JPM Options History — January 2024

In January 2024, JPM traded between $166.72 and $176.69. ATM implied volatility averaged 17.4%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 6.6% (HV 20d: 10.8%). Max pain ranged from $140.00 to $165.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2024-01-03: Highest Volume — 925,074 contracts
  • 2024-01-12: Largest IV drop — 18.6% change
  • 2024-01-04: Highest IV Rank — 22.6%
  • 2024-01-03: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.95$166.72$176.69$171.62$174.60
Max Pain$162.38$140.00$165.00$140.00$165.00
ATM IV17.4%15.0%20.7%19.5%16.4%
Expected Move5.1%4.4%6.4%6.1%4.8%
HV 20d10.8%9.1%14.8%11.1%14.8%
HV 60d13.8%11.3%14.9%14.9%12.5%
IV Rank10.5%1.2%22.6%18.3%6.6%
IV Percentile17.9%0.8%46.8%33.3%11.1%
Term Structure-0.2%-0.8%0.3%-0.5%0.3%
VWIV17.9%15.7%21.6%21.6%17.2%
Skew 25d1.6%1.0%2.3%1.6%1.7%
Skew 10d4.1%2.1%5.3%4.2%4.1%
Call IV 25d16.9%14.3%20.5%19.3%16.1%
Put IV 25d18.5%16.0%22.1%20.9%17.8%
Bid-Ask Spread %3.441.739.041.972.72
Gamma HHI0.150.100.400.140.15
Net GEX125.8M70.2M243.4M148.9M136.8M
Net DEX-3.10B-5.29B-1.99B-5.29B-3.34B
Net VEX-19.2M-19.8M-18.2M-18.2M-19.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.042.060.630.95
Total Volume131,605.04833,248925,07462,40283,105
Total OI1,048,284.619825,2781,222,9551,140,504901,509

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$171.62$140.0019.5%6.1%11.1%18.3%21.6%1.6%-0.5%148.9M-5.29B-18.2M0.631.97N/AN/A38,26724,135518,035622,469
2024-01-03$171.55$145.0020.2%6.4%11.2%21.0%20.1%1.7%-0.5%143.8M-5.09B-18.7M0.042.23N/AN/A889,02536,049523,040633,760
2024-01-04$171.70$160.0020.7%5.8%11.2%22.6%20.3%1.6%-0.8%125.2M-3.25B-19.3M1.242.45N/AN/A51,32663,547415,044650,201
2024-01-05$172.09$160.0020.0%5.7%9.4%20.3%20.8%1.8%-0.7%117.4M-3.29B-19.1M1.322.74N/AN/A45,46359,910429,183677,726
2024-01-08$171.68$165.0019.8%5.7%9.8%19.4%20.8%1.9%0.2%103.6M-3.16B-19.7M0.951.90N/AN/A40,47438,290430,039667,600
2024-01-09$170.59$165.0019.6%5.5%10.0%18.5%19.5%1.6%-0.2%98.0M-2.95B-19.7M1.181.73N/AN/A19,04822,404442,164682,689
2024-01-10$170.80$165.0020.1%5.6%10.1%20.4%19.7%1.1%-0.4%101.2M-3.03B-19.7M0.681.88N/AN/A52,69635,687445,688687,542
2024-01-11$169.84$165.0019.5%5.5%10.3%18.4%19.9%1.0%-0.5%104.7M-2.83B-19.8M1.132.87N/AN/A67,43376,238470,320695,521
2024-01-12$169.57$165.0015.9%4.6%10.5%4.8%16.4%1.1%0.2%118.8M-2.68B-19.4M0.812.16N/AN/A157,345127,305493,798729,157
2024-01-16$167.75$165.0016.2%4.6%9.5%5.9%17.1%1.6%-0.4%70.2M-2.22B-19.6M1.335.78N/AN/A49,08765,384467,799710,732
2024-01-17$166.72$165.0017.8%5.1%9.8%11.8%17.5%2.1%-0.4%74.8M-1.99B-19.8M1.372.80N/AN/A31,05042,475473,502718,706
2024-01-18$167.18$165.0016.6%4.8%9.1%7.3%15.7%2.3%-0.3%74.9M-2.15B-19.2M0.883.23N/AN/A63,40255,747477,230723,430
2024-01-19$170.14$165.0015.5%4.5%10.3%3.3%15.8%2.0%-0.3%233.4M-3.24B-19.0M0.814.95N/AN/A51,03341,492490,824727,555
2024-01-22$170.39$165.0015.8%4.6%9.9%4.3%16.2%1.7%0.1%98.6M-2.61B-18.5M0.744.77N/AN/A39,84629,349378,005447,273
2024-01-23$169.07$165.0015.0%4.4%10.4%1.2%16.1%1.8%-0.0%89.4M-2.27B-18.8M2.065.68N/AN/A20,85242,892391,586454,735
2024-01-24$170.61$165.0015.0%4.4%10.8%1.3%16.2%1.7%0.1%113.6M-2.67B-18.9M0.834.97N/AN/A31,56626,226397,809478,037
2024-01-25$172.72$165.0015.0%4.5%11.4%1.2%16.2%1.4%-0.0%144.4M-3.11B-19.5M0.733.08N/AN/A36,12226,348406,912486,887
2024-01-26$172.47$165.0015.5%4.4%11.4%3.2%15.9%1.4%0.1%243.4M-3.08B-19.5M0.592.75N/AN/A25,58915,159412,382494,758
2024-01-29$172.19$165.0015.9%4.5%11.1%4.9%16.5%2.0%0.3%136.3M-2.97B-19.1M0.649.04N/AN/A20,30012,948401,037474,698
2024-01-30$176.69$165.0016.1%4.7%14.2%5.4%16.7%1.3%0.1%165.2M-3.99B-18.4M0.602.43N/AN/A68,31840,774405,872478,723
2024-01-31$174.60$165.0016.4%4.8%14.8%6.6%17.2%1.7%0.3%136.8M-3.34B-19.8M0.952.72N/AN/A42,65040,455414,203487,306