JPM Options History — October 2023 In October 2023, JPM traded between $135.57 and $148.06. ATM implied volatility averaged 23.6%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 8.3% (HV 20d: 15.3%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.86.
Notable Days 2023-10-13 : Highest Volume — 395,944 contracts2023-10-16 : Largest IV drop — 12.8% change2023-10-03 : Highest IV Rank — 43.7%2023-10-03 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $143.31 $135.57 $148.06 $143.49 $138.84 Max Pain $145.23 $145.00 $150.00 $145.00 $145.00 ATM IV 23.6% 18.9% 27.9% 26.5% 21.2% Expected Move 6.9% 5.4% 8.8% 8.3% 6.3% HV 20d 15.3% 13.0% 19.3% 15.3% 19.3% HV 60d 15.4% 14.6% 16.9% 16.0% 16.9% IV Rank 29.5% 13.0% 43.7% 38.6% 21.8% IV Percentile 53.5% 13.1% 72.2% 66.7% 36.9% Term Structure -0.4% -1.2% 0.5% -0.7% 0.3% VWIV 23.7% 19.6% 30.0% 27.8% 22.4% Skew 25d 5.3% 4.3% 6.1% 5.4% 4.3% Skew 10d 10.9% 9.1% 12.8% 11.2% 9.1% Call IV 25d 21.1% 17.3% 25.5% 23.8% 19.3% Put IV 25d 26.4% 22.4% 31.4% 29.3% 23.6% Bid-Ask Spread % 1.81 1.43 2.76 1.80 1.78 Gamma HHI 0.07 0.06 0.12 0.06 0.08 Net GEX 13.8M -61.3M 127.4M -16.5M -26.3M Net DEX -359.1M -1.60B 1.25B -82.9M 217.6M Net VEX -22.4M -23.0M -21.6M -22.4M -21.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.34 1.50 0.61 0.97 Total Volume 85,403.318 37,191 395,944 50,735 40,277 Total OI 1,169,348 1,085,527 1,274,609 1,085,527 1,172,704
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 2023-10-02 $143.49 $145.00 26.5% 8.3% 15.3% 38.6% 27.8% 5.4% -0.7% -16.5M -82.9M -22.4M 0.61 1.80 N/A N/A 31,458 19,277 496,130 589,397 2023-10-03 $142.67 $145.00 27.9% 8.8% 15.1% 43.7% 29.9% 5.9% -0.9% -20.8M 66.1M -22.7M 0.99 2.27 N/A N/A 28,630 28,313 507,265 599,374 2023-10-04 $143.24 $145.00 27.1% 8.6% 15.2% 40.8% 30.0% 5.7% -1.0% -10.8M -58.1M -22.5M 0.68 1.84 N/A N/A 34,233 23,179 516,038 608,960 2023-10-05 $143.05 $150.00 26.8% 7.1% 14.7% 39.5% 24.9% 5.5% -0.9% -7.3M -168.7M -22.7M 0.79 1.97 N/A N/A 28,893 22,809 517,141 619,792 2023-10-06 $145.36 $145.00 25.0% 6.9% 15.8% 33.2% 24.5% 5.0% -0.9% 53.5M -937.2M -22.5M 0.89 1.67 N/A N/A 35,606 31,538 525,457 621,060 2023-10-09 $144.68 $145.00 25.8% 7.1% 15.9% 36.1% 25.1% 4.9% -0.7% 20.3M -681.9M -22.5M 0.66 1.74 N/A N/A 22,414 14,777 511,508 604,406 2023-10-10 $145.75 $145.00 24.9% 7.0% 15.1% 32.8% 23.5% 5.0% -0.3% 34.6M -935.4M -22.3M 0.95 1.45 N/A N/A 28,268 26,995 517,124 609,874 2023-10-11 $146.20 $145.00 24.3% 6.9% 15.2% 30.8% 22.9% 4.5% -0.3% 43.1M -1.06B -22.5M 0.63 1.58 N/A N/A 30,509 19,347 527,808 625,553 2023-10-12 $146.10 $145.00 24.0% 6.8% 13.0% 29.8% 23.3% 4.3% -0.4% 47.4M -1.07B -22.3M 0.91 1.61 N/A N/A 58,636 53,525 539,466 630,666 2023-10-13 $148.06 $145.00 21.7% 6.1% 13.8% 21.7% 21.2% 5.0% -0.7% 127.4M -1.60B -22.7M 0.59 1.49 N/A N/A 249,704 146,240 558,742 655,918 2023-10-16 $147.75 $145.00 18.9% 5.4% 13.8% 13.0% 19.6% 5.3% 0.5% 88.2M -1.31B -22.0M 0.34 2.76 N/A N/A 106,888 36,034 569,136 635,288 2023-10-17 $147.01 $145.00 20.5% 5.9% 13.9% 19.1% 19.9% 5.0% -1.2% 67.8M -1.19B -22.4M 0.64 1.60 N/A N/A 45,286 28,957 589,851 642,361 2023-10-18 $145.55 $145.00 21.9% 6.3% 14.2% 24.6% 21.0% 5.8% -1.0% 24.4M -737.5M -22.9M 1.50 1.75 N/A N/A 33,995 51,102 602,762 651,847 2023-10-19 $145.23 $145.00 22.2% 6.4% 14.0% 25.8% 21.7% 5.4% -0.6% 9.1M -653.6M -23.0M 1.17 1.68 N/A N/A 29,237 34,281 610,341 660,175 2023-10-20 $142.99 $145.00 22.1% 6.3% 14.8% 25.4% 22.6% 6.1% 0.2% 25.9M 114.5M -22.8M 0.86 1.43 N/A N/A 51,278 44,210 611,801 662,808 2023-10-23 $141.16 $145.00 23.1% 6.8% 15.3% 29.0% 23.0% 5.9% 0.1% -16.3M 138.8M -22.2M 0.65 1.89 N/A N/A 34,076 22,179 529,391 586,816 2023-10-24 $141.41 $145.00 21.5% 6.4% 15.3% 23.1% 22.6% 5.3% 0.3% -12.6M 37.0M -22.0M 0.90 1.97 N/A N/A 36,320 32,673 541,950 590,030 2023-10-25 $140.47 $145.00 23.0% 6.8% 15.3% 28.6% 21.6% 5.7% 0.0% -21.6M 188.7M -22.3M 0.91 1.83 N/A N/A 31,612 28,771 556,072 601,999 2023-10-26 $140.80 $145.00 22.9% 6.8% 14.0% 28.3% 24.9% 5.3% 0.0% -5.7M 46.0M -22.6M 1.18 1.72 N/A N/A 27,771 32,762 568,009 606,998 2023-10-27 $135.57 $145.00 24.3% 7.2% 18.3% 33.8% 24.9% 5.5% 0.3% -61.3M 1.25B -21.8M 1.13 2.03 N/A N/A 64,610 72,720 574,649 622,514 2023-10-30 $137.41 $145.00 22.9% 6.7% 18.9% 28.3% 23.3% 5.1% 0.2% -39.6M 523.0M -21.6M 0.97 1.88 N/A N/A 30,169 29,314 553,034 603,441 2023-10-31 $138.84 $145.00 21.2% 6.3% 19.3% 21.8% 22.4% 4.3% 0.3% -26.3M 217.6M -21.7M 0.97 1.78 N/A N/A 20,488 19,789 560,720 611,984
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