JBL Options History — November 2010

In November 2010, JBL traded between $14.01 and $15.66. ATM implied volatility averaged 39.7%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 0.8% (HV 20d: 38.9%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2010-11-11: Highest Volume — 4,998 contracts
  • 2010-11-11: Largest IV spike — 14.1% change
  • 2010-11-16: Highest IV Rank — 48.4%
  • 2010-11-16: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.80$14.01$15.66$14.91$15.11
Max Pain$14.24$14.00$15.00$14.00$15.00
ATM IV39.7%34.2%45.1%39.2%43.2%
Expected Move11.5%10.7%12.9%11.2%12.4%
HV 20d38.9%33.5%44.9%37.1%41.8%
HV 60d41.2%39.0%44.2%44.2%39.2%
IV Rank34.9%21.0%48.4%33.5%43.6%
IV Percentile33.4%7.9%59.1%29.4%52.8%
Term Structure4.5%0.9%7.8%2.4%4.1%
VWIV40.2%37.4%43.0%40.8%43.0%
Skew 25d5.1%-2.3%7.7%3.2%5.3%
Skew 10d13.1%-8.7%25.6%17.4%9.0%
Call IV 25d38.6%33.7%41.6%38.4%39.6%
Put IV 25d43.8%39.3%48.4%41.7%44.9%
Bid-Ask Spread %28.0422.7635.0231.9027.48
Gamma HHI0.190.130.720.140.17
Net GEX212.8K-17.9K1.9M93.7K131.4K
Net DEX-5.4M-13.9M2.1M-6.1M-7.2M
Net VEX-95.2K-101.8K-81.8K-101.7K-83.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.111.750.540.43
Total Volume1,337.6672904,9981,1172,342
Total OI52,680.14347,03156,21152,09247,576

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$14.91$14.0039.2%11.2%37.1%33.5%40.8%3.2%2.4%93.7K-6.1M-101.7K0.5431.9072739023,12328,969
2010-11-02$15.00$14.0039.4%11.3%34.3%34.1%39.4%3.1%0.9%118.9K-7.2M-101.4K0.7526.5846834923,38629,173
2010-11-03$14.76$14.0037.9%10.9%33.5%30.2%38.8%5.7%2.9%89.1K-4.8M-101.8K1.1334.1026930323,53029,326
2010-11-04$15.30$14.0037.8%10.8%35.4%29.9%37.4%7.7%1.8%157.2K-9.6M-100.3K0.1127.262,36425823,56229,373
2010-11-05$15.63$14.0034.2%10.7%35.9%21.0%39.1%6.2%4.4%232.3K-13.4M-100.3K0.7424.0457542724,86829,505
2010-11-08$15.66$14.0035.3%10.9%35.6%23.6%38.3%5.6%4.9%254.8K-13.9M-97.6K0.4825.7953325425,10629,566
2010-11-09$15.36$14.0037.8%11.5%36.5%29.9%41.1%5.3%4.0%249.1K-11.0M-98.8K1.2224.0836444425,28429,571
2010-11-10$15.10$14.0037.5%11.4%36.3%29.2%39.6%4.0%4.8%238.4K-8.4M-99.2K0.6022.7632619524,56129,760
2010-11-11$14.40$14.0042.8%12.3%39.5%42.5%39.9%7.4%4.1%121.7K-1.6M-97.5K0.3828.893,6191,37924,59029,831
2010-11-12$14.39$14.0043.5%12.5%39.5%44.3%40.1%7.1%4.2%104.1K-1.6M-99.9K0.4029.0258023224,69530,441
2010-11-15$14.55$14.0040.4%11.6%39.6%36.6%40.9%7.6%4.6%171.9K-3.2M-98.2K0.1527.2697114424,87130,722
2010-11-16$14.09$14.0045.1%12.9%36.8%48.4%41.3%6.9%3.1%44.6K993.9K-96.4K0.2626.9675719425,23430,597
2010-11-17$14.01$14.0043.0%12.3%36.4%43.1%42.8%6.4%5.4%-3542.1M-94.4K0.8528.5015713325,15530,708
2010-11-18$14.87$14.0038.6%11.1%42.1%32.0%40.1%4.1%7.5%339.7K-6.7M-95.7K0.3131.301,31140625,17730,750
2010-11-19$15.03$14.0038.5%11.0%42.2%31.7%38.6%3.6%6.3%1.9M-9.3M-94.6K0.2726.551,50740025,43230,779
2010-11-22$14.64$14.0039.6%11.3%43.0%34.4%40.4%-2.3%7.0%38.8K-2.8M-90.0K1.7535.027861,37321,69126,451
2010-11-23$14.24$15.0042.7%12.2%44.0%42.4%40.3%5.4%4.7%-17.9K261.6K-91.7K0.5426.6157230722,10127,000
2010-11-24$14.61$15.0037.3%10.7%44.9%28.7%39.4%5.6%7.8%33.7K-2.5M-90.9K0.5128.8093347522,34427,116
2010-11-26$14.59$15.0039.8%11.4%42.3%35.0%40.7%4.9%5.8%71.5K-3.3M-83.2K0.6427.4729518922,48624,545
2010-11-29$14.59$15.0041.2%11.8%40.9%38.6%42.9%5.1%4.5%73.4K-3.5M-81.8K0.7228.4345432922,65224,676
2010-11-30$15.11$15.0043.2%12.4%41.8%43.6%43.0%5.3%4.1%131.4K-7.2M-83.4K0.4327.481,64070222,69824,878