JPM Options History — September 2023 In September 2023, JPM traded between $143.69 and $149.34. ATM implied volatility averaged 21.8%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.3% (HV 20d: 15.4%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.92.
Notable Days 2023-09-14 : Highest Volume — 96,556 contracts2023-09-21 : Largest IV spike — 8.1% change2023-09-27 : Highest IV Rank — 36.5%2023-09-27 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $146.43 $143.69 $149.34 $147.01 $145.39 Max Pain $144.75 $140.00 $145.00 $140.00 $145.00 ATM IV 21.8% 17.9% 25.9% 17.9% 24.8% Expected Move 6.4% 4.7% 7.7% 4.7% 7.5% HV 20d 15.4% 13.1% 17.6% 16.9% 14.8% HV 60d 17.2% 15.7% 18.1% 17.4% 15.9% IV Rank 21.9% 8.1% 36.5% 8.1% 32.4% IV Percentile 38.3% 6.3% 64.3% 6.3% 61.9% Term Structure 0.2% -0.8% 2.3% 1.4% -0.4% VWIV 22.2% 15.8% 26.9% 15.8% 25.3% Skew 25d 4.5% 3.4% 5.3% 3.4% 4.8% Skew 10d 8.7% 6.5% 10.5% 6.5% 9.0% Call IV 25d 19.9% 15.8% 23.7% 15.8% 22.9% Put IV 25d 24.4% 19.3% 28.9% 19.3% 27.6% Bid-Ask Spread % 1.82 1.46 2.67 1.97 1.74 Gamma HHI 0.07 0.06 0.16 0.09 0.06 Net GEX 20.3M -23.7M 116.6M 28.4M -11.5M Net DEX -896.7M -2.07B -359.6M -1.26B -457.6M Net VEX -22.3M -22.8M -21.6M -22.3M -22.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.36 1.76 0.66 0.94 Total Volume 61,433.9 31,518 96,556 68,912 49,416 Total OI 1,169,483.7 1,002,333 1,318,320 1,275,997 1,111,839
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 2023-09-01 $147.01 $140.00 17.9% 4.7% 16.9% 8.1% 15.8% 3.4% 1.4% 28.4M -1.26B -22.3M 0.66 1.97 N/A N/A 41,522 27,390 597,541 678,456 2023-09-05 $145.56 $145.00 19.1% 6.1% 16.7% 12.2% 20.7% 4.8% 2.0% 4.4M -778.2M -22.2M 0.73 1.71 N/A N/A 37,119 27,170 579,671 669,994 2023-09-06 $145.19 $145.00 19.4% 6.2% 16.7% 13.4% 21.7% 4.4% 2.2% 4.5M -775.6M -22.5M 1.76 1.60 N/A N/A 28,618 50,498 587,647 673,578 2023-09-07 $143.69 $145.00 20.3% 6.2% 16.7% 16.7% 21.6% 4.9% 2.3% -23.7M -386.0M -22.4M 1.06 2.08 N/A N/A 32,600 34,429 593,868 677,590 2023-09-08 $143.72 $145.00 19.8% 6.1% 16.7% 14.9% 21.0% 4.2% 2.3% -18.1M -381.1M -22.3M 1.26 1.81 N/A N/A 34,712 43,628 598,795 683,990 2023-09-11 $144.24 $145.00 20.7% 5.9% 16.4% 18.2% 20.9% 4.5% -0.7% -3.9M -583.8M -21.7M 1.13 2.64 N/A N/A 32,175 36,303 588,436 680,618 2023-09-12 $146.42 $145.00 21.1% 6.1% 17.6% 19.3% 21.2% 4.1% 0.1% 42.9M -1.20B -22.1M 0.92 1.49 N/A N/A 41,362 38,238 596,052 687,187 2023-09-13 $146.22 $145.00 21.3% 6.1% 15.2% 20.2% 21.1% 4.5% 0.0% 38.1M -1.13B -22.1M 1.02 1.46 N/A N/A 35,023 35,772 603,120 693,804 2023-09-14 $149.34 $145.00 20.3% 5.7% 17.2% 16.8% 20.1% 4.0% -0.7% 116.6M -2.07B -21.7M 0.70 1.75 N/A N/A 56,825 39,731 606,946 697,271 2023-09-15 $148.56 $145.00 20.8% 5.8% 16.8% 18.3% 21.4% 4.0% -0.7% 58.3M -1.70B -21.8M 0.79 1.57 N/A N/A 37,651 29,763 608,623 709,697 2023-09-18 $148.97 $145.00 20.9% 5.9% 16.7% 18.8% 20.9% 4.4% -0.4% 38.3M -1.23B -21.6M 0.99 1.69 N/A N/A 23,646 23,475 441,130 561,203 2023-09-19 $148.93 $145.00 21.3% 6.1% 16.6% 20.0% 21.8% 4.2% -0.5% 42.9M -1.21B -21.8M 0.63 1.73 N/A N/A 28,931 18,194 449,771 570,849 2023-09-20 $148.31 $145.00 21.6% 6.2% 13.2% 21.3% 20.2% 4.3% -0.4% 44.0M -1.08B -22.0M 0.36 1.89 N/A N/A 49,165 17,665 459,907 576,169 2023-09-21 $147.13 $145.00 23.4% 6.7% 13.1% 27.5% 24.1% 5.0% -0.7% 19.5M -794.3M -22.6M 1.06 1.84 N/A N/A 23,023 24,398 479,817 582,141 2023-09-22 $145.94 $145.00 23.3% 6.7% 13.4% 27.2% 23.5% 4.9% -0.8% -18.1M -517.4M -22.6M 0.87 1.73 N/A N/A 27,817 24,152 484,846 588,831 2023-09-25 $145.91 $145.00 24.1% 7.1% 13.4% 30.3% 24.8% 5.0% -0.3% 6.1M -555.5M -22.5M 0.84 1.68 N/A N/A 25,566 21,575 469,831 576,481 2023-09-26 $144.91 $145.00 25.5% 7.5% 13.5% 35.1% 26.8% 5.3% -0.2% -4.0M -359.6M -22.7M 1.16 1.75 N/A N/A 14,596 16,922 478,181 586,881 2023-09-27 $145.41 $145.00 25.9% 7.7% 13.1% 36.5% 26.9% 5.2% -0.3% 233.6K -453.1M -22.8M 0.90 1.65 N/A N/A 19,207 17,350 481,521 592,653 2023-09-28 $147.68 $145.00 24.2% 7.2% 14.3% 30.4% 24.2% 4.8% -0.7% 41.8M -1.01B -22.7M 0.52 2.67 N/A N/A 41,369 21,682 486,887 597,852 2023-09-29 $145.39 $145.00 24.8% 7.5% 14.8% 32.4% 25.3% 4.8% -0.4% -11.5M -457.6M -22.7M 0.94 1.74 N/A N/A 25,496 23,920 508,783 603,056
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