JPM Options History — October 2021 In October 2021, JPM traded between $160.78 and $171.96. ATM implied volatility averaged 21.4%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.5% (HV 20d: 23.9%). Max pain ranged from $155.00 to $167.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.60.
Notable Days 2021-10-04 : Highest Volume — 285,452 contracts2021-10-14 : Largest IV drop — 14.8% change2021-10-04 : Highest IV Rank — 35.5%2021-10-04 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $168.24 $160.78 $171.96 $167.50 $169.85 Max Pain $161.19 $155.00 $167.50 $155.00 $167.50 ATM IV 21.4% 18.5% 27.2% 25.8% 19.3% Expected Move 6.1% 5.3% 7.6% 7.6% 5.6% HV 20d 23.9% 21.1% 27.6% 24.6% 21.4% HV 60d 21.0% 20.1% 22.9% 22.9% 21.3% IV Rank 11.3% 0.0% 35.5% 29.3% 3.6% IV Percentile 18.9% 0.0% 54.4% 46.4% 4.0% Term Structure 0.1% -0.7% 0.6% -0.1% 0.6% VWIV 22.1% 18.8% 27.2% 27.2% 19.6% Skew 25d 3.2% 2.1% 5.3% 4.4% 2.7% Skew 10d 7.1% 4.3% 12.6% 8.5% 6.5% Call IV 25d 20.5% 17.6% 25.6% 23.9% 18.4% Put IV 25d 23.7% 20.0% 30.2% 28.4% 21.2% Bid-Ask Spread % 6.35 2.20 16.92 14.60 3.08 Gamma HHI 0.17 0.11 0.36 0.13 0.28 Net GEX 148.0M 57.3M 256.8M 148.0M 210.9M Net DEX -2.87B -3.79B -1.10B -3.21B -3.01B Net VEX -21.5M -22.8M -20.6M -22.5M -21.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.12 0.96 0.63 0.53 Total Volume 104,495.476 43,963 285,452 72,610 90,097 Total OI 1,108,968.143 1,058,779 1,187,177 1,128,484 1,153,309
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 2021-10-01 $167.50 $155.00 25.8% 7.6% 24.6% 29.3% 27.2% 4.4% -0.1% 148.0M -3.21B -22.5M 0.63 14.60 N/A N/A 44,537 28,073 500,011 628,473 2021-10-04 $167.23 $160.00 27.2% 7.6% 24.7% 35.5% 26.8% 4.6% -0.7% 110.5M -2.95B -22.3M 0.12 16.92 N/A N/A 255,968 29,484 473,620 603,652 2021-10-05 $169.22 $160.00 24.8% 7.1% 24.8% 24.9% 26.5% 5.3% -0.3% 136.6M -3.46B -22.5M 0.80 8.61 N/A N/A 47,423 37,767 481,147 609,491 2021-10-06 $168.66 $160.00 26.0% 7.4% 24.8% 30.2% 27.2% 5.0% -0.2% 128.1M -2.86B -22.8M 0.96 10.33 N/A N/A 29,331 28,284 460,907 617,139 2021-10-07 $169.93 $160.00 23.8% 6.8% 24.8% 20.5% 25.3% 3.9% -0.1% 158.2M -3.23B -21.9M 0.65 3.90 N/A N/A 40,840 26,510 469,814 630,122 2021-10-08 $170.40 $160.00 23.3% 6.7% 23.8% 18.5% 24.4% 4.0% -0.1% 256.8M -3.46B -21.7M 0.60 8.51 N/A N/A 50,620 30,538 476,699 633,001 2021-10-11 $166.72 $160.00 24.9% 7.0% 25.1% 25.5% 25.5% 3.8% -0.4% 112.3M -2.41B -21.6M 0.73 8.96 N/A N/A 50,354 36,669 457,964 609,556 2021-10-12 $165.29 $160.00 23.9% 6.8% 24.3% 21.2% 25.2% 3.4% -0.1% 105.1M -2.09B -21.6M 0.74 9.66 N/A N/A 68,622 50,818 461,433 612,905 2021-10-13 $160.78 $160.00 22.6% 6.5% 26.3% 15.3% 22.7% 2.6% 0.1% 57.3M -1.10B -20.8M 0.47 2.53 N/A N/A 149,181 69,373 470,392 624,258 2021-10-14 $163.28 $160.00 19.2% 5.5% 26.8% 0.6% 20.6% 2.6% 0.2% 96.8M -1.49B -21.0M 0.59 2.20 N/A N/A 106,688 63,335 501,727 643,409 2021-10-15 $166.91 $160.00 19.0% 5.5% 27.6% 0.0% 19.1% 2.4% 0.2% 146.5M -2.97B -20.6M 0.46 2.29 N/A N/A 94,565 43,860 532,149 655,028 2021-10-18 $166.67 $160.00 19.0% 5.4% 24.0% 0.0% 19.5% 2.1% 0.5% 128.3M -2.51B -21.3M 0.54 2.29 N/A N/A 48,680 26,043 467,341 591,438 2021-10-19 $168.08 $160.00 18.5% 5.3% 24.1% 0.0% 19.5% 2.3% -0.6% 143.9M -2.80B -21.0M 0.46 2.81 N/A N/A 30,189 13,774 473,912 603,651 2021-10-20 $170.43 $160.00 18.5% 5.3% 23.5% 0.1% 18.8% 2.5% 0.0% 186.9M -3.38B -21.3M 0.62 2.34 N/A N/A 54,494 34,002 490,753 616,560 2021-10-21 $169.51 $160.00 18.5% 5.3% 22.0% 0.0% 18.9% 2.3% 0.1% 181.6M -3.17B -21.0M 0.54 2.65 N/A N/A 53,004 28,870 496,245 622,138 2021-10-22 $171.96 $160.00 18.9% 5.4% 22.1% 1.6% 19.4% 2.4% 0.4% 196.3M -3.79B -21.1M 0.51 7.47 N/A N/A 69,152 35,377 500,176 624,764 2021-10-25 $170.93 $162.50 18.8% 5.4% 21.1% 1.5% 19.1% 2.5% 0.6% 162.2M -3.30B -20.8M 0.71 2.31 N/A N/A 57,854 41,169 482,802 608,161 2021-10-26 $171.77 $165.00 18.9% 5.4% 21.1% 1.9% 19.3% 2.5% 0.6% 170.7M -3.51B -20.9M 0.70 6.52 N/A N/A 40,225 28,102 497,910 627,580 2021-10-27 $167.96 $167.50 19.4% 5.7% 22.7% 3.9% 20.0% 2.3% 0.6% 118.4M -2.54B -21.4M 0.65 5.00 N/A N/A 59,003 38,598 502,471 631,455 2021-10-28 $169.94 $167.50 19.3% 5.6% 22.5% 3.5% 19.5% 2.5% 0.6% 153.3M -3.04B -21.5M 0.60 10.46 N/A N/A 39,240 23,692 509,317 635,451 2021-10-29 $169.85 $167.50 19.3% 5.6% 21.4% 3.6% 19.6% 2.7% 0.6% 210.9M -3.01B -21.2M 0.53 3.08 N/A N/A 58,877 31,220 514,017 639,292
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