JPM Options History — July 2022

In July 2022, JPM traded between $107.65 and $115.46. ATM implied volatility averaged 30.7%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.2% (HV 20d: 30.8%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.77.

Notable Days

2022-07-15: Highest Volume — 204,447 contracts
2022-07-14: Largest IV drop — 9.0% change
2022-07-05: Highest IV Rank — 68.5%
2022-07-05: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.50	$107.65	$115.46	$114.29	$115.39
Max Pain	$115.25	$115.00	$120.00	$120.00	$115.00
ATM IV	30.7%	25.2%	35.8%	33.3%	25.2%
Expected Move	8.7%	7.0%	10.2%	9.8%	7.0%
HV 20d	30.8%	24.4%	33.5%	30.4%	30.4%
HV 60d	33.3%	32.1%	34.6%	32.3%	33.5%
IV Rank	48.3%	26.5%	68.5%	58.8%	26.5%
IV Percentile	72.7%	44.8%	94.4%	86.1%	44.8%
Term Structure	-0.3%	-1.4%	0.7%	-0.3%	0.1%
VWIV	30.7%	23.9%	35.7%	33.5%	23.9%
Skew 25d	6.6%	5.0%	8.4%	7.1%	5.0%
Skew 10d	13.5%	10.2%	16.2%	13.5%	10.2%
Call IV 25d	28.0%	22.9%	32.3%	30.9%	22.9%
Put IV 25d	34.6%	27.9%	40.6%	38.0%	27.9%
Bid-Ask Spread %	3.21	2.02	7.55	2.69	4.08
Gamma HHI	0.07	0.06	0.11	0.08	0.08
Net GEX	-19.2M	-76.0M	8.8M	-44.2M	126.9K
Net DEX	2.05B	1.62B	3.05B	2.44B	1.67B
Net VEX	-20.3M	-21.0M	-18.3M	-20.2M	-20.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.48	1.09	0.66	0.71
Total Volume	93,017	56,378	204,447	80,165	75,810
Total OI	1,104,269.5	1,035,765	1,235,307	1,125,391	1,092,378

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
2022-07-01	$114.29	$120.00	33.3%	9.8%	30.4%	58.8%	33.5%	7.1%	-0.3%	-44.2M	2.44B	-20.2M	0.66	2.69	N/A	N/A	48,406	31,759	516,294	609,097
2022-07-05	$112.07	$115.00	35.8%	10.2%	30.7%	68.5%	35.6%	8.4%	-0.5%	-38.6M	2.58B	-19.7M	0.90	3.32	N/A	N/A	43,941	39,763	495,266	594,271
2022-07-06	$112.44	$115.00	35.2%	10.2%	30.9%	66.2%	33.5%	8.1%	-0.5%	-33.0M	2.41B	-20.1M	0.63	4.80	N/A	N/A	42,792	27,051	505,907	597,198
2022-07-07	$114.59	$115.00	32.7%	9.2%	32.2%	56.3%	32.2%	7.8%	-0.4%	-14.1M	2.04B	-20.7M	0.55	7.55	N/A	N/A	64,483	35,197	515,442	598,647
2022-07-08	$114.77	$115.00	32.0%	9.0%	32.0%	53.5%	31.4%	7.2%	-0.5%	5.3M	2.02B	-20.6M	0.48	2.20	N/A	N/A	62,860	29,945	529,838	605,187
2022-07-11	$112.64	$115.00	34.2%	9.4%	32.2%	62.3%	33.0%	7.4%	-1.1%	-34.8M	2.28B	-19.9M	0.76	4.02	N/A	N/A	37,624	28,646	514,147	594,241
2022-07-12	$112.90	$115.00	35.3%	9.7%	27.8%	66.6%	35.7%	7.6%	-1.4%	-30.9M	2.22B	-20.4M	0.74	2.40	N/A	N/A	56,609	41,816	522,742	602,917
2022-07-13	$111.87	$115.00	35.4%	10.2%	24.4%	67.1%	34.9%	7.1%	0.1%	-38.1M	2.37B	-20.1M	0.78	2.76	N/A	N/A	88,466	68,759	538,490	615,606
2022-07-14	$107.65	$115.00	32.3%	9.0%	27.6%	54.6%	32.5%	6.8%	-0.9%	-76.0M	3.05B	-18.3M	0.81	2.37	N/A	N/A	112,558	90,911	564,854	640,011
2022-07-15	$112.81	$115.00	30.4%	8.5%	32.4%	47.0%	30.8%	5.9%	-0.9%	-5.8M	1.96B	-20.4M	0.69	2.02	N/A	N/A	120,916	83,531	587,489	647,818
2022-07-18	$111.46	$115.00	30.9%	8.8%	31.7%	49.1%	30.2%	6.1%	0.1%	-19.9M	2.09B	-20.0M	0.65	2.65	N/A	N/A	60,193	39,075	454,982	580,783
2022-07-19	$114.81	$115.00	28.1%	8.1%	33.5%	38.2%	28.6%	6.0%	0.1%	1.7M	1.62B	-20.7M	0.68	2.96	N/A	N/A	43,749	29,860	467,079	590,061
2022-07-20	$114.55	$115.00	28.0%	8.0%	32.2%	37.7%	29.0%	6.1%	0.3%	1.7M	1.67B	-20.8M	1.09	2.17	N/A	N/A	29,041	31,718	474,741	596,662
2022-07-21	$114.99	$115.00	27.1%	7.7%	32.2%	34.2%	27.8%	5.8%	0.7%	8.8M	1.62B	-21.0M	0.60	2.48	N/A	N/A	50,668	30,225	481,451	604,525
2022-07-22	$114.54	$115.00	27.0%	7.7%	31.9%	33.7%	28.0%	5.5%	0.4%	-14.3M	1.73B	-20.7M	0.88	3.02	N/A	N/A	37,960	33,486	484,450	609,082
2022-07-25	$115.16	$115.00	28.0%	8.0%	30.2%	37.6%	28.5%	6.4%	-0.1%	-9.6M	1.67B	-20.9M	0.94	3.86	N/A	N/A	32,995	31,090	453,590	588,510
2022-07-26	$113.19	$115.00	29.4%	8.4%	30.7%	43.1%	29.3%	6.8%	-0.3%	-23.4M	1.98B	-20.3M	0.88	2.54	N/A	N/A	30,043	26,335	462,601	596,544
2022-07-27	$115.46	$115.00	27.3%	7.7%	31.6%	35.1%	27.9%	5.8%	0.1%	-5.3M	1.65B	-21.0M	0.94	2.26	N/A	N/A	30,501	28,601	468,938	602,438
2022-07-28	$114.51	$115.00	25.8%	7.2%	31.7%	28.9%	27.0%	5.4%	-0.1%	-13.7M	1.83B	-20.4M	0.96	3.97	N/A	N/A	32,117	30,840	473,951	607,162
2022-07-29	$115.39	$115.00	25.2%	7.0%	30.4%	26.5%	23.9%	5.0%	0.1%	126.9K	1.67B	-20.5M	0.71	4.08	N/A	N/A	44,237	31,573	481,147	611,231