JPM Options History — July 2023 In July 2023, JPM traded between $143.11 and $157.78. ATM implied volatility averaged 18.3%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.3% (HV 20d: 19.6%). Max pain ranged from $135.00 to $150.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.59.
Notable Days 2023-07-14 : Highest Volume — 397,329 contracts2023-07-14 : Largest IV drop — 20.7% change2023-07-10 : Highest IV Rank — 14.6%2023-07-05 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $151.69 $143.11 $157.78 $146.63 $157.43 Max Pain $143.40 $135.00 $150.00 $135.00 $150.00 ATM IV 18.3% 15.6% 21.6% 18.9% 16.3% Expected Move 5.2% 4.3% 6.0% 5.6% 4.5% HV 20d 19.6% 15.9% 21.6% 19.0% 15.9% HV 60d 21.2% 18.1% 25.0% 24.5% 18.1% IV Rank 5.0% 0.0% 14.6% 3.9% 2.3% IV Percentile 6.5% 0.0% 23.0% 3.6% 0.4% Term Structure -0.2% -1.2% 1.0% -0.2% 0.2% VWIV 18.7% 15.8% 22.9% 19.8% 16.2% Skew 25d 2.5% 1.9% 3.5% 2.7% 2.7% Skew 10d 4.9% 3.1% 7.0% 4.6% 5.6% Call IV 25d 17.5% 14.7% 20.9% 18.0% 15.2% Put IV 25d 20.0% 17.1% 23.5% 20.7% 17.9% Bid-Ask Spread % 2.19 1.77 3.05 2.75 2.21 Gamma HHI 0.16 0.10 0.23 0.13 0.18 Net GEX 271.4M 120.2M 410.6M 289.5M 189.6M Net DEX -4.14B -5.88B -1.90B -3.63B -4.42B Net VEX -24.3M -25.7M -23.0M -24.5M -23.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.18 1.09 0.18 1.05 Total Volume 131,226.15 46,865 397,329 201,301 70,757 Total OI 1,344,986.85 1,231,901 1,479,969 1,312,011 1,245,525
Daily Data (20 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 2023-07-03 $146.63 $135.00 18.9% 5.6% 19.0% 3.9% 19.8% 2.7% -0.2% 289.5M -3.63B -24.5M 0.18 2.75 N/A N/A 171,005 30,296 689,122 622,889 2023-07-05 $144.61 $140.00 19.6% 6.0% 19.1% 6.8% 22.9% 2.7% -0.4% 188.3M -2.41B -24.7M 0.68 2.15 N/A N/A 60,647 41,350 652,787 630,771 2023-07-06 $143.11 $140.00 21.2% 5.7% 19.6% 12.8% 21.8% 3.5% -0.5% 120.2M -1.90B -25.4M 0.94 2.17 N/A N/A 50,251 47,112 673,219 644,274 2023-07-07 $144.76 $140.00 20.5% 5.7% 19.5% 10.0% 21.1% 2.6% -0.3% 250.9M -2.56B -25.7M 0.58 1.87 N/A N/A 60,595 35,092 686,364 658,562 2023-07-10 $145.01 $140.00 21.6% 6.0% 19.5% 14.6% 20.5% 3.1% -0.3% 189.4M -2.65B -24.8M 0.41 2.01 N/A N/A 50,547 20,808 666,427 641,447 2023-07-11 $147.56 $140.00 21.2% 5.8% 20.3% 12.8% 20.7% 2.7% -1.0% 239.1M -3.45B -25.4M 0.52 1.77 N/A N/A 66,492 34,726 682,045 648,684 2023-07-12 $148.06 $140.00 20.9% 5.7% 20.3% 11.8% 20.6% 2.3% -1.2% 247.5M -3.65B -25.1M 0.40 2.18 N/A N/A 93,425 37,413 693,049 659,121 2023-07-13 $149.01 $140.00 21.3% 5.9% 20.3% 13.2% 21.4% 2.1% -1.0% 263.4M -3.98B -24.9M 0.41 2.51 N/A N/A 177,869 73,237 708,187 670,938 2023-07-14 $149.51 $140.00 16.9% 4.8% 20.1% 0.0% 17.6% 1.9% -0.1% 410.6M -4.27B -24.1M 0.34 3.05 N/A N/A 296,237 101,092 784,018 695,951 2023-07-17 $153.55 $145.00 17.0% 4.8% 21.6% 0.2% 17.9% 2.7% 1.0% 358.7M -5.26B -23.9M 0.40 2.12 N/A N/A 135,447 54,749 723,063 665,832 2023-07-18 $153.88 $145.00 17.0% 4.9% 21.6% 0.4% 17.3% 2.0% 0.1% 343.0M -5.26B -23.5M 0.29 1.96 N/A N/A 97,322 28,651 721,903 689,222 2023-07-19 $154.61 $145.00 17.1% 4.9% 21.2% 0.7% 18.0% 2.1% 0.0% 356.4M -5.39B -24.2M 0.41 1.95 N/A N/A 104,694 42,939 728,208 698,535 2023-07-20 $156.22 $145.00 17.6% 5.0% 21.3% 2.6% 17.6% 1.9% 0.1% 328.3M -5.88B -24.2M 0.62 1.88 N/A N/A 68,964 42,654 735,802 716,180 2023-07-21 $155.38 $145.00 16.3% 4.7% 19.0% 0.0% 17.0% 2.1% 0.0% 349.5M -5.62B -23.4M 0.70 2.12 N/A N/A 57,845 40,374 744,339 733,847 2023-07-24 $157.78 $145.00 16.7% 4.8% 19.1% 1.4% 16.8% 2.4% -0.1% 286.5M -4.99B -23.0M 0.63 1.95 N/A N/A 74,217 47,055 620,721 611,180 2023-07-25 $156.70 $145.00 16.8% 4.8% 19.6% 1.7% 17.5% 2.9% -0.1% 259.6M -4.51B -23.4M 0.67 2.66 N/A N/A 63,714 42,770 626,117 629,155 2023-07-26 $157.51 $148.00 16.4% 4.7% 19.4% 0.1% 16.8% 2.8% 0.2% 310.7M -4.78B -23.9M 1.09 2.27 N/A N/A 22,407 24,458 648,966 640,984 2023-07-27 $155.84 $150.00 17.5% 4.9% 19.8% 4.3% 17.1% 2.9% 0.0% 248.6M -4.04B -24.5M 0.82 2.24 N/A N/A 46,980 38,512 652,319 647,221 2023-07-28 $156.59 $150.00 15.6% 4.3% 16.5% 0.0% 15.8% 2.4% 0.4% 198.4M -4.24B -24.0M 0.64 2.07 N/A N/A 43,749 28,071 661,600 651,163 2023-07-31 $157.43 $150.00 16.3% 4.5% 15.9% 2.3% 16.2% 2.7% 0.2% 189.6M -4.42B -23.0M 1.05 2.21 N/A N/A 34,484 36,273 616,676 628,849
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