JPM Options History — March 2023 In March 2023, JPM traded between $124.98 and $143.41. ATM implied volatility averaged 30.5%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.1% (HV 20d: 30.5%). Max pain ranged from $133.00 to $140.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.92.
Notable Days 2023-03-10 : Highest Volume — 414,758 contracts2023-03-09 : Largest IV spike — 31.3% change2023-03-17 : Highest IV Rank — 89.6%2023-03-17 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $132.32 $124.98 $143.41 $142.63 $130.05 Max Pain $136.00 $133.00 $140.00 $135.00 $133.00 ATM IV 30.5% 20.6% 41.3% 21.7% 27.4% Expected Move 8.7% 5.5% 11.6% 6.1% 8.1% HV 20d 30.5% 17.3% 39.2% 17.3% 38.8% HV 60d 23.4% 17.3% 27.3% 18.3% 27.3% IV Rank 45.6% 5.3% 89.6% 9.8% 33.1% IV Percentile 56.8% 3.2% 99.2% 6.7% 34.9% Term Structure -0.0% -3.1% 2.1% 0.9% 0.2% VWIV 30.5% 19.4% 38.8% 21.8% 28.3% Skew 25d 7.5% 4.1% 11.3% 4.7% 5.9% Skew 10d 15.1% 7.6% 24.0% 9.6% 11.1% Call IV 25d 27.2% 18.2% 36.9% 19.6% 25.1% Put IV 25d 34.7% 22.3% 48.2% 24.3% 30.9% Bid-Ask Spread % 2.98 1.90 5.82 2.26 2.65 Gamma HHI 0.08 0.06 0.23 0.11 0.23 Net GEX 20.7M -73.2M 154.3M 73.5M 154.3M Net DEX -160.0M -2.51B 1.37B -2.21B -139.6M Net VEX -25.8M -27.5M -23.5M -24.4M -26.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.57 1.54 1.12 0.61 Total Volume 147,123.435 45,585 414,758 45,585 102,767 Total OI 1,356,081.391 1,216,698 1,574,129 1,216,698 1,452,029
Daily Data (23 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 2023-03-01 $142.63 $135.00 21.7% 6.1% 17.3% 9.8% 21.8% 4.7% 0.9% 73.5M -2.21B -24.4M 1.12 2.26 N/A N/A 21,512 24,073 553,328 663,370 2023-03-02 $141.36 $135.00 22.3% 6.3% 17.4% 12.3% 22.3% 4.9% 1.0% 47.8M -1.86B -24.5M 1.54 1.95 N/A N/A 22,519 34,593 559,378 665,083 2023-03-03 $143.41 $135.00 20.6% 5.5% 17.6% 5.3% 19.4% 4.1% 1.1% 112.6M -2.51B -23.7M 0.99 3.07 N/A N/A 34,939 34,572 563,302 671,755 2023-03-06 $143.01 $140.00 21.4% 6.4% 17.3% 8.5% 23.8% 4.4% 2.1% 84.0M -2.31B -23.5M 0.93 1.90 N/A N/A 26,239 24,454 555,971 665,692 2023-03-07 $138.88 $140.00 24.1% 7.2% 19.8% 19.5% 25.9% 5.3% 1.6% 10.9M -1.17B -23.7M 1.14 2.22 N/A N/A 42,061 47,942 564,172 674,515 2023-03-08 $137.68 $140.00 24.1% 7.0% 19.4% 19.6% 25.2% 5.0% 1.8% -9.0M -874.8M -23.7M 0.98 2.15 N/A N/A 40,324 39,669 574,077 688,077 2023-03-09 $130.21 $140.00 