JPM Options History — November 2022 In November 2022, JPM traded between $127.43 and $137.44. ATM implied volatility averaged 26.3%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.3% (HV 20d: 27.6%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.29.
Notable Days 2022-11-04 : Highest Volume — 125,155 contracts2022-11-28 : Largest IV spike — 10.7% change2022-11-09 : Highest IV Rank — 39.9%2022-11-03 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $133.01 $127.43 $137.44 $128.02 $137.44 Max Pain $120.48 $115.00 $125.00 $115.00 $125.00 ATM IV 26.3% 22.7% 29.5% 28.3% 23.2% Expected Move 7.7% 6.5% 8.7% 8.6% 7.2% HV 20d 27.6% 20.2% 37.4% 37.4% 22.6% HV 60d 31.9% 31.4% 32.8% 32.0% 31.9% IV Rank 25.2% 8.6% 39.9% 35.5% 10.4% IV Percentile 29.1% 4.0% 55.2% 48.0% 5.2% Term Structure 0.5% -0.7% 2.0% 0.1% 1.1% VWIV 28.4% 23.2% 31.7% 30.1% 25.9% Skew 25d 4.7% 3.8% 5.4% 4.3% 4.4% Skew 10d 9.5% 7.3% 11.3% 8.7% 8.7% Call IV 25d 24.2% 20.8% 27.2% 26.4% 20.9% Put IV 25d 28.9% 25.3% 32.0% 30.7% 25.3% Bid-Ask Spread % 2.22 1.50 3.42 3.07 2.48 Gamma HHI 0.13 0.09 0.21 0.11 0.09 Net GEX 90.8M 43.1M 148.8M 84.4M 77.5M Net DEX -2.46B -3.68B -1.70B -1.88B -2.71B Net VEX -26.1M -26.7M -25.3M -26.5M -25.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.29 0.73 1.72 1.32 1.72 Total Volume 83,012.286 36,258 125,155 70,712 104,018 Total OI 1,458,556.286 1,364,913 1,562,083 1,411,351 1,443,647
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 2022-11-01 $128.02 $115.00 28.3% 8.6% 37.4% 35.5% 30.1% 4.3% 0.1% 84.4M -1.88B -26.5M 1.32 3.07 N/A N/A 30,481 40,231 671,382 739,969 2022-11-02 $127.67 $115.00 28.3% 8.5% 36.8% 34.7% 29.9% 4.0% 0.1% 82.5M -1.83B -26.5M 1.53 3.17 N/A N/A 33,198 50,795 678,860 751,743 2022-11-03 $127.43 $115.00 28.8% 8.7% 35.1% 36.9% 31.2% 4.2% 0.1% 75.9M -1.76B -26.6M 1.19 2.36 N/A N/A 37,424 44,506 686,533 764,780 2022-11-04 $130.60 $115.00 27.3% 8.2% 33.7% 30.4% 30.4% 3.8% 0.4% 95.7M -2.62B -26.7M 1.19 2.37 N/A N/A 57,173 67,982 696,368 773,649 2022-11-07 $131.31 $115.00 28.2% 8.5% 33.2% 34.2% 29.8% 4.0% 1.3% 102.5M -2.55B -26.5M 1.53 2.12 N/A N/A 26,969 41,213 681,457 760,843 2022-11-08 $131.77 $120.00 28.3% 8.6% 29.8% 34.8% 31.3% 4.4% 1.5% 103.3M -2.56B -26.7M 0.89 2.09 N/A N/A 35,382 31,645 686,457 774,127 2022-11-09 $129.40 $120.00 29.5% 8.7% 31.6% 39.9% 31.7% 4.9% 0.7% 85.3M -1.93B -26.7M 1.32 2.38 N/A N/A 26,117 34,360 692,789 783,061 2022-11-10 $134.70 $120.00 26.6% 8.0% 30.4% 27.3% 30.1% 4.6% 1.6% 141.1M -3.39B -26.0M 1.21 2.04 N/A N/A 53,518 64,674 696,523 788,034 2022-11-11 $135.76 $120.00 25.9% 7.8% 30.0% 24.3% 28.3% 4.4% 2.0% 148.8M -3.68B -25.6M 1.21 1.74 N/A N/A 49,699 60,345 703,369 809,410 2022-11-14 $134.47 $120.00 26.7% 7.8% 28.6% 28.0% 29.8% 5.2% -0.3% 125.5M -3.10B -25.7M 1.40 2.06 N/A N/A 26,801 37,474 689,605 798,949 2022-11-15 $132.87 $120.00 26.1% 7.5% 28.6% 25.4% 28.4% 5.4% 0.8% 108.0M -2.57B -26.1M 1.57 1.97 N/A N/A 36,798 57,729 696,185 812,703 2022-11-16 $133.14 $120.00 26.1% 7.5% 26.1% 25.2% 28.5% 5.3% 0.9% 125.7M -2.66B -25.9M 1.42 1.93 N/A N/A 50,122 71,119 701,939 820,645 2022-11-17 $132.41 $125.00 27.4% 7.9% 26.3% 30.6% 27.5% 5.1% -0.7% 92.7M -2.29B -26.2M 0.98 1.50 N/A N/A 39,768 39,119 707,093 840,072 2022-11-18 $133.87 $120.00 25.5% 7.3% 20.2% 21.4% 28.4% 4.9% 0.6% 51.5M -2.73B -26.0M 0.73 1.73 N/A N/A 46,889 34,030 716,096 845,987 2022-11-21 $133.01 $120.00 25.8% 7.3% 20.6% 21.7% 27.0% 5.1% -0.5% 43.1M -1.70B -25.6M 1.54 2.01 N/A N/A 26,317 40,413 605,137 759,776 2022-11-22 $135.14 $125.00 24.1% 6.8% 21.0% 14.7% 25.5% 5.1% -0.6% 68.2M -2.20B -25.8M 1.22 2.01 N/A N/A 39,304 47,913 613,045 774,753 2022-11-23 $136.23 $125.00 22.9% 6.5% 20.9% 9.4% 24.6% 4.5% -0.3% 84.0M -2.45B -25.7M 1.46 2.40 N/A N/A 34,870 50,862 623,236 792,360 2022-11-25 $137.09 $125.00 22.7% 6.5% 20.9% 8.6% 23.2% 4.5% -0.4% 96.7M -2.72B -25.3M 1.28 1.91 N/A N/A 15,901 20,357 631,514 796,579 2022-11-28 $134.44 $125.00 25.2% 7.6% 22.4% 19.2% 26.9% 5.2% 0.9% 48.0M -1.88B -25.8M 1.19 1.96 N/A N/A 32,402 38,414 619,670 781,640 2022-11-29 $136.41 $125.00 24.4% 7.4% 22.7% 16.0% 27.1% 4.9% 0.4% 66.3M -2.40B -25.9M 1.28 3.42 N/A N/A 29,336 37,590 630,659 789,038 2022-11-30 $137.44 $125.00 23.2% 7.2% 22.6% 10.4% 25.9% 4.4% 1.1% 77.5M -2.71B -25.9M 1.72 2.48 N/A N/A 38,197 65,821 641,168 802,479
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