JPM Options History — January 2023

In January 2023, JPM traded between $134.91 and $143.00. ATM implied volatility averaged 24.3%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.6% (HV 20d: 17.7%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2023-01-13: Highest Volume — 303,815 contracts
  • 2023-01-13: Largest IV drop — 21.9% change
  • 2023-01-03: Highest IV Rank — 40.9%
  • 2023-01-03: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.07$134.91$143.00$134.97$139.20
Max Pain$134.50$130.00$135.00$130.00$135.00
ATM IV24.3%19.3%30.3%30.2%21.3%
Expected Move7.0%5.7%9.1%9.1%6.4%
HV 20d17.7%13.8%20.6%17.8%20.3%
HV 60d22.3%20.2%26.5%26.5%20.3%
IV Rank16.3%0.0%40.9%40.9%8.2%
IV Percentile18.0%0.0%59.1%58.3%1.6%
Term Structure-0.3%-1.2%0.4%-0.4%0.2%
VWIV25.1%20.2%31.9%31.9%22.6%
Skew 25d4.5%3.0%5.2%5.2%4.5%
Skew 10d9.0%5.3%10.6%10.0%9.3%
Call IV 25d22.1%17.4%28.2%28.2%19.0%
Put IV 25d26.7%21.2%33.4%33.4%23.5%
Bid-Ask Spread %1.891.542.231.862.11
Gamma HHI0.100.060.230.080.09
Net GEX75.9M15.3M188.1M44.4M68.0M
Net DEX-1.85B-3.56B-839.4M-1.63B-1.77B
Net VEX-23.2M-24.4M-21.2M-24.4M-23.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.222.511.010.69
Total Volume107,107.745,306303,81585,14745,306
Total OI1,357,167.051,061,2431,587,5821,443,1971,130,136

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$134.97$130.0030.2%9.1%17.8%40.9%31.9%5.2%-0.4%44.4M-1.63B-24.4M1.011.86N/AN/A42,45342,694640,822802,375
2023-01-04$135.72$130.0029.6%9.0%13.8%36.7%28.9%5.2%-0.2%61.0M-1.87B-24.0M0.222.17N/AN/A223,84348,462651,691811,162
2023-01-05$135.28$135.0030.3%8.5%13.9%40.0%29.9%5.2%-0.7%33.3M-1.13B-24.3M0.972.02N/AN/A28,00527,218604,312832,903
2023-01-06$138.00$135.0028.1%7.7%15.4%25.8%29.2%4.6%-0.4%98.1M-2.02B-23.5M1.411.73N/AN/A37,35552,833610,517836,612
2023-01-09$137.13$135.0028.6%8.3%15.5%28.5%29.1%4.8%0.4%60.3M-1.70B-23.9M1.681.86N/AN/A24,76441,502603,092821,177
2023-01-10$138.24$135.0028.3%7.9%15.6%27.0%31.6%5.1%-0.7%71.2M-1.98B-23.6M1.331.54N/AN/A25,56534,113612,170831,839
2023-01-11$139.26$135.0027.7%7.7%15.0%24.3%27.7%4.8%-0.8%78.6M-2.29B-23.2M2.511.89N/AN/A29,93675,161618,560846,043
2023-01-12$139.34$135.0025.4%7.1%15.0%13.2%25.9%4.0%-0.6%89.9M-2.30B-22.7M1.641.91N/AN/A57,19594,060625,841867,758
2023-01-13$143.00$135.0019.8%5.7%16.7%0.0%22.2%3.0%0.1%188.1M-3.56B-21.2M0.901.84N/AN/A159,596144,219652,490911,892
2023-01-17$141.05$135.0021.5%6.2%15.1%6.9%21.8%3.9%-0.7%115.4M-2.76B-21.5M1.021.83N/AN/A62,50863,589632,397884,456
2023-01-18$136.69$135.0023.3%6.7%19.5%14.3%23.2%4.3%-1.2%44.9M-1.36B-22.6M2.051.54N/AN/A56,701116,121643,928893,166
2023-01-19$134.91$135.0023.1%6.6%20.3%13.5%23.5%4.6%-0.4%15.3M-839.4M-22.9M1.021.62N/AN/A64,86465,998659,079897,745
2023-01-20$135.07$135.0022.2%6.4%20.0%10.0%21.9%4.5%-0.3%94.0M-1.03B-23.0M0.681.72N/AN/A58,56139,905678,352909,230
2023-01-23$137.18$135.0022.0%6.4%20.6%9.3%22.1%4.4%0.2%42.6M-1.37B-22.6M0.701.89N/AN/A51,65536,337453,555607,688
2023-01-24$138.03$135.0021.6%6.4%19.8%7.4%23.0%4.6%-0.2%62.8M-1.60B-23.1M1.251.77N/AN/A27,81634,886473,494620,607
2023-01-25$138.79$135.0021.2%6.3%19.7%5.7%22.0%4.5%-0.1%74.0M-1.75B-23.5M1.071.94N/AN/A23,07824,634481,491630,248
2023-01-26$139.64$135.0020.2%6.0%19.8%1.8%21.1%4.2%-0.1%95.0M-1.97B-23.3M0.792.07N/AN/A29,60523,306488,253633,255
2023-01-27$140.72$135.0019.3%5.7%19.8%0.0%20.2%4.2%0.1%115.2M-2.24B-23.2M1.232.23N/AN/A33,48541,321496,094643,461
2023-01-30$139.22$135.0022.1%6.7%20.4%11.6%23.9%4.9%0.0%66.3M-1.78B-23.6M1.012.23N/AN/A26,67626,828483,049622,401
2023-01-31$139.20$135.0021.3%6.4%20.3%8.2%22.6%4.5%0.2%68.0M-1.77B-23.6M0.692.11N/AN/A26,85018,456496,520633,616