JBL Options History — January 2011

In January 2011, JBL traded between $19.76 and $21.62. ATM implied volatility averaged 36.3%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 1.0% (HV 20d: 37.3%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2011-01-20: Highest Volume — 7,602 contracts
  • 2011-01-13: Largest IV spike — 14.1% change
  • 2011-01-20: Highest IV Rank — 36.4%
  • 2011-01-20: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.70$19.76$21.62$20.89$20.21
Max Pain$18.75$16.00$20.00$16.00$20.00
ATM IV36.3%32.4%40.3%35.3%38.8%
Expected Move10.6%9.7%11.6%10.1%11.1%
HV 20d37.3%26.3%43.3%42.1%36.3%
HV 60d39.7%38.1%40.5%40.1%40.4%
IV Rank26.2%16.3%36.4%23.7%32.5%
IV Percentile18.6%3.6%38.9%13.1%32.1%
Term Structure2.1%0.2%4.2%2.8%2.5%
VWIV37.8%33.7%41.4%36.4%38.8%
Skew 25d3.2%1.0%4.7%1.6%3.4%
Skew 10d7.6%3.0%12.6%7.4%12.0%
Call IV 25d36.0%32.3%39.7%35.5%37.6%
Put IV 25d39.3%33.8%43.0%37.1%41.0%
Bid-Ask Spread %14.438.3119.288.5715.24
Gamma HHI0.220.170.550.220.20
Net GEX538.9K214.8K947.4K563.9K380.9K
Net DEX-44.3M-63.6M-17.9M-53.0M-23.8M
Net VEX-150.8K-178.4K-127.1K-127.1K-178.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.131.270.130.34
Total Volume3,0701,2177,6024,3481,428
Total OI68,083.449,94682,23269,08355,411

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$20.89$16.0035.3%10.1%42.1%23.7%36.4%1.6%2.8%563.9K-53.0M-127.1K0.138.573,86348536,34132,742
2011-01-04$20.80$16.0034.0%9.8%42.6%20.5%34.9%1.9%3.3%582.6K-51.6M-127.1K0.209.812,27146136,26732,799
2011-01-05$21.26$16.0033.9%9.7%41.3%20.1%33.7%1.7%3.4%586.1K-56.5M-127.9K0.158.312,65040537,05533,042
2011-01-06$21.45$16.0033.7%9.7%40.5%19.6%33.8%1.0%4.2%591.2K-59.1M-127.5K0.669.772,4051,59937,67233,113
2011-01-07$21.07$19.0033.0%10.7%41.7%17.8%38.0%3.9%1.3%607.8K-55.0M-136.3K0.1816.841,76831438,28134,178
2011-01-10$20.90$19.0035.3%11.1%41.6%23.6%40.4%4.7%1.6%626.3K-53.0M-137.8K0.8415.582,0191,68638,65834,291
2011-01-11$20.86$19.0035.1%10.9%41.6%23.3%38.7%3.2%1.6%638.3K-52.9M-142.2K0.4511.691,26156839,20335,522
2011-01-12$20.96$19.0032.4%10.6%41.3%16.3%37.7%3.6%2.0%644.1K-53.7M-141.3K0.3918.971,01339539,44435,918
2011-01-13$21.01$19.0037.0%10.6%40.6%27.8%39.7%4.3%1.6%636.1K-54.3M-140.0K0.7415.3870051739,44136,152
2011-01-14$21.34$19.0037.4%10.7%40.6%29.0%38.2%3.5%0.7%613.5K-58.0M-135.9K0.1316.573,35743239,57636,454
2011-01-18$21.62$19.0037.7%10.8%40.3%29.8%39.0%2.4%2.2%596.8K-63.6M-149.1K0.3216.301,26039841,52136,659
2011-01-19$20.90$19.0037.8%10.8%43.3%30.0%38.6%3.7%0.8%670.3K-55.1M-152.5K0.6514.582,3821,54341,58636,796
2011-01-20$20.65$19.0040.3%11.6%26.3%36.4%41.4%2.9%0.2%706.6K-52.5M-157.9K0.8016.564,2333,36942,34037,583
2011-01-21$19.84$20.0039.4%11.3%28.6%34.0%39.7%4.5%1.4%947.4K-38.9M-167.5K1.2719.282,8743,66442,80139,431
2011-01-24$20.17$20.0037.9%10.9%29.0%30.2%38.2%4.0%2.4%235.5K-20.7M-171.1K0.5916.981,7981,05828,24021,706
2011-01-25$19.76$20.0036.9%10.6%29.8%27.6%37.6%3.4%3.1%214.8K-17.9M-171.3K0.2113.491,31127929,10122,388
2011-01-26$19.85$20.0036.5%10.5%29.8%26.8%36.3%2.7%1.8%237.3K-19.0M-172.0K0.1313.902,83035629,42422,507
2011-01-27$20.61$20.0036.1%10.3%32.7%25.6%36.4%4.6%2.0%376.6K-27.2M-176.1K0.2914.191,97956830,90222,600
2011-01-28$19.81$20.0037.5%10.7%35.8%29.1%38.3%4.0%3.6%322.0K-19.9M-177.7K0.4816.581,28461731,70722,816
2011-01-31$20.21$20.0038.8%11.1%36.3%32.5%38.8%3.4%2.5%380.9K-23.8M-178.4K0.3415.241,06236632,17923,232