JPM Options History — February 2023 In February 2023, JPM traded between $137.84 and $143.68. ATM implied volatility averaged 21.6%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.1% (HV 20d: 18.5%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.95.
Notable Days 2023-02-03 : Highest Volume — 94,919 contracts2023-02-16 : Largest IV spike — 12.4% change2023-02-22 : Highest IV Rank — 20.1%2023-02-22 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $141.44 $137.84 $143.68 $140.31 $143.50 Max Pain $130.79 $130.00 $135.00 $135.00 $135.00 ATM IV 21.6% 19.5% 24.2% 19.8% 21.6% Expected Move 6.2% 5.6% 6.9% 6.0% 6.1% HV 20d 18.5% 14.8% 21.5% 20.4% 17.1% HV 60d 18.9% 18.2% 20.3% 20.3% 18.4% IV Rank 9.4% 0.8% 20.1% 2.1% 9.7% IV Percentile 5.4% 0.4% 14.3% 0.4% 6.3% Term Structure 0.3% -0.4% 1.2% 0.2% 0.8% VWIV 22.4% 20.7% 28.6% 21.0% 21.5% Skew 25d 4.6% 4.1% 5.6% 4.1% 4.5% Skew 10d 9.2% 7.9% 11.6% 8.2% 8.7% Call IV 25d 19.4% 17.7% 21.7% 17.7% 19.3% Put IV 25d 24.1% 21.8% 27.3% 21.8% 23.8% Bid-Ask Spread % 1.93 1.52 3.18 3.18 2.30 Gamma HHI 0.10 0.07 0.13 0.10 0.12 Net GEX 89.2M 11.3M 143.7M 96.0M 87.9M Net DEX -2.15B -2.92B -1.04B -2.10B -2.42B Net VEX -24.3M -25.1M -23.5M -23.8M -24.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.55 2.09 0.82 0.55 Total Volume 58,675.105 42,596 94,919 56,285 48,017 Total OI 1,192,301.579 1,128,119 1,254,570 1,159,977 1,189,048
Daily Data (19 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 2023-02-01 $140.31 $135.00 19.8% 6.0% 20.4% 2.1% 21.0% 4.1% 0.2% 96.0M -2.10B -23.8M 0.82 3.18 N/A N/A 30,966 25,319 518,615 641,362 2023-02-02 $138.76 $130.00 20.6% 5.9% 20.8% 5.2% 21.5% 4.4% 0.2% 68.9M -1.65B -24.1M 0.78 1.80 N/A N/A 32,759 25,442 522,029 651,184 2023-02-03 $140.31 $130.00 20.8% 6.2% 21.0% 6.4% 21.9% 4.2% 0.1% 103.1M -2.04B -24.7M 0.64 2.05 N/A N/A 57,991 36,928 527,765 658,051 2023-02-06 $142.00 $130.00 20.8% 6.3% 20.3% 6.3% 21.6% 4.5% 1.2% 102.4M -2.37B -24.7M 0.76 1.79 N/A N/A 28,031 21,404 518,434 650,264 2023-02-07 $143.66 $130.00 20.4% 5.9% 20.4% 4.5% 21.5% 4.2% 0.1% 133.6M -2.92B -23.8M 0.82 2.21 N/A N/A 41,834 34,232 530,647 659,506 2023-02-08 $142.79 $130.00 21.4% 6.0% 20.5% 8.5% 21.5% 4.3% -0.4% 112.0M -2.60B -24.7M 0.58 1.90 N/A N/A 33,558 19,627 536,805 671,457 2023-02-09 $140.34 $130.00 23.0% 6.7% 21.4% 15.2% 23.4% 4.7% 0.5% 73.1M -1.94B -25.1M 0.69 1.98 N/A N/A 30,811 21,229 542,441 675,708 2023-02-10 $141.06 $130.00 22.7% 6.7% 21.5% 13.9% 28.6% 4.6% 0.8% 98.9M -2.13B -25.0M 2.09 1.96 N/A N/A 20,864 43,601 547,295 678,106 2023-02-13 $142.53 $130.00 21.2% 6.1% 19.7% 7.9% 23.0% 4.8% 1.2% 109.0M -2.45B -24.7M 0.82 1.59 N/A N/A 25,859 21,147 531,426 669,180 2023-02-14 $143.49 $130.00 19.9% 5.7% 19.2% 2.5% 20.7% 4.4% 1.2% 136.3M -2.75B -23.9M 1.04 1.55 N/A N/A 24,080 24,999 539,002 676,392 2023-02-15 $143.68 $130.00 19.5% 5.6% 14.9% 0.8% 21.3% 4.3% 1.1% 143.7M -2.83B -23.5M 1.25 1.59 N/A N/A 18,937 23,659 544,591 686,087 2023-02-16 $141.91 $130.00 21.9% 6.3% 14.8% 10.5% 22.0% 4.5% -0.3% 101.0M -2.29B -24.0M 1.30 1.52 N/A N/A 21,681 28,222 549,891 692,680 2023-02-17 $142.37 $130.00 21.8% 6.3% 14.8% 10.1% 22.6% 4.7% -0.3% 72.8M -2.40B -24.2M 1.34 1.57 N/A N/A 35,084 46,854 554,223 700,347 2023-02-21 $139.74 $130.00 23.8% 6.7% 15.8% 18.3% 24.1% 5.6% -0.1% 37.3M -1.43B -24.4M 1.00 1.95 N/A N/A 23,987 23,931 505,930 622,189 2023-02-22 $137.84 $130.00 24.2% 6.9% 16.5% 20.1% 22.8% 5.6% -0.2% 11.3M -1.04B -24.4M 0.95 1.86 N/A N/A 27,961 26,536 515,270 629,956 2023-02-23 $139.81 $130.00 22.1% 6.2% 17.1% 11.6% 22.9% 5.0% -0.0% 43.0M -1.51B -24.3M 0.78 1.87 N/A N/A 32,389 25,375 525,987 639,135 2023-02-24 $140.86 $130.00 22.4% 6.3% 17.2% 12.9% 22.4% 5.0% -0.4% 93.4M -1.81B -24.4M 0.98 1.95 N/A N/A 39,564 38,803 537,946 644,313 2023-02-27 $142.41 $135.00 22.1% 6.2% 17.4% 11.3% 21.6% 4.7% 0.8% 70.8M -2.11B -24.4M 0.86 2.00 N/A N/A 28,602 24,544 523,385 647,083 2023-02-28 $143.50 $135.00 21.6% 6.1% 17.1% 9.7% 21.5% 4.5% 0.8% 87.9M -2.42B -24.1M 0.55 2.30 N/A N/A 30,892 17,125 534,795 654,253
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