JPM Options History — September 2022

In September 2022, JPM traded between $105.09 and $120.56. ATM implied volatility averaged 33.9%, placing in the 61.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.8% (HV 20d: 25.0%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2022-09-30: Highest Volume — 115,983 contracts
2022-09-13: Largest IV spike — 14.2% change
2022-09-27: Highest IV Rank — 87.7%
2022-09-27: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.50	$105.09	$120.56	$113.96	$105.09
Max Pain	$117.62	$115.00	$120.00	$120.00	$115.00
ATM IV	33.9%	27.9%	40.6%	30.3%	39.2%
Expected Move	9.8%	8.2%	12.0%	8.5%	11.7%
HV 20d	25.0%	21.8%	28.8%	25.5%	28.8%
HV 60d	27.3%	26.3%	29.1%	29.1%	27.7%
IV Rank	61.0%	37.1%	87.7%	46.6%	81.9%
IV Percentile	82.6%	57.1%	98.8%	71.4%	96.4%
Term Structure	-0.1%	-1.5%	1.9%	0.7%	-1.0%
VWIV	34.0%	28.8%	41.0%	29.3%	39.2%
Skew 25d	6.9%	5.2%	8.7%	6.8%	7.9%
Skew 10d	13.1%	9.6%	17.0%	14.1%	15.4%
Call IV 25d	31.1%	25.0%	37.4%	27.4%	36.3%
Put IV 25d	38.0%	30.2%	46.2%	34.2%	44.2%
Bid-Ask Spread %	4.12	2.90	6.24	3.66	3.06
Gamma HHI	0.07	0.05	0.10	0.07	0.10
Net GEX	-29.4M	-63.8M	42.2M	-38.5M	-56.5M
Net DEX	1.98B	751.6M	2.95B	2.25B	2.95B
Net VEX	-22.3M	-23.3M	-20.1M	-23.0M	-20.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.46	1.04	0.49	1.04
Total Volume	82,134.524	57,928	115,983	70,380	115,983
Total OI	1,268,357.19	1,129,299	1,335,150	1,281,232	1,305,071

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
2022-09-01	$113.96	$120.00	30.3%	8.5%	25.5%	46.6%	29.3%	6.8%	0.7%	-38.5M	2.25B	-23.0M	0.49	3.66	N/A	N/A	47,275	23,105	576,906	704,326
2022-09-02	$113.41	$120.00	30.6%	8.5%	22.8%	47.9%	28.8%	6.0%	1.0%	-46.5M	2.36B	-22.5M	0.61	3.21	N/A	N/A	54,234	33,026	590,065	712,511
2022-09-06	$113.70	$120.00	31.2%	9.1%	22.6%	50.5%	32.3%	7.0%	1.3%	-39.9M	2.27B	-22.2M	0.86	4.58	N/A	N/A	38,882	33,364	571,032	701,660
2022-09-07	$115.83	$120.00	29.8%	8.9%	23.5%	44.9%	29.6%	6.3%	1.4%	-20.6M	1.83B	-22.8M	0.75	4.02	N/A	N/A	36,262	27,361	581,868	706,369
2022-09-08	$118.09	$120.00	29.7%	8.5%	22.5%	44.3%	30.8%	5.8%	1.4%	12.2M	1.24B	-23.3M	0.70	3.54	N/A	N/A	44,102	30,869	593,648	710,765
2022-09-09	$119.56	$120.00	27.9%	8.2%	22.4%	37.1%	29.2%	5.2%	1.9%	42.2M	860.4M	-23.3M	0.53	3.67	N/A	N/A	37,797	20,185	602,803	718,675
2022-09-12	$120.56	$120.00	29.2%	8.4%	21.8%	42.4%	30.2%	5.6%	-0.2%	13.5M	751.6M	-23.3M	1.00	3.81	N/A	N/A	31,303	31,413	587,008	707,697
2022-09-13	$115.96	$120.00	33.3%	9.5%	25.6%	58.7%	32.5%	6.7%	-0.3%	-28.3M	1.88B	-22.7M	1.04	5.29	N/A	N/A	37,643	39,335	591,753	720,141
2022-09-14	$116.22	$120.00	33.0%	9.4%	25.2%	57.3%	32.9%	6.5%	-0.3%	-29.3M	1.89B	-22.9M	1.01	6.24	N/A	N/A	28,891	29,037	595,131	729,427
2022-09-15	$117.98	$120.00	32.4%	8.9%	25.8%	55.2%	32.7%	6.3%	-1.5%	-5.5M	1.41B	-23.3M	0.91	5.66	N/A	N/A	54,211	49,202	603,989	729,771
2022-09-16	$117.04	$120.00	34.1%	9.8%	25.8%	61.7%	34.1%	7.0%	0.1%	-23.7M	1.48B	-23.3M	0.86	4.77	N/A	N/A	55,914	48,269	602,100	733,050
2022-09-19	$117.79	$115.00	32.4%	9.2%	24.5%	55.2%	31.9%	6.7%	-0.8%	-17.2M	1.26B	-23.0M	0.46	3.41	N/A	N/A	54,424	24,909	486,083	643,216
2022-09-20	$116.30	$115.00	34.0%	9.7%	23.8%	61.2%	34.8%	7.4%	-0.7%	-21.4M	1.47B	-23.0M	0.83	3.29	N/A	N/A	40,806	33,991	519,427	652,106
2022-09-21	$112.93	$115.00	34.9%	10.0%	25.9%	64.8%	33.4%	7.0%	-0.6%	-46.0M	2.01B	-22.5M	0.74	4.77	N/A	N/A	46,830	34,505	534,672	664,166
2022-09-22	$112.19	$115.00	34.6%	9.9%	25.9%	63.7%	35.1%	6.5%	-0.7%	-58.5M	2.17B	-22.3M	0.91	3.10	N/A	N/A	41,388	37,672	550,574	674,258
2022-09-23	$108.98	$115.00	37.4%	10.8%	26.4%	74.8%	37.3%	7.7%	-0.4%	-63.8M	2.61B	-21.5M	0.91	3.83	N/A	N/A	49,826	45,133	564,025	677,720
2022-09-26	$107.09	$115.00	40.1%	11.8%	25.3%	85.4%	40.6%	8.0%	-0.9%	-51.3M	2.69B	-20.8M	0.78	4.34	N/A	N/A	50,333	39,296	539,648	666,005
2022-09-27	$105.68	$115.00	40.6%	12.0%	25.5%	87.7%	41.0%	8.7%	-0.5%	-50.8M	2.88B	-20.5M	0.63	3.87	N/A	N/A	54,309	34,138	559,416	677,795
2022-09-28	$108.66	$115.00	37.7%	11.1%	27.9%	75.9%	38.6%	8.0%	-0.4%	-38.8M	2.44B	-21.4M	0.66	2.90	N/A	N/A	57,265	37,951	575,433	686,075
2022-09-29	$106.51	$115.00	39.5%	11.7%	28.6%	83.3%	39.9%	8.2%	-0.8%	-48.8M	2.77B	-20.8M	0.83	5.42	N/A	N/A	51,516	42,870	588,122	700,994
2022-09-30	$105.09	$115.00	39.2%	11.7%	28.8%	81.9%	39.2%	7.9%	-1.0%	-56.5M	2.95B	-20.1M	1.04	3.06	N/A	N/A	56,926	59,057	601,643	703,428