JPM Options History — October 2022

In October 2022, JPM traded between $102.23 and $126.48. ATM implied volatility averaged 35.6%, placing in the 67.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 2.6% (HV 20d: 38.1%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.03.

Notable Days

2022-10-14: Highest Volume — 311,409 contracts
2022-10-14: Largest IV drop — 8.0% change
2022-10-12: Highest IV Rank — 100.0%
2022-10-11: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.95	$102.23	$126.48	$107.64	$126.48
Max Pain	$111.33	$105.00	$115.00	$115.00	$115.00
ATM IV	35.6%	28.1%	43.9%	37.3%	28.6%
Expected Move	10.3%	8.4%	12.3%	11.3%	8.6%
HV 20d	38.1%	30.4%	43.9%	30.4%	39.5%
HV 60d	30.5%	27.4%	32.9%	28.2%	32.0%
IV Rank	67.1%	36.0%	100.0%	74.5%	37.8%
IV Percentile	81.0%	46.8%	100.0%	93.7%	50.4%
Term Structure	-0.6%	-2.1%	0.5%	-0.4%	0.3%
VWIV	36.1%	29.3%	43.4%	39.6%	30.1%
Skew 25d	6.4%	4.3%	8.3%	7.5%	4.3%
Skew 10d	12.7%	8.7%	16.6%	14.5%	8.7%
Call IV 25d	32.7%	25.7%	40.2%	34.2%	26.5%
Put IV 25d	39.1%	30.4%	48.2%	41.7%	30.8%
Bid-Ask Spread %	3.49	1.94	8.33	3.74	3.16
Gamma HHI	0.08	0.05	0.22	0.09	0.10
Net GEX	12.3M	-56.8M	112.5M	-32.6M	67.6M
Net DEX	602.8M	-1.71B	2.87B	2.50B	-1.54B
Net VEX	-24.1M	-26.5M	-20.5M	-21.1M	-26.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.57	2.09	0.76	0.77
Total Volume	123,245.714	78,550	311,409	90,680	78,550
Total OI	1,378,836.429	1,296,090	1,493,959	1,296,090	1,387,978

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
2022-10-03	$107.64	$115.00	37.3%	11.3%	30.4%	74.5%	39.6%	7.5%	-0.4%	-32.6M	2.50B	-21.1M	0.76	3.74	N/A	N/A	51,576	39,104	592,844	703,246
2022-10-04	$112.34	$115.00	35.7%	10.8%	34.4%	68.0%	37.3%	6.5%	-0.1%	-5.2M	1.64B	-22.7M	0.57	2.77	N/A	N/A	93,606	53,280	594,888	717,616
2022-10-05	$110.77	$115.00	36.9%	11.4%	34.0%	72.9%	35.9%	7.1%	-0.5%	-25.5M	1.92B	-23.1M	2.09	2.32	N/A	N/A	60,278	126,119	596,103	736,251
2022-10-06	$108.14	$115.00	38.6%	10.5%	33.8%	79.6%	38.0%	7.0%	-0.6%	-44.8M	2.14B	-22.3M	1.12	5.31	N/A	N/A	41,326	46,130	608,144	722,089
2022-10-07	$105.82	$115.00	39.8%	11.2%	33.7%	84.4%	39.4%	8.1%	-0.9%	-56.8M	2.54B	-21.6M	1.13	5.17	N/A	N/A	46,111	52,242	619,579	732,565
2022-10-10	$105.29	$110.00	41.0%	11.4%	33.3%	89.2%	38.7%	7.9%	-0.9%	-42.6M	2.46B	-21.4M	1.09	4.33	N/A	N/A	42,322	46,099	599,158	706,920
2022-10-11	$102.23	$110.00	43.1%	12.3%	32.2%	97.5%	41.1%	8.3%	-0.3%	-49.5M	2.87B	-20.5M	1.08	5.54	N/A	N/A	47,342	51,137	611,821	721,406
2022-10-12	$104.08	$110.00	43.9%	12.0%	33.2%	100.0%	43.4%	8.0%	-2.1%	-39.5M	2.51B	-21.4M	1.07	3.62	N/A	N/A	49,509	52,930	627,973	726,307
2022-10-13	$109.29	$110.00	40.6%	11.3%	37.9%	87.4%	40.7%	7.9%	-1.6%	-15.2M	1.60B	-23.1M	1.07	8.33	N/A	N/A	99,152	106,213	645,185	732,715
2022-10-14	$111.79	$110.00	37.4%	10.8%	39.0%	74.5%	36.8%	6.1%	0.5%	-6.1M	953.2M	-23.9M	0.93	2.61	N/A	N/A	161,023	150,386	673,694	762,650
2022-10-17	$116.30	$110.00	35.6%	10.2%	41.6%	67.6%	36.3%	6.7%	-1.6%	18.2M	258.8M	-24.9M	0.95	1.97	N/A	N/A	80,315	76,492	643,509	755,610
2022-10-18	$119.18	$110.00	34.0%	9.7%	42.3%	61.1%	34.3%	6.6%	-0.6%	47.3M	-506.0M	-25.9M	1.02	2.16	N/A	N/A	73,511	74,841	670,959	770,129
2022-10-19	$116.09	$110.00	35.4%	10.2%	42.0%	66.7%	39.8%	6.3%	-1.4%	17.7M	283.7M	-25.5M	1.53	2.43	N/A	N/A	40,627	62,345	679,518	786,586
2022-10-20	$115.98	$105.00	34.2%	9.8%	41.9%	61.8%	35.8%	6.1%	-1.4%	10.9M	274.1M	-25.4M	1.19	1.94	N/A	N/A	36,853	43,815	687,606	799,060
2022-10-21	$122.18	$110.00	34.1%	10.0%	43.9%	61.4%	34.8%	5.7%	-2.1%	103.1M	-1.36B	-26.2M	0.95	2.80	N/A	N/A	77,525	74,014	693,608	800,351
2022-10-24	$122.67	$110.00	32.6%	9.6%	43.0%	55.0%	33.5%	5.4%	0.1%	35.8M	-807.6M	-26.1M	0.85	3.01	N/A	N/A	56,937	48,469	592,036	712,853
2022-10-25	$122.90	$110.00	30.9%	9.3%	42.4%	48.4%	32.6%	4.9%	0.0%	47.2M	-924.8M	-26.0M	1.05	2.91	N/A	N/A	38,419	40,203	618,241	728,558
2022-10-26	$124.25	$110.00	30.0%	9.0%	41.8%	44.5%	31.2%	5.0%	0.2%	58.4M	-1.21B	-26.3M	0.79	3.19	N/A	N/A	51,085	40,609	632,462	739,691
2022-10-27	$124.51	$110.00	29.1%	8.7%	40.6%	40.0%	29.3%	4.6%	-0.0%	56.5M	-1.25B	-26.5M	0.65	3.32	N/A	N/A	58,034	37,995	646,215	749,307
2022-10-28	$126.11	$113.00	28.1%	8.4%	39.8%	36.0%	30.0%	4.8%	0.2%	112.5M	-1.71B	-26.0M	1.01	2.72	N/A	N/A	40,665	40,971	672,924	757,210
2022-10-31	$126.48	$115.00	28.6%	8.6%	39.5%	37.8%	30.1%	4.3%	0.3%	67.6M	-1.54B	-26.2M	0.77	3.16	N/A	N/A	44,418	34,132	655,980	731,998