07 $159.51 $150.00 21.8% 6.5% 15.2% 11.1% 24.0% 3.4% 0.8% 100.4M -2.08B -20.7M 0.65 4.59 N/A N/A 24,847 16,214 504,972 617,832 2021-09-08 $158.65 $150.00 22.1% 6.6% 14.9% 12.4% 24.3% 4.3% 0.6% 79.3M -1.77B -21.2M 0.52 3.18 N/A N/A 22,644 11,674 510,609 625,349 2021-09-09 $159.85 $155.00 22.2% 6.6% 14.5% 13.6% 24.8% 4.0% 0.7% 113.8M -2.15B -20.4M 0.75 12.59 N/A N/A 23,255 17,404 516,372 634,153 2021-09-10 $157.42 $155.00 24.3% 7.1% 15.3% 22.6% 24.5% 4.2% 0.6% 8.3M -1.43B -21.4M 0.79 3.21 N/A N/A 34,355 27,275 520,925 636,168 2021-09-13 $159.75 $155.00 23.4% 6.8% 15.8% 18.8% 24.8% 5.2% -0.1% 74.4M -1.90B -21.0M 0.69 3.39 N/A N/A 30,472 21,003 505,307 630,132 2021-09-14 $156.85 $155.00 25.8% 7.4% 16.9% 29.3% 25.6% 5.1% -0.6% 44.3M -1.37B -20.2M 0.45 30.42 N/A N/A 45,556 20,711 512,630 636,071 2021-09-15 $158.53 $155.00 22.8% 6.5% 16.8% 16.2% 24.3% 5.0% 0.0% 59.2M -1.72B -20.2M 0.89 21.89 N/A N/A 28,384 25,315 522,471 643,904 2021-09-16 $158.57 $155.00 22.6% 6.5% 16.7% 15.4% 23.4% 5.2% -0.3% 67.8M -1.79B -19.8M 0.32 11.06 N/A N/A 49,382 15,983 526,548 648,218 2021-09-17 $157.72 $155.00 22.8% 6.6% 16.0% 16.1% 24.8% 5.7% -0.1% 35.9M -1.54B -20.0M 0.66 7.28 N/A N/A 36,656 24,295 526,179 658,589 2021-09-20 $152.42 $155.00 30.4% 8.7% 20.3% 49.6% 30.1% 8.1% -0.8% -1.9M -406.7M -21.4M 0.81 3.34 N/A N/A 57,496 46,592 405,464 531,652 2021-09-21 $153.49 $155.00 26.3% 8.0% 19.7% 31.5% 28.0% 8.3% -0.3% 6.0M -600.5M -20.6M 0.77 3.50 N/A N/A 30,055 23,195 416,207 540,390 2021-09-22 $156.75 $155.00 24.6% 6.9% 21.1% 24.1% 25.4% 6.0% -0.0% 42.4M -1.23B -20.6M 0.81 18.05 N/A N/A 40,006 32,297 435,748 558,288 2021-09-23 $161.20 $155.00 23.2% 6.7% 22.4% 18.0% 23.9% 5.2% -0.3% 95.5M -2.11B -21.2M 0.84 2.32 N/A N/A 67,088 56,291 444,779 567,900 2021-09-24 $163.29 $155.00 22.2% 6.6% 22.8% 13.6% 23.7% 4.6% 0.0% 117.1M -2.65B -20.5M 0.58 8.45 N/A N/A 63,543 36,742 453,273 581,589 2021-09-27 $166.89 $155.00 23.6% 6.8% 23.9% 19.8% 24.5% 4.2% 0.4% 121.2M -3.18B -20.2M 0.41 10.87 N/A N/A 103,763 42,087 448,758 575,985 2021-09-28 $166.39 $155.00 25.4% 7.5% 23.3% 27.8% 27.5% 5.2% 0.2% 110.8M -3.00B -21.8M 0.56 11.67 N/A N/A 80,195 44,704 461,511 587,437 2021-09-29 $166.08 $155.00 25.5% 7.7% 23.2% 28.1% 27.6% 5.5% 0.4% 117.5M -3.00B -21.6M 1.00 5.46 N/A N/A 32,792 32,939 486,273 602,456 2021-09-30 $164.08 $155.00 25.6% 8.0% 23.7% 28.4% 28.7% 5.3% -0.1% 88.9M -2.48B -22.1M 0.96 4.11 N/A N/A 33,408 31,946 495,542 612,912
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