thetaOwl
HomeOptionsJPMReports

JPM

JP Morgan Chase & Co.Close $301.98EOD only
Max Pain
$300.00
Next expiry May 22, 2026
Expected Move
±$4.92
1.6% from close
Price Gap
-1.98
Distance to max pain
IV Rank
1
Low premium
P/C OI
1.07
Balanced positioning
Consensus
4/4
Partial coverage
Published snapshot: May 20, 2026 close
End-of-day snapshot

This page reflects JPM options positioning from the latest published market-close snapshot. Intraday price and contract changes are not displayed.

Published Snapshot
May 20, 2026 close
JPM Earnings Report
Analysis based on market close March 31, 2026
DirectionalTheta GangFlowEarningsConsensus

Consensus-supported lens with chain history and key metrics in the rail.

Earnings Verdict

Earnings expected around 4/14 (implied by IV kink). IV is elevated for the 4/17 expiration (33.7% vs 27.8% pre-earnings). Historical pattern shows a high beat rate and tendency to move less than the expected move. Best strategy is selling premium via an iron condor, with a long strangle as a higher-risk alternative for a surprise move.

Confidence:
6.5 / 10
base 5; +1 for clear earnings IV kink; +0.5 for strong historical beat rate; -0 for data quality
Most important: IV term structure shows a clear kink at the 4/17 expiration, implying earnings that week. Historical moves average 2.3% vs an expected 5.7% for the 4/17 cycle, supporting premium-selling strategies.
📅Earnings date implied as ~4/14 by IV kink at 4/17 expiration. Confirm via company IR.
📊Historical moves average 2.3% vs current 5.7% EM. Strong statistical edge for selling premium.
⚠️Unusual OTM put flow at $250/$230 suggests some are hedging for a tail event. Monitor.

Regime Classification

Vol Regime
Normal (IV 29%)
Gamma Regime
Pinning (GEX +$26.9M)
Flow Regime
Mixed (net prem +$27.2M, P/C 0.81)
Spot vs MP
Above max pain by 1.4% (spot $294.16 vs MP $290)
Gamma flip: ~$200.00 — Estimated ~$200 based on put OI concentration. Spot is well above, suggesting stability near current levels.

Earnings Overview

Next earnings: 2026-04-14 (14 days)implied (IV kink at 4/17 expiration, 17 days out)

Expected moves:

  • 4/17 (17d): ±$16.77 (5.7%) [$277.39 - $310.94]

IV Setup

Term structure: Clear kink at 4/17 expiration: IV 33.7% vs 27.8% (4/10) and 32.6% (4/24).

Crush estimate: ~5-7 vol pts post-earnings, back to ~28-29% range.

Skew: Unusual activity shows large OTM put purchases ($250, $230) for April, suggesting some tail hedging.

Historical Context

Beat rate: 75% (3/4 quarters)

Avg move vs expected: Actual ~2.3% vs EM ~5.7% (based on 4/17 cycle) — significant under-move tendency.

Directional bias: Mixed: 2 gaps up, 1 gap down, 1 flat in last 4 quarters.

Key Levels

1$290 (near-term max pain)
2$295 (spot, 4/17 max pain)
3$310 (EM upper bound approx)
4$277.5 (EM lower bound approx)
5$250 (major put OI)

Flow Highlights

Large OTM put buying in April: $250P 4/10 (Vol 844 vs OI 303, IV 50.5%) and $230P 5/08.

Institutional hedging or speculation on a significant downside move, though far OTM.

Heavy volume in near-term $295P and $297.5P for 4/02 expiration.

Short-term downside protection or speculation ahead of earnings.

Net premium flow heavily bullish ($27.2M net), dominated by deep OTM call buying (e.g., $200C).

Likely speculative long-dated call spreads or leverage plays, not directly related to earnings.

Strategies

Iron Condor (Premium Sale)
Sell $280/$277.5P x Buy $310/$312.5C 4/17
Credit: $1.10-$1.40
Max loss: $1.40
Max gain: $1.25
BE: 278.75 / 311.25
Trigger: Enter 3-5 days before implied earnings date (week of 4/7).
Capitalizes on elevated IV (33.7%) and high probability of an under-move based on history. Strikes placed just inside the 5.7% expected move boundaries.
Outperforms: Stock stays within a ~$32 range ($278-$311). Historical under-move supports this.
Underperforms: Gap exceeds expected move by >15% (outside $274-$314).
Long Strangle (Directional Surprise)
Buy $280P x Buy $310C 4/17
Max loss: Debit paid
Max gain: Unlimited
BE: Below ~$277 / Above ~$313
Trigger: Enter only if IV for 4/17 stays below 35% and you anticipate a surprise >6%.
Higher-risk play betting against the historical under-move trend. Requires a significant EPS/guidance surprise. Use smaller size.
Outperforms: Actual move exceeds expected move (>5.7%).
Underperforms: Stock moves less than ~4% and IV crushes post-earnings.
Put Calendar Spread (Theta Play)
Sell $290P 4/10 x Buy $290P 4/17
Credit: $0.40-$0.70
Max loss: Width of strikes (0) minus credit
Max gain: Full credit received
BE: Stock above $290 at 4/10 expiry, or manages IV crush on long leg.
Trigger: Enter now, close short leg before 4/10 expiry.
Exploits the IV differential (27.8% vs 33.7%) between pre- and post-earnings expirations. Benefits from theta decay on the short leg and potential IV crush on the long leg after earnings.
Outperforms: Stock stays flat or rises, and IV crush on the 4/17 leg is less than decay on the 4/10 leg.
Underperforms: Stock drops sharply, pinning risk at $290, or IV spike in near-term leg.

Risk Assessment

!Gap Risk: Expected move is ±5.7% ($16.77). While history favors under-moves, banking sector news or guidance could trigger a larger reaction.
!IV Crush: Estimated 5-7 vol point drop post-earnings. Long premium strategies need a move >5.7% to overcome crush.
!Liquidity: Excellent (619k total OI). Strikes are liquid with $2.5/$5 increments.
!Sizing: For premium-selling strategies (iron condor), size for max loss. For long strangle, keep position small (<1% of portfolio).

What to Watch

?IV trajectory for the 4/17 expiration into the earnings week.
?Any unusual flow into ATM or near-ATM options as earnings approach.
?Broader market and financial sector sentiment (XLF).
How to Use These Reports
This earnings reflects the market close on March 31, 2026.
What the reports do

Each report translates the same market-close options snapshot into a specific lens such as directional bias, premium-selling posture, flow quality, or earnings setup.

How traders use them

Reports are most useful for narrowing the playbook, surfacing entry and risk context, and deciding which raw data page to inspect next.

What to remember

These are interpretation layers, not execution guarantees. Validate the setup against chain liquidity, expected move, and exposure before sizing risk.

If the report conviction and the raw data disagree, slow down and resolve the mismatch before sizing risk.