JPM Options History — March 2024 In March 2024, JPM traded between $185.31 and $200.55. ATM implied volatility averaged 20.1%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.6% (HV 20d: 13.5%). Max pain ranged from $165.00 to $180.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.86.
Notable Days 2024-03-28 : Highest Volume — 197,694 contracts2024-03-04 : Largest IV spike — 6.4% change2024-03-27 : Highest IV Rank — 34.3%2024-03-25 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $192.11 $185.31 $200.55 $185.31 $200.55 Max Pain $173.75 $165.00 $180.00 $165.00 $180.00 ATM IV 20.1% 16.8% 22.0% 16.8% 20.1% Expected Move 5.9% 4.5% 6.2% 4.5% 6.0% HV 20d 13.5% 11.8% 15.6% 12.8% 15.6% HV 60d 13.4% 12.5% 14.4% 13.1% 14.4% IV Rank 23.0% 7.9% 34.3% 7.9% 32.9% IV Percentile 54.7% 17.1% 75.8% 17.1% 54.4% Term Structure 0.4% -0.8% 3.0% 1.1% -0.1% VWIV 21.4% 16.1% 22.4% 16.1% 21.4% Skew 25d 1.8% 1.2% 2.8% 1.4% 1.6% Skew 10d 4.5% 3.2% 6.4% 5.1% 4.1% Call IV 25d 19.6% 16.0% 21.3% 16.0% 19.9% Put IV 25d 21.4% 17.5% 23.8% 17.5% 21.5% Bid-Ask Spread % 11.08 2.56 33.91 2.56 3.66 Gamma HHI 0.19 0.14 0.39 0.21 0.39 Net GEX 135.6M 78.0M 221.3M 161.3M 221.3M Net DEX -4.81B -5.56B -4.20B -4.43B -5.56B Net VEX -19.3M -20.2M -17.7M -19.9M -19.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.17 1.91 0.97 0.17 Total Volume 77,940.85 49,085 197,694 50,734 197,694 Total OI 969,681.95 880,846 1,065,888 969,780 972,841
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 2024-03-01 $185.31 $165.00 16.8% 4.5% 12.8% 7.9% 16.1% 1.4% 1.1% 161.3M -4.43B -19.9M 0.97 2.56 N/A N/A 25,729 25,005 437,530 532,250 2024-03-04 $186.73 $170.00 17.8% 5.9% 12.9% 12.0% 21.0% 1.6% 1.4% 128.1M -4.62B -19.4M 0.99 20.77 N/A N/A 24,769 24,610 431,269 516,820 2024-03-05 $187.74 $170.00 18.3% 6.0% 12.7% 13.8% 21.7% 1.7% 2.8% 133.7M -4.77B -19.5M 0.96 33.04 N/A N/A 28,214 27,084 437,007 522,733 2024-03-06 $189.73 $170.00 18.5% 6.0% 12.8% 14.4% 21.8% 2.4% 3.0% 131.7M -5.17B -18.8M 0.74 10.29 N/A N/A 37,661 27,822 440,423 531,603 2024-03-07 $188.03 $170.00 19.0% 6.0% 13.6% 16.5% 22.4% 1.9% 2.8% 110.8M -4.78B -19.3M 1.01 32.84 N/A N/A 29,008 29,432 446,822 540,013 2024-03-08 $188.41 $170.00 19.0% 6.0% 13.4% 16.6% 21.9% 1.6% 2.6% 120.6M -4.91B -19.2M 0.97 31.95 N/A N/A 26,619 25,900 454,159 544,546 2024-03-11 $188.31 $170.00 20.1% 6.0% 13.4% 20.6% 22.2% 2.4% -0.2% 115.1M -4.74B -19.4M 1.91 33.91 N/A N/A 17,047 32,595 443,428 537,176 2024-03-12 $189.79 $170.00 20.7% 5.9% 13.4% 22.8% 22.1% 2.2% -0.4% 130.5M -5.06B -18.9M 0.77 2.60 N/A N/A 31,040 23,827 449,274 551,154 2024-03-13 $190.95 $175.00 21.2% 5.9% 11.8% 24.6% 21.3% 2.2% -0.6% 135.7M -5.22B -18.7M 0.58 3.64 N/A N/A 52,133 30,420 449,530 558,894 2024-03-14 $187.49 $175.00 22.0% 6.1% 14.1% 27.6% 21.5% 2.8% -0.8% 78.0M -4.40B -19.9M 0.72 6.41 N/A N/A 46,954 33,785 468,825 570,033 2024-03-15 $190.69 $175.00 21.6% 6.0% 12.9% 26.1% 21.6% 2.4% -0.7% 151.4M -5.24B -20.1M 0.88 5.51 N/A N/A 42,784 37,757 489,477 576,411 2024-03-18 $192.44 $175.00 21.1% 6.0% 12.7% 24.3% 21.4% 1.7% -0.3% 122.4M -4.20B -18.9M 1.37 3.69 N/A N/A 22,140 30,341 404,000 476,846 2024-03-19 $193.53 $175.00 21.0% 6.0% 12.7% 23.8% 20.7% 2.0% -0.7% 128.4M -4.28B -19.8M 0.93 3.94 N/A N/A 48,381 44,788 411,592 488,743 2024-03-20 $196.39 $175.00 20.3% 5.8% 13.3% 26.2% 21.0% 1.8% -0.2% 136.4M -4.81B -18.8M 1.49 3.99 N/A N/A 38,920 58,119 412,375 509,469 2024-03-21 $198.99 $175.00 20.4% 5.9% 13.1% 26.9% 21.3% 1.2% -0.4% 146.9M -5.28B -17.7M 0.37 6.54 N/A N/A 124,105 46,008 416,886 525,165 2024-03-22 $197.45 $175.00 20.7% 5.9% 13.8% 28.1% 21.8% 1.5% -0.2% 111.2M -4.86B -19.9M 0.84 3.92 N/A N/A 49,820 41,789 446,650 535,986 2024-03-25 $194.70 $180.00 21.2% 6.2% 14.8% 30.3% 22.4% 1.7% -0.1% 111.1M -4.23B -19.7M 0.66 3.83 N/A N/A 40,275 26,567 439,195 502,998 2024-03-26 $195.78 $180.00 21.0% 6.2% 14.8% 30.9% 22.0% 1.7% -0.1% 131.7M -4.43B -20.2M 0.41 4.30 N/A N/A 34,935 14,150 448,742 507,744 2024-03-27 $199.13 $180.00 20.4% 6.0% 15.5% 34.3% 21.8% 1.4% -0.3% 205.8M -5.24B -19.4M 0.50 4.11 N/A N/A 40,436 20,154 454,817 510,213 2024-03-28 $200.55 $180.00 20.1% 6.0% 15.6% 32.9% 21.4% 1.6% -0.1% 221.3M -5.56B -19.2M 0.17 3.66 N/A N/A 168,930 28,764 456,735 516,106
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