JPM Options History — March 2022

In March 2022, JPM traded between $128.81 and $142.53. ATM implied volatility averaged 33.3%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 5.2% (HV 20d: 38.5%). Max pain ranged from $145.00 to $155.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.63.

Notable Days

2022-03-01: Highest Volume — 264,082 contracts
2022-03-02: Largest IV drop — 16.6% change
2022-03-01: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$136.72	$128.81	$142.53	$136.29	$137.01
Max Pain	$147.11	$145.00	$155.00	$155.00	$145.00
ATM IV	33.3%	25.9%	43.8%	41.2%	28.5%
Expected Move	9.7%	7.4%	13.9%	12.9%	8.1%
HV 20d	38.5%	33.0%	43.9%	34.5%	33.6%
HV 60d	33.6%	31.0%	34.9%	31.0%	33.7%
IV Rank	60.1%	29.3%	100.0%	100.0%	39.8%
IV Percentile	92.5%	77.8%	100.0%	100.0%	90.1%
Term Structure	-0.3%	-1.3%	1.5%	-0.7%	0.8%
VWIV	34.3%	26.3%	46.7%	43.0%	28.3%
Skew 25d	7.5%	3.6%	12.3%	12.0%	3.9%
Skew 10d	15.1%	7.5%	25.4%	25.4%	8.2%
Call IV 25d	30.8%	24.6%	38.6%	35.5%	27.1%
Put IV 25d	38.2%	28.5%	50.9%	47.5%	31.0%
Bid-Ask Spread %	7.86	3.77	13.33	5.62	10.08
Gamma HHI	0.09	0.06	0.39	0.08	0.07
Net GEX	-36.7M	-156.3M	32.6M	-57.9M	-43.9M
Net DEX	1.79B	487.8M	3.15B	2.42B	1.64B
Net VEX	-22.5M	-23.6M	-21.0M	-22.0M	-22.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.40	1.02	0.72	0.80
Total Volume	104,586.13	55,100	264,082	264,082	111,850
Total OI	1,097,646.261	1,002,943	1,190,644	1,011,242	1,096,432

