JPM Options History — August 2023 In August 2023, JPM traded between $145.91 and $156.93. ATM implied volatility averaged 19.3%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.0% (HV 20d: 15.3%). Max pain ranged from $140.00 to $150.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.94.
Notable Days 2023-08-15 : Highest Volume — 122,223 contracts2023-08-15 : Largest IV spike — 16.3% change2023-08-22 : Highest IV Rank — 23.3%2023-08-22 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $151.29 $145.91 $156.93 $156.93 $146.26 Max Pain $141.57 $140.00 $150.00 $150.00 $140.00 ATM IV 19.3% 16.3% 22.2% 16.3% 18.5% Expected Move 5.5% 4.5% 6.3% 4.5% 5.0% HV 20d 15.3% 11.9% 16.8% 16.0% 16.6% HV 60d 17.6% 16.7% 18.4% 17.7% 17.5% IV Rank 13.2% 2.4% 23.3% 2.4% 10.4% IV Percentile 15.3% 0.8% 39.7% 0.8% 9.9% Term Structure 0.4% -0.6% 1.6% 0.0% 1.3% VWIV 19.4% 16.5% 21.6% 16.5% 18.1% Skew 25d 4.2% 2.5% 5.5% 2.5% 3.9% Skew 10d 8.4% 5.4% 10.6% 5.4% 9.0% Call IV 25d 17.5% 15.5% 19.6% 15.5% 16.6% Put IV 25d 21.7% 18.0% 25.1% 18.0% 20.4% Bid-Ask Spread % 1.73 1.25 2.45 2.18 2.02 Gamma HHI 0.12 0.08 0.17 0.17 0.08 Net GEX 91.2M 9.9M 177.6M 174.0M 14.7M Net DEX -2.42B -4.16B -837.5M -4.16B -962.5M Net VEX -23.8M -24.8M -22.7M -24.0M -22.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.53 1.62 1.02 0.69 Total Volume 54,517.783 34,849 122,223 44,684 64,620 Total OI 1,261,958.261 1,167,223 1,303,305 1,270,112 1,260,753
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 2023-08-01 $156.93 $150.00 16.3% 4.5% 16.0% 2.4% 16.5% 2.5% 0.0% 174.0M -4.16B -24.0M 1.02 2.18 N/A N/A 22,156 22,528 624,617 645,495 2023-08-02 $155.38 $150.00 18.4% 5.2% 15.5% 10.1% 18.7% 3.6% -0.2% 148.2M -3.70B -24.4M 1.12 2.16 N/A N/A 27,755 31,022 631,679 652,023 2023-08-03 $156.28 $140.00 18.3% 5.5% 14.6% 9.5% 19.2% 3.6% -0.1% 173.3M -3.97B -24.7M 0.70 1.25 N/A N/A 22,215 15,634 636,351 654,060 2023-08-04 $155.92 $140.00 18.9% 5.5% 14.5% 11.7% 19.1% 3.5% -0.2% 154.0M -3.86B -24.4M 0.83 1.58 N/A N/A 28,405 23,607 638,383 656,976 2023-08-07 $156.80 $140.00 17.5% 5.4% 14.5% 6.7% 19.0% 3.6% 1.3% 177.6M -4.09B -24.0M 0.97 1.59 N/A N/A 17,974 17,375 623,651 643,267 2023-08-08 $155.76 $140.00 19.1% 5.6% 14.1% 12.3% 20.1% 4.2% 0.3% 153.5M -3.67B -24.8M 1.11 2.09 N/A N/A 30,662 33,959 625,952 650,727 2023-08-09 $154.25 $140.00 19.1% 5.5% 14.7% 12.5% 19.6% 3.9% 0.1% 130.7M -3.29B -24.3M 0.78 1.60 N/A N/A 19,547 15,302 628,666 657,496 2023-08-10 $153.19 $140.00 19.8% 5.5% 15.0% 14.8% 19.9% 3.9% -0.6% 113.8M -2.98B -24.0M 0.85 1.37 N/A N/A 19,864 16,884 632,157 659,645 2023-08-11 $154.38 $140.00 18.1% 5.3% 15.1% 8.9% 19.4% 3.7% 0.6% 139.3M -3.30B -23.8M 1.27 1.70 N/A N/A 27,051 34,343 634,976 661,940 2023-08-14 $154.53 $145.00 18.3% 5.3% 11.9% 9.4% 17.6% 4.0% 0.3% 144.5M -3.35B -23.5M 0.54 1.32 N/A N/A 24,635 13,366 619,419 655,963 2023-08-15 $150.51 $145.00 21.2% 6.1% 15.1% 19.9% 21.1% 5.1% 0.0% 69.9M -2.12B -23.3M 1.29 1.44 N/A N/A 53,484 68,739 615,603 658,267 2023-08-16 $150.16 $140.00 21.0% 6.0% 15.0% 19.2% 21.1% 5.0% -0.1% 61.3M -2.06B -23.5M 1.62 1.55 N/A N/A 20,728 33,607 623,282 665,355 2023-08-17 $148.41 $140.00 21.2% 6.0% 14.7% 19.7% 21.6% 5.0% 1.0% 22.3M -1.55B -24.1M 0.86 1.48 N/A N/A 31,355 27,016 625,618 673,469 2023-08-18 $149.12 $140.00 20.6% 5.9% 14.9% 17.8% 20.8% 4.6% 0.6% 9.9M -1.71B -24.0M 1.07 1.65 N/A N/A 27,796 29,808 627,900 675,405 2023-08-21 $150.00 $140.00 20.2% 5.7% 13.8% 16.2% 20.0% 4.6% 0.2% 64.3M -1.89B -23.2M 0.71 1.93 N/A N/A 28,128 19,930 535,327 631,896 2023-08-22 $145.91 $140.00 22.2% 6.3% 16.4% 23.3% 20.8% 5.5% 0.1% 13.7M -837.5M -24.1M 0.53 1.76 N/A N/A 56,602 30,112 546,412 638,914 2023-08-23 $147.41 $140.00 20.5% 5.8% 16.8% 17.2% 19.9% 4.8% 0.2% 47.8M -1.33B -23.4M 1.08 1.68 N/A N/A 27,269 29,316 572,997 645,316 2023-08-24 $147.27 $143.00 21.0% 5.9% 16.6% 19.0% 20.2% 4.8% 0.1% 53.1M -1.32B -23.5M 0.83 1.68 N/A N/A 29,562 24,476 581,936 653,244 2023-08-25 $147.18 $143.00 19.8% 5.5% 16.4% 14.9% 18.6% 4.2% 0.2% 54.7M -1.20B -23.9M 0.96 1.57 N/A N/A 31,226 30,046 587,125 663,857 2023-08-28 $147.36 $140.00 19.2% 5.3% 16.2% 12.7% 19.1% 4.4% 1.1% 44.8M -1.30B -23.1M 0.78 1.73 N/A N/A 19,892 15,563 571,243 652,953 2023-08-29 $148.69 $140.00 17.9% 4.9% 16.8% 8.1% 17.5% 4.1% 1.1% 74.5M -1.65B -23.2M 0.79 1.97 N/A N/A 22,809 17,968 577,775 659,208 2023-08-30 $148.00 $140.00 17.7% 4.8% 16.6% 7.4% 17.2% 3.9% 1.6% 57.6M -1.45B -22.9M 1.18 2.45 N/A N/A 22,773 26,800 581,834 665,908 2023-08-31 $146.26 $140.00 18.5% 5.0% 16.6% 10.4% 18.1% 3.9% 1.3% 14.7M -962.5M -22.7M 0.69 2.02 N/A N/A 38,132 26,488 587,475 673,278
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