JBL Options History — March 2011

In March 2011, JBL traded between $18.59 and $21.79. ATM implied volatility averaged 46.2%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 2.0% (HV 20d: 48.3%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.91.

Notable Days

  • 2011-03-23: Highest Volume — 21,486 contracts
  • 2011-03-23: Largest IV drop — 32.6% change
  • 2011-03-17: Highest IV Rank — 83.1%
  • 2011-03-17: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.62$18.59$21.79$21.10$20.43
Max Pain$20.35$19.00$21.00$19.00$20.00
ATM IV46.2%37.8%58.9%44.1%40.1%
Expected Move13.6%10.8%16.9%12.7%11.5%
HV 20d48.3%44.3%54.9%44.8%53.7%
HV 60d41.8%37.5%44.4%40.9%44.3%
IV Rank51.2%30.1%83.1%45.9%35.6%
IV Percentile65.2%31.0%98.0%65.9%42.5%
Term Structure-1.8%-9.3%5.3%4.7%1.7%
VWIV47.7%38.0%58.2%44.9%38.6%
Skew 25d6.7%3.8%9.1%3.8%7.5%
Skew 10d14.3%9.9%19.9%11.3%17.3%
Call IV 25d44.8%35.5%55.3%43.5%35.5%
Put IV 25d51.5%41.7%64.4%47.2%43.0%
Bid-Ask Spread %15.0310.3821.5412.6811.37
Gamma HHI0.150.120.220.130.14
Net GEX444.7K6.6K656.5K500.0K413.9K
Net DEX-23.5M-36.7M-2.0M-30.1M-17.3M
Net VEX-197.2K-226.4K-180.3K-195.1K-220.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.253.900.660.46
Total Volume4,409.04390821,4861,2131,479
Total OI60,931.26146,19468,68058,21066,677

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$21.10$19.0044.1%12.7%44.8%45.9%44.9%3.8%4.7%500.0K-30.1M-195.1K0.6612.6873248134,39423,816
2011-03-02$21.49$19.0043.1%12.4%44.4%43.4%42.9%5.6%5.3%557.8K-34.0M-194.1K1.9216.656781,30534,61424,046
2011-03-03$21.74$19.0040.9%11.7%44.5%37.8%40.8%3.8%4.6%591.5K-36.7M-192.8K0.3614.541,09839034,96125,021
2011-03-04$21.79$21.0038.6%13.4%44.3%31.9%46.6%6.5%-3.7%565.6K-36.5M-192.4K0.8718.5981070834,78025,161
2011-03-07$21.33$21.0044.0%14.2%44.8%45.7%50.5%7.2%-3.5%514.8K-31.6M-192.1K0.8419.7769257934,98125,435
2011-03-08$21.36$21.0042.2%14.2%44.4%41.0%50.1%6.8%-3.7%540.6K-32.7M-189.2K0.3721.5466424435,03225,620
2011-03-09$20.45$21.0042.8%14.5%46.9%42.7%50.7%7.1%-3.3%439.3K-23.2M-186.5K0.3217.642,95193635,36425,648
2011-03-10$20.22$21.0051.8%14.8%46.9%65.2%52.0%8.2%-4.5%537.9K-21.3M-188.2K0.4913.411,08052836,99825,623
2011-03-11$20.48$21.0051.2%14.7%47.2%63.7%50.9%6.0%-4.1%628.7K-24.7M-187.3K1.0117.6247347737,07725,910
2011-03-14$20.43$21.0053.2%15.2%46.8%68.7%52.0%7.4%-4.2%656.5K-24.1M-182.4K3.9014.226132,38837,09425,915
2011-03-15$20.41$21.0055.0%15.8%44.9%73.5%55.6%8.0%-6.7%638.3K-23.3M-191.9K0.3518.352,9121,03037,37327,761
2011-03-16$19.55$21.0057.1%16.4%46.8%78.6%58.2%8.7%-6.1%216.9K-11.7M-186.7K0.5916.071,8911,10936,44928,251
2011-03-17$18.80$21.0058.9%16.9%46.9%83.1%57.6%9.1%-8.3%6.6K-3.6M-180.3K0.3215.534,7651,54836,98828,874
2011-03-18$18.59$21.0054.4%15.6%45.6%71.9%55.8%7.6%-5.5%137.5K-2.0M-180.3K1.0715.901,3091,40439,53929,141
2011-03-21$19.51$21.0052.7%15.1%50.0%67.6%53.0%7.4%-6.6%207.3K-11.3M-188.1K0.3311.684,8911,60628,06518,129
2011-03-22$18.93$20.0056.2%16.1%45.3%76.3%56.5%8.0%-9.3%240.6K-8.4M-187.0K0.8316.529,1877,67130,13718,826
2011-03-23$20.99$19.0037.8%10.8%54.9%30.1%39.6%4.8%3.3%554.1K-28.9M-198.8K0.7910.9911,9869,50033,25720,657
2011-03-24$21.42$20.0040.4%11.6%54.8%36.4%40.4%5.2%0.9%436.3K-28.2M-211.9K1.1715.203,7444,39733,55523,696
2011-03-25$21.28$20.0039.5%11.3%53.8%34.2%39.9%4.9%2.6%441.9K-27.1M-218.8K2.0110.382,0654,14334,80126,410
2011-03-28$21.38$20.0040.7%11.7%53.1%37.4%42.2%7.0%2.2%442.8K-28.4M-221.4K0.8111.691,8451,49535,50928,258
2011-03-29$21.37$20.0039.9%11.4%52.8%35.2%38.0%6.7%1.4%459.7K-28.5M-226.4K0.2512.471,34134136,45228,935
2011-03-30$21.19$20.0038.3%11.0%52.5%31.2%40.2%6.3%1.8%498.9K-26.6M-224.4K1.2112.938711,05137,10029,089
2011-03-31$20.43$20.0040.1%11.5%53.7%35.6%38.6%7.5%1.7%413.9K-17.3M-220.2K0.4611.371,01046937,48429,193