JPM Options History — September 2024

In September 2024, JPM traded between $204.76 and $219.50. ATM implied volatility averaged 24.7%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.6% (HV 20d: 24.1%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2024-09-10: Highest Volume — 325,701 contracts
  • 2024-09-09: Largest IV spike — 9.7% change
  • 2024-09-10: Highest IV Rank — 79.0%
  • 2024-09-10: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$210.96$204.76$219.50$219.50$210.27
Max Pain$204.75$200.00$210.00$200.00$205.00
ATM IV24.7%21.1%28.0%21.1%25.0%
Expected Move7.2%5.9%7.8%6.0%7.8%
HV 20d24.1%12.6%27.7%16.7%26.5%
HV 60d24.8%22.6%25.8%22.7%24.9%
IV Rank59.1%38.0%79.0%38.1%61.1%
IV Percentile90.4%71.0%99.6%71.8%93.3%
Term Structure0.1%-1.1%3.2%2.3%2.0%
VWIV25.2%21.2%28.6%21.2%27.6%
Skew 25d3.9%3.0%5.6%4.0%3.5%
Skew 10d8.3%6.3%11.7%8.7%6.4%
Call IV 25d23.0%19.6%25.8%19.6%22.8%
Put IV 25d27.0%23.6%31.5%23.6%26.3%
Bid-Ask Spread %5.312.1624.892.352.53
Gamma HHI0.080.070.110.090.07
Net GEX70.0M-38.3M124.8M111.7M78.7M
Net DEX-2.64B-4.20B-1.37B-4.20B-2.26B
Net VEX-22.7M-23.7M-21.8M-22.0M-22.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.392.251.940.82
Total Volume86,62543,051325,70163,28460,826
Total OI958,615.3844,5871,055,937916,757890,463

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$219.50$200.0021.1%6.0%16.7%38.1%21.2%4.0%2.3%111.7M-4.20B-22.0M1.942.35N/AN/A21,56141,723414,084502,673
2024-09-04$219.04$200.0021.1%5.9%12.6%38.0%21.5%4.5%3.2%117.9M-4.13B-22.2M1.192.39N/AN/A29,16634,627417,866504,820
2024-09-05$218.18$205.0021.8%6.8%12.8%42.1%25.4%4.2%3.1%114.2M-3.99B-22.0M0.922.34N/AN/A37,98134,783424,907510,174
2024-09-06$212.70$205.0023.7%7.3%15.7%53.7%25.6%4.8%3.0%59.2M-2.80B-22.3M2.253.68N/AN/A25,16556,519433,717516,767
2024-09-09$217.46$205.0026.1%7.4%17.2%67.2%25.6%4.8%-1.1%124.8M-3.88B-21.8M1.224.81N/AN/A21,64626,511417,045513,002
2024-09-10$205.32$210.0028.0%7.8%27.4%79.0%28.6%5.6%-1.1%-12.4M-1.37B-23.0M1.0211.62N/AN/A161,098164,603423,224520,935
2024-09-11$206.88$205.0026.9%7.5%27.3%72.2%26.1%4.9%-0.8%29.1M-1.90B-23.4M0.706.47N/AN/A79,11855,193463,945560,121
2024-09-12$205.95$205.0026.0%7.2%26.9%67.2%24.7%4.6%-1.1%12.3M-1.78B-23.7M0.853.10N/AN/A41,40735,045474,605570,963
2024-09-13$204.76$205.0025.9%7.2%26.8%66.1%25.1%4.4%-1.1%-38.3M-1.55B-23.4M0.632.36N/AN/A77,28448,383481,545574,392
2024-09-16$207.52$205.0025.3%7.2%27.1%63.1%25.5%3.8%-0.6%49.5M-2.29B-23.0M0.446.66N/AN/A42,81318,969456,544551,546
2024-09-17$208.95$205.0025.8%7.4%27.1%66.0%26.0%3.6%-0.7%62.0M-2.59B-23.1M0.512.49N/AN/A41,21921,024458,716555,602
2024-09-18$207.69$205.0025.6%7.3%27.1%64.8%26.1%3.7%-1.0%46.6M-2.28B-23.1M0.4024.89N/AN/A52,83721,218463,206561,556
2024-09-19$210.70$205.0024.5%7.1%27.7%58.4%25.0%3.4%-0.5%93.4M-3.02B-22.8M0.507.67N/AN/A74,67337,437472,068566,493
2024-09-20$211.10$205.0024.2%7.0%27.4%56.1%24.6%3.3%-0.7%101.9M-3.11B-23.0M0.856.35N/AN/A43,15036,834482,128569,970
2024-09-23$211.35$205.0024.3%7.1%27.3%57.0%25.1%3.1%-0.4%76.2M-2.34B-22.7M0.672.45N/AN/A26,11517,579391,512453,075
2024-09-24$211.36$205.0023.9%7.0%27.2%54.8%23.7%3.3%-0.5%82.4M-2.45B-21.9M0.396.89N/AN/A61,76223,958399,361458,768
2024-09-25$210.20$205.0024.6%7.4%27.1%58.5%25.5%3.4%-0.4%82.6M-2.29B-22.7M0.572.39N/AN/A36,85920,872425,167468,498
2024-09-26$210.04$205.0024.6%7.4%27.0%58.7%25.6%3.1%-0.6%84.5M-2.27B-22.9M0.682.55N/AN/A25,59117,460432,277474,239
2024-09-27$210.24$205.0024.7%7.5%26.9%59.1%26.0%3.0%-0.6%122.7M-2.38B-22.4M0.562.16N/AN/A38,05321,438437,463478,869
2024-09-30$210.27$205.0025.0%7.8%26.5%61.1%27.6%3.5%2.0%78.7M-2.26B-22.6M0.822.53N/AN/A33,40827,418419,416471,047