JPM Options History — January 2022

In January 2022, JPM traded between $144.22 and $168.32. ATM implied volatility averaged 25.2%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 5.2% (HV 20d: 30.4%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2022-01-04: Highest Volume — 918,185 contracts
2022-01-21: Largest IV spike — 12.5% change
2022-01-27: Highest IV Rank — 81.5%
2022-01-27: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$156.24	$144.22	$168.32	$161.56	$148.26
Max Pain	$158.63	$150.00	$160.00	$150.00	$155.00
ATM IV	25.2%	21.4%	30.6%	21.4%	24.7%
Expected Move	7.3%	6.0%	9.0%	6.0%	7.6%
HV 20d	30.4%	19.0%	37.2%	19.0%	37.2%
HV 60d	23.9%	20.4%	26.5%	20.4%	26.5%
IV Rank	42.1%	17.6%	81.5%	17.7%	46.7%
IV Percentile	64.1%	21.8%	97.2%	23.0%	64.7%
Term Structure	-0.2%	-0.7%	0.5%	0.0%	0.2%
VWIV	26.0%	21.3%	32.0%	21.3%	32.0%
Skew 25d	4.3%	2.1%	7.7%	2.4%	6.5%
Skew 10d	9.5%	3.6%	17.0%	4.6%	14.9%
Call IV 25d	24.0%	20.7%	27.7%	20.7%	23.6%
Put IV 25d	28.3%	23.1%	35.4%	23.1%	30.1%
Bid-Ask Spread %	6.57	2.74	17.11	2.74	3.71
Gamma HHI	0.14	0.08	0.37	0.11	0.08
Net GEX	45.9M	-134.4M	454.9M	82.5M	-30.8M
Net DEX	-38.1M	-3.22B	2.44B	-1.63B	983.2M
Net VEX	-20.4M	-22.6M	-17.4M	-17.8M	-22.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.09	0.89	0.47	0.72
Total Volume	178,796.8	82,404	918,185	111,746	86,228
Total OI	1,096,428.85	871,119	1,316,013	1,054,198	959,738

Daily Data (20 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
2022-01-03	$161.56	$150.00	21.4%	6.0%	19.0%	17.7%	21.3%	2.4%	0.0%	82.5M	-1.63B	-17.8M	0.47	2.74	N/A	N/A	75,772	35,974	450,420	603,778
2022-01-04	$168.32	$150.00	21.4%	6.3%	23.2%	17.6%	21.4%	2.1%	0.2%	173.5M	-3.22B	-17.4M	0.09	3.19	N/A	N/A	843,835	74,350	466,113	614,128
2022-01-05	$164.36	$160.00	23.2%	6.8%	24.6%	28.5%	24.0%	3.2%	0.5%	94.7M	-1.13B	-19.3M	0.35	8.83	N/A	N/A	170,739	60,577	424,843	634,613
2022-01-06	$165.13	$160.00	24.0%	6.9%	24.6%	33.6%	24.2%	2.8%	-0.2%	112.1M	-1.38B	-20.4M	0.42	15.44	N/A	N/A	65,791	27,709	458,207	649,658
2022-01-07	$167.38	$160.00	23.7%	6.8%	24.9%	31.8%	24.6%	3.0%	0.4%	454.9M	-2.04B	-20.2M	0.46	17.11	N/A	N/A	72,271	32,919	470,657	655,984
2022-01-10	$166.75	$160.00	25.0%	7.1%	24.8%	39.7%	24.8%	2.7%	-0.3%	138.9M	-1.75B	-20.5M	0.31	10.19	N/A	N/A	75,421	23,456	455,577	642,185
2022-01-11	$166.88	$160.00	23.5%	6.7%	24.2%	30.8%	24.2%	2.1%	-0.2%	162.7M	-1.86B	-20.1M	0.63	11.48	N/A	N/A	50,545	31,859	471,391	649,096
2022-01-12	$168.08	$160.00	22.7%	6.4%	24.1%	25.8%	23.3%	2.6%	-0.6%	186.2M	-2.14B	-20.1M	0.45	5.82	N/A	N/A	65,453	29,182	479,149	660,314
2022-01-13	$168.30	$160.00	23.2%	6.4%	23.7%	28.5%	23.5%	2.9%	-0.6%	190.6M	-2.23B	-20.3M	0.53	6.59	N/A	N/A	123,516	65,898	487,195	668,063
2022-01-14	$157.42	$160.00	23.5%	6.7%	33.8%	30.4%	23.6%	2.8%	-0.2%	-66.1M	792.2M	-19.8M	0.69	3.11	N/A	N/A	214,235	146,787	513,982	692,796
2022-01-18	$150.71	$160.00	25.6%	7.3%	36.5%	43.1%	25.9%	3.4%	-0.4%	-74.7M	1.53B	-19.6M	0.72	3.96	N/A	N/A	132,674	95,199	517,975	686,328
2022-01-19	$149.32	$160.00	24.2%	6.9%	35.7%	34.6%	24.8%	3.4%	-0.4%	-89.7M	1.90B	-20.2M	0.48	3.13	N/A	N/A	96,063	46,231	561,596	724,333
2022-01-20	$148.16	$160.00	24.1%	6.9%	35.2%	34.1%	25.2%	3.7%	-0.3%	-90.6M	1.99B	-20.7M	0.45	3.68	N/A	N/A	86,033	38,684	576,874	728,700
2022-01-21	$144.85	$160.00	27.1%	7.8%	35.8%	52.4%	27.3%	4.8%	-0.3%	-134.4M	2.44B	-20.3M	0.88	4.94	N/A	N/A	65,725	57,594	583,299	732,714
2022-01-24	$144.22	$160.00	29.6%	8.9%	35.6%	67.6%	31.1%	7.6%	0.1%	-48.3M	1.67B	-20.7M	0.85	6.26	N/A	N/A	79,759	67,775	407,000	464,119
2022-01-25	$146.43	$160.00	30.1%	8.8%	36.2%	70.7%	31.1%	7.2%	-0.1%	-33.9M	1.27B	-21.9M	0.63	5.51	N/A	N/A	62,961	39,795	432,006	487,288
2022-01-26	$147.50	$160.00	29.2%	8.4%	36.2%	65.1%	28.8%	7.2%	-0.4%	-23.9M	1.09B	-22.3M	0.43	5.88	N/A	N/A	90,028	39,048	449,288	502,399
2022-01-27	$145.46	$160.00	30.6%	9.0%	36.4%	81.5%	30.0%	7.7%	-0.7%	-39.4M	1.47B	-22.3M	0.75	4.79	N/A	N/A	62,116	46,561	461,248	512,151
2022-01-28	$145.76	$157.50	27.6%	8.0%	36.4%	61.2%	28.8%	7.2%	-0.1%	-45.8M	1.47B	-22.4M	0.89	5.08	N/A	N/A	51,439	45,734	471,204	522,168
2022-01-31	$148.26	$155.00	24.7%	7.6%	37.2%	46.7%	32.0%	6.5%	0.2%	-30.8M	983.2M	-22.6M	0.72	3.71	N/A	N/A	49,998	36,230	449,403	510,335