JPM Options History — May 2023 In May 2023, JPM traded between $133.64 and $141.30. ATM implied volatility averaged 23.0%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.9% (HV 20d: 26.9%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.76.
Notable Days 2023-05-01 : Highest Volume — 173,329 contracts2023-05-02 : Largest IV spike — 17.8% change2023-05-04 : Highest IV Rank — 42.3%2023-05-04 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $136.77 $133.64 $141.30 $141.30 $135.80 Max Pain $134.77 $130.00 $140.00 $140.00 $135.00 ATM IV 23.0% 19.6% 28.9% 19.6% 21.8% Expected Move 6.7% 5.5% 8.2% 5.5% 6.2% HV 20d 26.9% 19.0% 34.5% 31.9% 19.0% HV 60d 31.2% 30.8% 31.5% 30.8% 31.2% IV Rank 19.6% 6.4% 42.3% 6.4% 14.7% IV Percentile 19.1% 3.6% 54.0% 3.6% 14.3% Term Structure 0.4% -0.2% 1.9% 0.4% 0.4% VWIV 23.7% 20.0% 31.7% 20.0% 22.9% Skew 25d 6.7% 4.7% 9.5% 4.7% 6.1% Skew 10d 13.0% 8.8% 19.3% 8.8% 11.5% Call IV 25d 20.2% 17.2% 24.8% 17.2% 19.3% Put IV 25d 26.8% 21.9% 34.3% 21.9% 25.4% Bid-Ask Spread % 2.13 1.40 3.00 2.26 2.83 Gamma HHI 0.08 0.06 0.13 0.11 0.08 Net GEX 66.1M -3.6M 157.3M 150.5M 34.5M Net DEX -1.00B -2.47B 62.9M -2.47B -762.3M Net VEX -26.5M -28.5M -24.4M -27.1M -24.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.48 1.17 0.62 0.71 Total Volume 79,837.818 37,147 173,329 173,329 62,798 Total OI 1,425,154.091 1,337,898 1,486,251 1,364,890 1,382,169
Daily Data (22 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 2023-05-01 $141.30 $140.00 19.6% 5.5% 31.9% 6.4% 20.0% 4.7% 0.4% 150.5M -2.47B -27.1M 0.62 2.26 N/A N/A 106,777 66,552 640,598 724,292 2023-05-02 $138.82 $140.00 23.1% 6.5% 32.8% 19.8% 23.7% 6.0% 0.0% 95.4M -1.54B -28.4M 1.17 2.92 N/A N/A 56,428 66,197 675,852 744,726 2023-05-03 $136.06 $140.00 25.5% 7.2% 33.2% 29.0% 23.9% 6.9% -0.2% 39.7M -675.9M -28.3M 0.56 2.48 N/A N/A 60,116 33,667 685,679 748,308 2023-05-04 $133.91 $130.00 28.9% 8.2% 33.8% 42.3% 31.7% 9.5% -0.1% 3.4M -5.6M -28.5M 1.13 2.60 N/A N/A 72,499 81,612 699,254 753,819 2023-05-05 $136.70 $130.00 24.1% 7.3% 34.3% 23.6% 24.6% 7.7% 0.3% 64.8M -910.4M -28.1M 0.69 1.92 N/A N/A 59,591 41,051 716,465 769,786 2023-05-08 $137.03 $130.00 23.7% 7.3% 34.3% 22.1% 25.8% 7.6% 1.9% 64.7M -1.01B -27.6M 0.88 1.79 N/A N/A 28,747 25,295 682,910 749,302 2023-05-09 $136.78 $130.00 24.2% 7.4% 34.3% 24.0% 24.1% 7.1% 1.4% 64.8M -977.2M -27.6M 0.76 1.54 N/A N/A 34,645 26,427 693,621 758,360 2023-05-10 $136.50 $135.00 24.0% 7.1% 34.4% 23.4% 24.2% 7.1% 0.7% 58.9M -883.8M -27.6M 0.78 1.80 N/A N/A 26,720 20,874 703,668 763,129 2023-05-11 $135.88 $135.00 24.2% 7.2% 34.5% 24.0% 25.4% 6.9% 1.0% 47.2M -685.5M -27.6M 0.91 1.72 N/A N/A 19,438 17,709 708,517 768,994 2023-05-12 $133.64 $135.00 23.8% 6.8% 22.3% 22.7% 25.2% 6.6% -0.2% -3.6M 62.9M -26.7M 0.87 1.42 N/A N/A 47,055 40,734 710,318 773,587 2023-05-15 $134.89 $135.00 22.7% 6.6% 22.5% 18.4% 22.8% 6.9% 0.2% 31.2M -410.6M -26.1M 0.48 2.23 N/A N/A 37,783 18,290 663,889 754,246 2023-05-16 $134.59 $135.00 22.9% 6.6% 21.5% 19.1% 23.4% 6.5% 0.0% 29.7M -380.0M -25.9M 0.65 1.40 N/A N/A 25,474 16,462 677,637 758,249 2023-05-17 $138.03 $135.00 20.9% 6.0% 23.7% 11.5% 23.5% 6.1% 1.1% 112.3M -1.56B -25.8M 0.56 2.11 N/A N/A 59,484 33,530 685,726 755,872 2023-05-18 $139.50 $135.00 20.8% 5.9% 24.0% 11.0% 20.6% 6.3% 0.7% 157.3M -2.09B -25.9M 0.57 2.32 N/A N/A 43,941 25,042 694,120 763,560 2023-05-19 $139.30 $135.00 21.9% 6.2% 24.0% 15.2% 24.0% 6.4% 0.7% 135.0M -1.88B -26.0M 0.81 1.80 N/A N/A 69,793 56,441 695,821 769,951 2023-05-22 $138.06 $135.00 21.7% 6.2% 24.1% 14.3% 21.4% 6.2% 0.0% 78.1M -1.36B -25.4M 0.61 3.00 N/A N/A 45,429 27,892 634,599 703,299 2023-05-23 $136.72 $135.00 22.2% 6.4% 23.2% 16.3% 21.5% 6.5% 0.1% 58.4M -980.8M -25.4M 0.75 2.44 N/A N/A 36,551 27,408 649,964 714,592 2023-05-24 $135.41 $135.00 24.6% 7.1% 22.1% 25.7% 25.4% 7.4% 0.0% 36.2M -592.9M -26.0M 0.86 2.05 N/A N/A 32,283 27,623 665,101 723,006 2023-05-25 $135.71 $135.00 23.0% 6.6% 21.3% 19.4% 22.9% 6.4% 0.3% 43.4M -704.2M -25.5M 0.49 2.16 N/A N/A 37,776 18,440 675,308 727,522 2023-05-26 $136.93 $135.00 21.6% 6.1% 21.5% 14.0% 21.6% 6.2% 0.2% 82.0M -1.08B -25.2M 0.70 2.12 N/A N/A 38,234 26,738 686,770 731,974 2023-05-30 $137.38 $135.00 21.6% 6.2% 19.5% 14.1% 21.8% 5.5% 0.4% 69.8M -1.20B -24.8M 1.08 2.02 N/A N/A 27,371 29,515 660,094 708,736 2023-05-31 $135.80 $135.00 21.8% 6.2% 19.0% 14.7% 22.9% 6.1% 0.4% 34.5M -762.3M -24.4M 0.71 2.83 N/A N/A 36,675 26,123 667,223 714,946
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