31.6% 9.0% 27.2% 50.3% 30.7% 7.2% 0.4% -41.1M 836.7M -24.0M 1.15 2.56 N/A N/A 122,761 141,332 587,044 694,053 2023-03-10 $133.01 $140.00 33.8% 9.2% 28.2% 58.9% 32.1% 8.3% 0.5% 1.5M -6.6M -25.3M 0.86 3.42 N/A N/A 222,468 192,290 627,694 712,732 2023-03-13 $131.76 $140.00 36.3% 10.4% 28.2% 69.1% 35.8% 10.0% -0.2% -7.7M 206.0M -25.8M 1.13 5.82 N/A N/A 120,925 136,750 639,503 730,063 2023-03-14 $133.91 $135.00 32.6% 8.8% 28.6% 54.1% 31.2% 8.3% -1.9% 23.9M -453.4M -25.8M 0.60 3.31 N/A N/A 102,035 61,304 677,132 746,473 2023-03-15 $127.96 $135.00 40.0% 10.6% 32.0% 84.4% 37.2% 11.3% -3.1% -25.0M 1.11B -25.8M 1.13 3.77 N/A N/A 122,871 138,868 710,386 755,924 2023-03-16 $130.90 $135.00 33.4% 9.4% 33.5% 57.6% 33.2% 9.4% -0.8% 14.1M 124.2M -26.4M 0.67 3.25 N/A N/A 115,118 77,258 754,635 776,762 2023-03-17 $125.91 $135.00 41.3% 11.6% 35.6% 89.6% 38.8% 11.3% -1.0% -39.4M 1.37B -26.9M 1.04 3.15 N/A N/A 113,666 117,757 782,001 792,128 2023-03-20 $126.93 $135.00 35.2% 10.0% 35.8% 64.6% 33.5% 9.8% -1.2% -1.3M 759.1M -26.8M 0.60 2.31 N/A N/A 95,753 57,013 636,089 658,166 2023-03-21 $130.73 $135.00 30.9% 8.8% 37.5% 47.2% 31.0% 8.0% -0.1% 36.1M -136.8M -27.1M 0.74 2.71 N/A N/A 74,038 54,839 657,909 676,264 2023-03-22 $127.92 $135.00 32.0% 9.2% 37.9% 51.7% 31.7% 7.8% -0.4% 1.4M 622.4M -26.8M 0.57 4.66 N/A N/A 70,340 39,850 664,170 687,240 2023-03-23 $126.91 $135.00 36.2% 10.4% 37.3% 68.8% 38.2% 10.1% -0.5% -4.1M 792.0M -27.5M 1.12 3.95 N/A N/A 63,562 71,358 690,780 694,404 2023-03-24 $124.98 $135.00 35.2% 10.1% 37.2% 64.9% 36.1% 9.1% -0.2% -73.2M 1.30B -26.9M 0.99 3.40 N/A N/A 89,405 88,394 702,964 712,119 2023-03-27 $129.03 $135.00 31.4% 9.1% 39.2% 49.5% 32.6% 7.5% -0.1% 27.6M 168.9M -27.5M 0.59 2.45 N/A N/A 80,056 47,004 670,544 681,258 2023-03-28 $128.54 $134.00 31.2% 9.1% 38.9% 48.4% 32.1% 7.4% -0.1% 26.7M 254.9M -27.5M 0.73 2.87 N/A N/A 35,877 26,363 691,032 697,314 2023-03-29 $129.13 $133.00 29.2% 8.5% 39.1% 40.4% 28.4% 6.8% -0.1% 35.9M 135.0M -27.0M 0.88 2.27 N/A N/A 52,728 46,380 695,451 706,296 2023-03-30 $128.61 $133.00 29.2% 8.6% 39.0% 40.3% 31.3% 6.7% -0.0% 27.5M 302.6M -27.0M 1.16 2.41 N/A N/A 50,833 58,979 712,239 718,354 2023-03-31 $130.05 $133.00 27.4% 8.1% 38.8% 33.1% 28.3% 5.9% 0.2% 154.3M -139.6M -26.8M 0.61 2.65 N/A N/A 63,671 39,096 718,187 733,842
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