JPMorgan Chase (JPM)

JPMorgan Chase

JPM

Q2 2026 Earnings

Reports in

-4days

Tue, Jul 14 · Before open

Options-implied move

±3.7%

$329.73 · $355.27 · via ATM straddle

ATM IV

23.0%

Δ term slope 0.1 v/30d

IV-based EM

±4.7%

σ 23% · 15d

ATM Straddle

$12.78

Strike $342.50

IV Rank

24%

52w 19–37%

Provider signals

Crowding and flow context

Signal score 31

Short days

2.4

26.9M shares short

P/C volume

0.55x

9.4K puts / 17.2K calls

P/C OI

0.91x

83K puts / 90.8K calls

Actions

5/0

dividend / split events

massive · short 2026-06-30 · IV coverage 69%

Expected move

Probability density around spot

Log-normal model with ATM IV 23.0% over 15 days. Range $329.73–$355.27.

$318.56 · -7.0%Spot $342.50$366.44 · +7.0%

Spot

−3.7%

+3.7%

Straddle bandIV bandLog-normal density

Hover for probability · click to pin

Term structure

Implied range across expiries

Spot × (1 ± EM) at each expiry. Hover an expiry for details.

4 expiries

Historical

Realized moves · last 8 quarters

Close-to-close moves; implied range pending historical option chains.

EPS beat 8/8

EPS surprisevs sell-side consensus

Realized (up)Realized (down)

ATM greeks

Greeks by expiry

ATM call · delta hedge ratios, sensitivity to vol and time.

Expiry	DTE	ATM IV	Δ Delta	Γ Gamma	𝜈 Vega	Θ Theta	Straddle
Jul 31Earnings K $343	15d	22.99%	0.534	0.0246	0.28	-0.22	$12.78
Aug 14 K $345	29d	22.84%	0.494	0.0180	0.39	-0.16	$17.73
Aug 28 K $345	43d	22.88%	0.510	0.0147	0.47	-0.14	$21.63
Sep 18 K $345	64d	22.68%	0.522	0.0121	0.57	-0.12	$26.15

Options data · as of 2026-07-16Method: options math baseline