Daily Data (23 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
2022-03-01	$136.29	$155.00	41.2%	12.9%	34.5%	100.0%	43.0%	12.0%	-0.7%	-57.9M	2.42B	-22.0M	0.72	5.62	N/A	N/A	153,486	110,596	463,630	547,612
2022-03-02	$139.80	$152.50	34.4%	10.3%	35.0%	70.0%	35.9%	9.2%	-0.4%	-51.3M	1.85B	-23.0M	0.40	3.77	N/A	N/A	125,481	49,855	489,159	579,625
2022-03-03	$137.72	$150.00	34.8%	10.5%	35.2%	71.6%	37.4%	9.3%	-0.4%	-33.3M	2.08B	-22.9M	0.90	3.87	N/A	N/A	57,078	51,165	545,559	589,052
2022-03-04	$133.46	$150.00	39.6%	12.4%	36.5%	93.0%	43.0%	11.7%	-0.9%	-79.9M	2.77B	-22.4M	1.02	6.01	N/A	N/A	62,613	63,969	549,575	597,497
2022-03-07	$129.53	$150.00	43.8%	13.9%	35.1%	100.0%	46.7%	12.3%	-0.6%	-59.6M	2.98B	-21.4M	0.80	4.91	N/A	N/A	55,659	44,500	494,741	584,139
2022-03-08	$128.81	$150.00	41.8%	13.1%	35.0%	92.3%	45.4%	10.9%	-0.8%	-61.5M	3.09B	-21.0M	0.68	7.15	N/A	N/A	58,576	39,584	504,436	593,551
2022-03-09	$134.46	$150.00	37.6%	11.6%	38.4%	75.8%	41.2%	9.7%	-0.1%	-52.1M	2.37B	-22.7M	0.46	4.52	N/A	N/A	73,503	33,879	518,771	602,698
2022-03-10	$131.70	$149.00	39.1%	11.5%	38.2%	81.7%	41.2%	9.2%	-0.5%	-59.0M	2.80B	-22.0M	0.70	4.31	N/A	N/A	45,445	31,973	541,994	607,395
2022-03-11	$129.03	$147.00	39.1%	12.0%	38.5%	81.7%	41.9%	9.3%	0.4%	-77.3M	3.15B	-21.2M	0.74	4.43	N/A	N/A	65,773	48,446	550,691	614,430
2022-03-14	$129.78	$145.00	39.7%	10.5%	38.8%	84.0%	36.9%	8.8%	-1.3%	-56.3M	2.88B	-21.6M	0.66	10.67	N/A	N/A	47,698	31,611	525,624	596,196
2022-03-15	$132.55	$145.00	35.7%	9.7%	40.2%	68.0%	34.0%	8.8%	-1.1%	-49.6M	2.53B	-22.1M	0.47	8.42	N/A	N/A	49,034	23,025	537,151	599,861
2022-03-16	$137.92	$145.00	32.6%	8.9%	43.0%	55.7%	31.9%	6.4%	-1.1%	-33.7M	1.57B	-23.2M	0.57	12.53	N/A	N/A	87,866	50,520	550,074	602,317
2022-03-17	$139.93	$145.00	30.4%	8.4%	43.4%	47.1%	29.9%	6.4%	-0.5%	-38.9M	1.30B	-23.6M	0.58	13.18	N/A	N/A	69,838	40,466	558,722	616,135
2022-03-18	$140.37	$145.00	29.2%	8.1%	42.9%	42.4%	30.0%	6.0%	-0.6%	-156.3M	1.07B	-23.1M	0.67	9.61	N/A	N/A	66,875	45,028	571,624	619,020
2022-03-21	$139.13	$145.00	28.3%	7.8%	42.7%	38.8%	27.1%	5.8%	-0.3%	-11.3M	1.12B	-22.6M	0.73	8.60	N/A	N/A	40,540	29,524	468,438	534,505
2022-03-22	$142.53	$145.00	26.1%	7.4%	43.9%	30.2%	26.3%	4.3%	-0.2%	19.6M	487.8M	-23.1M	0.40	7.32	N/A	N/A	72,293	28,822	480,204	544,213
2022-03-23	$140.29	$145.00	28.5%	8.0%	43.6%	39.7%	28.7%	5.0%	-0.3%	-332.1K	930.0M	-23.1M	0.53	13.33	N/A	N/A	48,571	25,824	493,016	552,286
2022-03-24	$140.51	$145.00	28.1%	7.9%	42.5%	37.9%	29.9%	4.7%	1.5%	5.7M	865.7M	-22.7M	0.58	9.88	N/A	N/A	34,920	20,180	502,686	558,137
2022-03-25	$141.65	$145.00	27.8%	7.9%	40.8%	36.7%	27.6%	5.0%	-0.2%	32.6M	584.7M	-23.2M	0.55	11.65	N/A	N/A	51,061	27,848	510,876	559,781
2022-03-28	$140.60	$145.00	27.4%	7.8%	36.8%	35.1%	27.6%	5.4%	0.4%	5.3M	964.1M	-22.7M	0.49	6.50	N/A	N/A	61,871	30,289	496,353	550,757
2022-03-29	$141.25	$145.00	25.9%	7.5%	34.1%	29.3%	26.9%	3.8%	0.3%	14.5M	806.3M	-22.4M	0.53	5.69	N/A	N/A	51,110	27,051	504,029	560,195
2022-03-30	$140.15	$145.00	26.3%	7.6%	33.0%	30.8%	27.1%	3.6%	0.1%	-32.3K	1.02B	-22.6M	0.55	8.63	N/A	N/A	38,869	21,316	514,988	567,689
2022-03-31	$137.01	$145.00	28.5%	8.1%	33.6%	39.8%	28.3%	3.9%	0.8%	-43.9M	1.64B	-22.1M	0.80	10.08	N/A	N/A	62,219	49,631	523,916	572,516