Options/JPM

JPMJPMorgan Chase & Co.

Options Analysis Report•NATIONAL COMMERCIAL BANKS

Market Cap $941.6B|NYSE

● 2026-08-28$354.22

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y +17.7%YTD +8.8%7D +0.8%

Options Vol

33,302

30D

Implied Move

±5.8%

IV Rank

JPM Options Overview

IV is low. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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JPM Gamma Walls

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JPM Hedge Radar

No action needed

Full Hedge Radar

Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where JPM sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.88) — near-dated vol is priced 17% below far-dated, and implied vol sits in the 5th percentile of its own past year, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads resilient (2.32): its realized-vol regime is contracting, and it is trading 5% above its hedge wall on a wall graded HIGH for reliability.

Protection cost

2.88/ 10cheap

Basis: cross_sectional

Fragility

2.32/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

7.9

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks7/9 checks passed

IV Rank

≤35%

IV Rank 12.3% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.72x — IV premium over HV

Sector Relative≤50%

Sector percentile 18% — below sector median

Term Structure

<1.1x

Front/Back 0.83x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 22.7% — normal range

Spread-Adjusted Value

<80%

Effective IV 40.1% (ATM 22.7% + spread 8.7% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 15.30% (spread 8.70% + slippage 6.60%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 19.87 (vega 17.289 / spread 8.70%) — efficient

Sentiment

Bullish or bearish?

4.8

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBearish - Weak signal (Conviction: -12%, Raw: -12%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -12% (bearish) — Raw: -12%

OI Skew Magnitude

≥15%

|OI skew| 4.7% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +8.5%, OI skew -4.7% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 38%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -8%, ATM: -4%, OTM: -19% — neutral (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 47% — neutral vs sector

Activity

Unusual activity?

3.0

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.8x avg — normal

Turnover Rate

≥15%

Vol/OI 5.0% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change -7.4% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 85% — very active vs sector

Trade Quality

≥30%

Large trade volume 12% — mostly retail

Execution Urgency

≥60%

Aggressive execution 31% — patient

Flow Conviction

≥30

Conviction -12 (bearish) — mixed

Liquidity

Can I trade efficiently?

5.4

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks5/8 checks passed

Tradeable Spread

≤5.0%

Spread 8.7% — wide

Adequate OI

≥10,000

OI 668,464 — deep

Active Volume

≥500

Volume 33,302/day — active

Reasonable Cost

≤$0.50

$0.43 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 19% — much tighter than sector

Order Book Depth

≥100 contracts

Depth 199.0 contracts (bid:76.4 ask:122.6) — adequate

Execution Quality

<1.0%

Avg slippage 6.60% — poor

Timing

Is now a good time?

7.3

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -17.3% — contango

IV Percentile Clarity

<30 or >70

IV percentile 12% — buyer opportunity

Event Detection

≥10pts kink

IV kink -2.3pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 70.05 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -12% @ 56% consistency — unclear

Smart Money Timing

≥40 composite score

Score 42 (ITM 20% + inst 12%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls6.4

bullishIV cheap, mixed flow

Long Puts6.5

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put4.5

bullishIV too cheap, mixed flow

Covered Call4.6

bearishIV too cheap, mixed flow

For educational purposes only. Not investment advice.