JPM Options History — November 2023 In November 2023, JPM traded between $139.37 and $155.79. ATM implied volatility averaged 16.9%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.2% (HV 20d: 18.2%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.93.
Notable Days 2023-11-14 : Highest Volume — 79,820 contracts2023-11-14 : Largest IV drop — 6.0% change2023-11-01 : Highest IV Rank — 17.7%2023-11-01 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $148.81 $139.37 $155.79 $139.37 $155.79 Max Pain $142.62 $140.00 $145.00 $145.00 $145.00 ATM IV 16.9% 14.9% 20.2% 20.2% 15.1% Expected Move 4.9% 4.3% 5.9% 5.9% 4.5% HV 20d 18.2% 10.8% 21.2% 19.3% 10.9% HV 60d 16.6% 16.0% 17.3% 17.0% 16.0% IV Rank 5.7% 0.0% 17.7% 17.7% 0.7% IV Percentile 5.1% 0.0% 23.4% 23.4% 0.4% Term Structure 0.3% -0.8% 1.3% 0.3% 1.1% VWIV 17.8% 15.1% 21.8% 19.8% 16.3% Skew 25d 2.8% 2.2% 4.0% 4.0% 2.2% Skew 10d 5.9% 4.7% 8.1% 8.1% 4.8% Call IV 25d 15.5% 13.7% 18.2% 18.2% 13.7% Put IV 25d 18.3% 15.9% 22.1% 22.1% 15.9% Bid-Ask Spread % 2.21 1.38 6.01 2.35 2.94 Gamma HHI 0.12 0.07 0.21 0.08 0.17 Net GEX 107.7M -23.1M 225.5M -23.1M 167.7M Net DEX -2.08B -3.41B 128.0M 128.0M -3.41B Net VEX -20.0M -21.4M -18.7M -21.2M -18.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.62 1.57 1.36 0.94 Total Volume 45,083.619 23,919 79,820 51,004 33,248 Total OI 1,161,469.476 1,066,640 1,245,704 1,180,031 1,115,494
Daily Data (21 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 2023-11-01 $139.37 $145.00 20.2% 5.9% 19.3% 17.7% 19.8% 4.0% 0.3% -23.1M 128.0M -21.2M 1.36 2.35 N/A N/A 21,583 29,421 563,126 616,905 2023-11-02 $141.19 $145.00 19.0% 5.8% 20.0% 13.2% 21.0% 3.6% 0.4% 3.5M -376.0M -21.3M 0.68 1.69 N/A N/A 28,374 19,247 566,312 621,263 2023-11-03 $143.00 $145.00 18.3% 5.3% 19.7% 10.4% 19.3% 3.0% 0.6% 38.8M -878.0M -21.4M 0.67 1.67 N/A N/A 42,589 28,465 575,622 628,267 2023-11-06 $144.01 $145.00 18.0% 5.3% 19.8% 9.5% 18.4% 3.3% 0.2% 50.6M -994.6M -20.9M 0.95 1.47 N/A N/A 19,775 18,821 560,840 613,796 2023-11-07 $144.06 $145.00 17.8% 5.2% 19.6% 8.6% 18.5% 3.2% 0.3% 54.3M -1.02B -20.6M 1.57 1.57 N/A N/A 12,032 18,848 566,379 619,483 2023-11-08 $144.72 $145.00 17.5% 5.2% 19.6% 7.5% 21.8% 3.3% 0.5% 70.7M -1.24B -20.3M 0.87 1.63 N/A N/A 27,901 24,292 568,373 625,460 2023-11-09 $144.03 $140.00 18.3% 5.3% 19.7% 10.5% 18.7% 3.4% 0.2% 53.4M -1.13B -20.7M 1.14 1.47 N/A N/A 15,117 17,195 581,994 638,364 2023-11-10 $146.19 $140.00 17.3% 5.1% 19.8% 6.6% 18.2% 3.0% 0.9% 168.0M -1.81B -20.0M 1.12 1.70 N/A N/A 23,950 26,941 582,550 645,573 2023-11-13 $145.74 $140.00 18.1% 5.2% 19.9% 9.6% 20.0% 3.2% -0.3% 69.6M -1.48B -20.2M 1.25 1.47 N/A N/A 16,604 20,721 554,492 633,229 2023-11-14 $148.84 $140.00 17.0% 4.9% 21.2% 5.4% 18.2% 2.7% 0.2% 133.6M -2.36B -20.0M 0.67 1.96 N/A N/A 47,833 31,987 561,030 641,734 2023-11-15 $149.76 $140.00 17.1% 4.9% 20.9% 5.7% 17.8% 2.5% -0.1% 159.5M -2.64B -20.1M 0.62 1.51 N/A N/A 36,882 22,812 572,535 650,466 2023-11-16 $151.14 $140.00 17.1% 4.9% 21.0% 5.7% 18.4% 2.3% 0.1% 165.5M -3.04B -19.6M 0.87 1.69 N/A N/A 35,506 30,858 574,841 654,672 2023-11-17 $152.43 $140.00 17.0% 4.9% 20.1% 5.3% 17.3% 2.5% -0.8% 225.5M -3.32B -19.7M 0.66 1.38 N/A N/A 43,807 29,005 580,537 665,167 2023-11-20 $153.68 $140.00 16.1% 4.6% 19.2% 1.7% 16.2% 2.5% -0.2% 128.6M -2.90B -19.5M 0.93 2.29 N/A N/A 23,850 22,171 491,354 575,286 2023-11-21 $153.03 $140.00 15.6% 4.5% 19.4% 0.0% 15.4% 2.5% -0.0% 123.2M -2.78B -19.6M 0.74 2.22 N/A N/A 17,246 12,696 499,433 583,273 2023-11-22 $153.38 $140.00 15.3% 4.3% 19.1% 0.0% 15.1% 2.5% -0.1% 129.7M -2.81B -19.7M 0.72 2.44 N/A N/A 13,934 9,985 506,268 587,252 2023-11-24 $153.66 $145.00 15.2% 4.4% 19.1% 0.0% 15.5% 2.2% -0.2% 128.7M -2.94B -19.3M 0.85 3.17 N/A N/A 14,183 12,084 510,604 590,279 2023-11-27 $153.22 $145.00 15.5% 4.5% 11.2% 1.2% 15.9% 2.5% 0.9% 128.6M -2.77B -19.2M 1.27 2.76 N/A N/A 11,283 14,384 502,658 577,897 2023-11-28 $153.62 $145.00 15.3% 4.5% 10.9% 0.4% 16.0% 2.3% 1.3% 138.1M -2.92B -18.7M 0.82 6.01 N/A N/A 14,635 12,001 507,159 583,153 2023-11-29 $154.25 $145.00 14.9% 4.4% 10.8% 0.0% 16.3% 2.2% 0.6% 147.0M -2.97B -19.3M 0.88 3.03 N/A N/A 23,669 20,821 510,591 587,148 2023-11-30 $155.79 $145.00 15.1% 4.5% 10.9% 0.7% 16.3% 2.2% 1.1% 167.7M -3.41B -18.9M 0.94 2.94 N/A N/A 17,117 16,131 519,832 595,662
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