JPM Options History — December 2023 In December 2023, JPM traded between $156.13 and $170.45. ATM implied volatility averaged 17.9%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 7.1% (HV 20d: 10.9%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.81.
Notable Days 2023-12-20 : Highest Volume — 107,545 contracts2023-12-04 : Largest IV spike — 7.8% change2023-12-21 : Highest IV Rank — 19.7%2023-12-26 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $163.36 $156.13 $170.45 $156.90 $170.20 Max Pain $140.25 $140.00 $145.00 $145.00 $140.00 ATM IV 17.9% 14.6% 19.9% 14.6% 18.6% Expected Move 5.3% 4.3% 5.8% 4.3% 5.6% HV 20d 10.9% 9.1% 11.8% 10.6% 11.1% HV 60d 15.6% 14.9% 16.0% 15.9% 14.9% IV Rank 12.4% 0.0% 19.7% 0.0% 14.8% IV Percentile 18.5% 0.0% 35.3% 0.0% 22.6% Term Structure 0.5% -0.8% 3.5% 0.9% -0.0% VWIV 19.3% 15.5% 21.4% 15.5% 19.9% Skew 25d 2.0% 1.5% 2.9% 1.9% 1.5% Skew 10d 4.0% 2.8% 5.0% 3.5% 2.8% Call IV 25d 17.2% 13.6% 19.6% 13.6% 18.2% Put IV 25d 19.1% 15.5% 21.4% 15.5% 19.6% Bid-Ask Spread % 2.63 1.68 3.69 2.99 2.03 Gamma HHI 0.20 0.13 0.29 0.18 0.22 Net GEX 172.8M 131.1M 239.2M 174.2M 193.9M Net DEX -4.44B -5.33B -3.26B -3.69B -5.14B Net VEX -19.2M -20.2M -18.3M -19.0M -18.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.41 1.28 1.01 0.93 Total Volume 60,230.2 33,163 107,545 72,002 49,117 Total OI 1,150,383.35 1,072,822 1,220,814 1,126,187 1,165,846
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 2023-12-01 $156.90 $145.00 14.6% 4.3% 10.6% 0.0% 15.5% 1.9% 0.9% 174.2M -3.69B -19.0M 1.01 2.99 N/A N/A 35,777 36,225 524,512 601,675 2023-12-04 $157.91 $140.00 15.8% 5.2% 10.2% 4.3% 19.8% 2.3% 2.6% 165.2M -3.80B -18.5M 1.12 2.44 N/A N/A 22,288 24,895 515,247 597,284 2023-12-05 $158.06 $140.00 15.7% 5.1% 10.3% 4.0% 18.6% 2.3% 2.6% 171.1M -3.84B -19.4M 1.28 2.84 N/A N/A 23,555 30,082 526,468 607,352 2023-12-06 $156.13 $140.00 16.3% 5.5% 11.8% 6.3% 18.7% 2.4% 2.9% 136.2M -3.26B -19.9M 0.77 3.11 N/A N/A 31,008 23,899 533,930 616,988 2023-12-07 $156.68 $140.00 16.4% 5.5% 11.8% 6.5% 19.2% 2.2% 2.9% 150.0M -3.41B -20.2M 0.79 2.26 N/A N/A 18,882 14,885 544,462 622,850 2023-12-08 $158.63 $140.00 16.5% 5.1% 11.7% 6.9% 17.7% 2.0% 3.5% 183.8M -4.04B -19.4M 0.83 3.26 N/A N/A 31,544 26,194 547,494 627,632 2023-12-11 $159.14 $140.00 17.7% 5.2% 11.1% 11.5% 19.1% 2.9% -0.3% 198.2M -4.04B -19.5M 0.83 3.69 N/A N/A 20,604 17,006 540,136 621,999 2023-12-12 $160.61 $140.00 17.9% 5.1% 10.9% 12.1% 19.5% 2.4% -0.2% 230.9M -4.45B -19.4M 0.76 2.67 N/A N/A 46,873 35,531 546,148 629,499 2023-12-13 $160.79 $140.00 18.5% 5.1% 9.1% 14.5% 18.2% 2.0% -0.5% 239.2M -4.56B -19.1M 0.59 3.21 N/A N/A 32,857 19,490 555,103 640,667 2023-12-14 $163.93 $140.00 18.6% 5.2% 10.6% 15.0% 19.1% 1.6% -0.6% 199.2M -5.28B -18.9M 0.41 2.96 N/A N/A 76,033 31,164 558,586 647,208 2023-12-15 $164.49 $140.00 18.4% 5.1% 10.5% 14.1% 18.6% 1.7% -0.8% 204.7M -5.33B -18.8M 0.63 2.57 N/A N/A 53,956 33,986 563,708 657,106 2023-12-18 $166.23 $140.00 18.9% 5.4% 10.6% 16.1% 19.1% 1.9% -0.4% 147.6M -4.50B -18.5M 0.86 2.47 N/A N/A 36,298 31,174 486,658 586,164 2023-12-19 $168.16 $140.00 19.0% 5.4% 10.8% 16.2% 19.5% 1.6% -0.5% 158.9M -4.95B -18.4M 0.82 2.22 N/A N/A 40,211 32,941 498,955 600,493 2023-12-20 $167.01 $140.00 19.6% 5.6% 11.2% 18.6% 20.3% 1.8% -0.5% 140.8M -4.55B -19.8M 0.93 3.50 N/A N/A 55,669 51,876 508,891 613,517 2023-12-21 $166.91 $140.00 19.9% 5.7% 11.3% 19.7% 20.7% 1.8% -0.6% 131.1M -4.45B -20.1M 0.90 1.93 N/A N/A 25,086 22,620 518,105 626,703 2023-12-22 $167.47 $140.00 19.2% 5.5% 11.2% 17.0% 20.2% 1.7% -0.5% 170.6M -4.61B -19.8M 0.53 2.35 N/A N/A 30,884 16,455 524,025 633,612 2023-12-26 $168.45 $140.00 19.6% 5.8% 10.9% 18.8% 21.4% 1.7% -0.3% 143.9M -4.73B -19.1M 0.78 2.30 N/A N/A 20,745 16,247 510,926 615,803 2023-12-27 $169.01 $140.00 18.8% 5.6% 10.9% 15.7% 20.7% 1.8% 0.0% 152.5M -4.87B -19.3M 0.85 1.68 N/A N/A 17,918 15,245 519,631 622,336 2023-12-28 $170.45 $140.00 18.8% 5.6% 11.0% 15.8% 20.0% 1.5% -0.0% 164.1M -5.22B -18.3M 0.64 2.07 N/A N/A 33,707 21,677 520,592 629,356 2023-12-29 $170.20 $140.00 18.6% 5.6% 11.1% 14.8% 19.9% 1.5% -0.0% 193.9M -5.14B -18.9M 0.93 2.03 N/A N/A 25,394 23,723 530,338 635,508
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