JPM 20-day volatility: the current reading and its track record
JPM’s current 20-day volatility reading and what that signal has historically been followed by.
This page covers JPMorgan Chase & Co. (JPM) — its current 20-day volatility reading and the measured historical record of what JPM 20-day volatility extremes were followed by.
How to read this. These figures are measured only on instruments currently covered by this site — a set of companies that survived. Signals that appear to have ‘worked’ on the downside are conditioned on these names having recovered; a company that fell and never came back would not be here to measure. Read every number below as a property of this surviving sample, not a universal rule, and never as advice.
All figures are ‘excess’ returns — measured relative to each instrument’s own historical drift, not relative to the market. This is not alpha and not a market-beating claim; it isolates the signal from the instrument’s background trend. Measured from the first day each signal appeared (not its most extreme point), so it reflects what was knowable in real time.
Measured across JPM’s 20-day volatility history from 1980 to 2026: 31 high-extreme episodes and 72 low-extreme episodes. High-extreme readings were followed by +1.99% excess at 5 sessions and -0.75% by 20; low-extreme readings were followed by -0.15% excess at 5 sessions and -1.03% by 20.
On this signal, the most recent episode in which JPM was at a high extreme began on 2020-03-10; the most recent in which it was at a low extreme, on 2026-09-01.
Outcomes are measured for episodes up to 2026-09-01, the most recent with enough later sessions to score. The current reading above is from a later date, 2026-10-16.
When JPM was at a high extreme
Across 31 past episodes where JPM was at a high extreme on this signal, the close 20 sessions later lagged JPM’s own trailing drift by 0.75 percentage points on average (52% of episodes beat drift).
| horizon | excess vs own drift | beat-drift rate | episodes with a complete horizon |
|---|---|---|---|
| 1 session | +0.50% | 35% | 31 |
| 5 sessions | +1.99% | 65% | 31 |
| 20 sessions | -0.75% | 52% | 31 |
When JPM was at a low extreme
Across 72 past episodes where JPM was at a low extreme on this signal, the close 20 sessions later lagged JPM’s own trailing drift by 1.03 percentage points on average (47% of episodes beat drift).
| horizon | excess vs own drift | beat-drift rate | episodes with a complete horizon |
|---|---|---|---|
| 1 session | -0.12% | 39% | 72 |
| 5 sessions | -0.15% | 51% | 72 |
| 20 sessions | -1.03% | 47% | 72 |
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