JPM Options History — December 2022

In December 2022, JPM traded between $129.56 and $136.46. ATM implied volatility averaged 27.8%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.3% (HV 20d: 20.5%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2022-12-06: Highest Volume — 140,890 contracts
2022-12-05: Largest IV spike — 13.9% change
2022-12-12: Highest IV Rank — 41.2%
2022-12-07: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$132.26	$129.56	$136.46	$136.46	$133.94
Max Pain	$129.52	$125.00	$130.00	$125.00	$130.00
ATM IV	27.8%	22.8%	30.3%	23.5%	29.0%
Expected Move	8.2%	7.0%	8.9%	7.4%	8.5%
HV 20d	20.5%	17.9%	24.6%	22.8%	17.9%
HV 60d	30.3%	27.1%	32.3%	31.8%	27.1%
IV Rank	30.7%	8.7%	41.2%	12.0%	35.7%
IV Percentile	41.4%	4.4%	59.1%	8.7%	49.6%
Term Structure	0.7%	-1.2%	3.1%	1.0%	0.3%
VWIV	29.4%	25.0%	31.7%	25.8%	30.9%
Skew 25d	5.1%	3.8%	5.8%	4.4%	5.0%
Skew 10d	9.3%	7.6%	10.7%	8.6%	9.5%
Call IV 25d	25.6%	20.5%	28.4%	21.3%	26.9%
Put IV 25d	30.7%	24.3%	34.3%	25.6%	31.9%
Bid-Ask Spread %	2.18	1.75	2.93	2.52	2.40
Gamma HHI	0.08	0.06	0.14	0.09	0.08
Net GEX	27.6M	-9.8M	72.9M	67.4M	59.2M
Net DEX	-1.10B	-2.47B	-202.3M	-2.47B	-1.49B
Net VEX	-25.7M	-26.8M	-24.7M	-26.0M	-24.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.70	1.70	1.70	0.76
Total Volume	72,197.571	35,852	140,890	67,576	68,574
Total OI	1,476,795.19	1,326,830	1,576,748	1,469,665	1,476,429

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
2022-12-01	$136.46	$125.00	23.5%	7.4%	22.8%	12.0%	25.8%	4.4%	1.0%	67.4M	-2.47B	-26.0M	1.70	2.52	N/A	N/A	25,025	42,551	654,126	815,539
2022-12-02	$135.05	$125.00	22.8%	7.0%	23.2%	8.7%	25.0%	3.8%	1.1%	46.7M	-2.02B	-26.1M	1.29	2.36	N/A	N/A	32,773	42,333	661,603	823,974
2022-12-05	$131.02	$130.00	25.9%	8.3%	24.6%	22.4%	30.7%	5.2%	3.0%	13.4M	-841.3M	-25.8M	1.34	2.39	N/A	N/A	46,967	63,002	647,429	811,982
2022-12-06	$131.44	$130.00	27.5%	8.7%	24.5%	29.4%	31.5%	5.5%	2.9%	19.7M	-1.02B	-26.3M	1.20	2.33	N/A	N/A	64,165	76,725	660,237	816,275
2022-12-07	$131.44	$130.00	28.6%	8.9%	24.5%	33.9%	31.7%	5.7%	2.7%	20.0M	-1.01B	-26.8M	1.07	1.80	N/A	N/A	45,330	48,711	673,039	833,534
2022-12-08	$132.53	$130.00	27.7%	8.3%	23.7%	29.9%	31.4%	5.5%	2.8%	35.1M	-1.37B	-26.5M	1.30	2.66	N/A	N/A	25,275	32,863	686,660	844,906
2022-12-09	$132.37	$130.00	28.6%	8.7%	18.7%	33.9%	31.0%	5.5%	3.1%	31.5M	-1.34B	-26.6M	0.98	1.75	N/A	N/A	29,766	29,297	695,275	852,942
2022-12-12	$134.34	$130.00	30.3%	8.5%	19.3%	41.2%	30.2%	5.8%	-1.0%	63.6M	-1.94B	-26.2M	0.95	1.76	N/A	N/A	33,350	31,521	682,256	832,193
2022-12-13	$134.39	$130.00	28.6%	8.0%	19.0%	34.2%	29.5%	5.7%	-1.2%	72.9M	-1.92B	-26.0M	0.99	1.87	N/A	N/A	32,076	31,822	689,084	837,731
2022-12-14	$133.20	$130.00	28.3%	7.8%	18.8%	32.6%	28.2%	5.2%	-1.2%	65.6M	-1.57B	-25.6M	1.03	2.85	N/A	N/A	31,665	32,514	698,832	847,518
2022-12-15	$130.25	$130.00	29.5%	8.3%	20.4%	38.1%	29.8%	5.2%	-0.5%	-5.5M	-544.2M	-25.5M	1.03	1.83	N/A	N/A	47,239	48,770	706,510	856,423
2022-12-16	$129.56	$130.00	28.7%	8.1%	20.4%	34.4%	30.0%	5.2%	-0.4%	-6.6M	-250.2M	-25.5M	1.22	1.94	N/A	N/A	33,719	41,092	712,336	864,412
2022-12-19	$129.78	$130.00	28.7%	8.2%	19.9%	34.7%	28.7%	5.2%	-0.1%	-8.1M	-202.3M	-24.9M	0.70	2.14	N/A	N/A	46,764	32,721	577,951	748,879
2022-12-20	$131.19	$130.00	27.6%	7.9%	20.3%	29.5%	28.0%	4.8%	-0.1%	8.6M	-565.6M	-25.0M	1.32	1.92	N/A	N/A	41,753	54,997	604,809	764,610
2022-12-21	$131.94	$130.00	26.6%	7.6%	19.5%	25.4%	27.0%	4.7%	0.1%	17.4M	-787.5M	-25.3M	1.25	1.78	N/A	N/A	23,995	29,944	624,670	794,783
2022-12-22	$130.16	$130.00	28.8%	8.2%	19.6%	34.7%	29.2%	4.8%	0.1%	-9.8M	-240.2M	-25.9M	1.23	2.54	N/A	N/A	30,226	37,324	632,656	801,192
2022-12-23	$131.04	$130.00	27.5%	7.9%	19.7%	29.3%	29.3%	4.5%	0.2%	1.3M	-532.9M	-25.5M	0.92	2.10	N/A	N/A	26,655	24,470	642,283	807,737
2022-12-27	$131.74	$130.00	28.0%	8.1%	18.7%	31.4%	29.5%	4.8%	0.5%	21.5M	-792.1M	-24.8M	1.00	1.93	N/A	N/A	19,474	19,508	631,461	793,014
2022-12-28	$132.47	$130.00	29.7%	8.7%	18.0%	38.9%	30.6%	5.0%	0.2%	27.0M	-978.3M	-25.2M	1.30	2.93	N/A	N/A	24,093	31,248	639,702	802,776
2022-12-29	$133.25	$130.00	28.7%	8.3%	17.9%	34.3%	28.4%	4.9%	0.3%	39.6M	-1.22B	-24.7M	0.80	1.95	N/A	N/A	19,865	15,987	649,750	815,181
2022-12-30	$133.94	$130.00	29.0%	8.5%	17.9%	35.7%	30.9%	5.0%	0.3%	59.2M	-1.49B	-24.8M	0.76	2.40	N/A	N/A	38,855	29,719	658,755	817,674