JBL Options History — April 2011

In April 2011, JBL traded between $18.79 and $20.92. ATM implied volatility averaged 37.8%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 6.2% (HV 20d: 44.0%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2011-04-29: Highest Volume — 10,507 contracts
  • 2011-04-11: Largest IV spike — 18.8% change
  • 2011-04-11: Highest IV Rank — 43.6%
  • 2011-04-11: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.83$18.79$20.92$20.04$19.84
Max Pain$20.80$20.00$22.00$20.00$20.00
ATM IV37.8%33.3%43.2%39.3%36.2%
Expected Move11.0%9.5%12.0%11.3%10.4%
HV 20d44.0%28.1%54.3%54.0%32.9%
HV 60d44.1%42.8%44.9%44.2%43.9%
IV Rank23.3%8.3%43.6%33.8%11.5%
IV Percentile25.5%1.6%61.5%36.9%12.3%
Term Structure1.6%-0.2%3.5%1.5%3.5%
VWIV38.0%33.1%42.2%40.2%38.0%
Skew 25d5.1%-0.4%7.0%7.0%-0.4%
Skew 10d10.1%-5.8%16.7%8.0%-5.8%
Call IV 25d36.1%31.7%40.0%35.6%37.7%
Put IV 25d41.1%35.9%44.9%42.5%37.3%
Bid-Ask Spread %14.6010.5419.1411.1215.06
Gamma HHI0.160.120.190.140.19
Net GEX393.6K147.2K705.7K347.5K422.0K
Net DEX-14.4M-31.7M-218.3K-12.1M-15.1M
Net VEX-225.9K-245.7K-209.2K-215.6K-243.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.0812.050.480.44
Total Volume3,463.566310,5073,13710,507
Total OI69,128.5559,88677,51967,02072,118

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$20.04$20.0039.3%11.3%54.0%33.8%40.2%7.0%1.5%347.5K-12.1M-215.6K0.4811.122,1191,01837,77529,245
2011-04-04$20.47$22.0039.9%11.8%54.3%35.2%39.9%5.6%0.3%432.6K-18.0M-218.4K0.3918.301,01039638,36229,773
2011-04-05$20.44$22.0039.1%11.4%54.3%33.2%39.3%6.7%0.4%468.6K-17.8M-215.3K0.3414.763,6421,23638,51229,791
2011-04-06$20.41$22.0038.5%11.4%52.1%31.7%39.2%6.3%1.3%543.7K-18.3M-220.3K0.8011.801,8301,45740,32729,955
2011-04-07$20.35$22.0038.9%11.6%51.9%32.7%41.0%6.7%-0.2%543.0K-17.4M-231.7K0.7012.4339127241,88231,308
2011-04-08$19.79$22.0036.4%11.5%52.6%26.4%42.2%5.7%0.9%393.3K-9.3M-224.3K0.4915.2097547641,91131,401
2011-04-11$19.27$21.0043.2%12.0%53.3%43.6%41.0%5.9%0.5%225.3K-2.2M-211.1K0.4119.141,45358942,31231,446
2011-04-12$19.09$21.0042.2%12.0%53.4%41.0%42.0%5.8%1.0%164.0K-218.3K-209.2K0.0815.745,34742442,57231,554
2011-04-13$19.27$21.0036.6%11.7%51.4%18.2%40.4%4.1%2.3%289.1K-7.0M-232.5K0.4715.3877136646,17231,121
2011-04-14$18.95$21.0040.4%11.6%49.8%28.8%35.4%6.1%1.1%147.2K-3.2M-227.3K0.7516.8795371746,24531,274
2011-04-15$19.18$21.0038.5%11.0%49.8%23.6%36.5%5.8%1.7%164.0K-6.5M-226.9K3.6714.088913,27246,25331,050
2011-04-18$18.79$21.0038.3%11.0%47.1%22.9%38.6%5.5%3.0%200.8K-7.3M-217.4K0.5113.241,63383736,19023,696
2011-04-19$19.00$20.0037.8%10.8%46.1%21.6%36.5%4.5%2.2%241.9K-9.4M-219.9K0.1810.542,82651936,80624,079
2011-04-20$19.63$20.0033.3%9.5%28.7%8.8%34.0%5.3%2.9%411.8K-16.2M-229.4K0.1312.744,06153138,60724,388
2011-04-21$19.91$20.0033.3%9.5%28.1%8.7%33.1%4.2%3.5%452.5K-18.9M-229.1K0.2014.301,35527738,43924,669
2011-04-25$19.97$20.0035.1%10.1%28.1%8.3%36.0%3.8%2.2%487.2K-20.0M-225.7K0.1112.463,28534838,78824,638
2011-04-26$20.49$20.0036.8%10.6%29.9%13.4%35.5%4.1%0.8%597.0K-26.7M-233.2K1.0117.962,3772,39639,61624,760
2011-04-27$20.92$20.0036.6%10.5%30.9%12.7%35.6%4.5%0.4%635.7K-31.7M-241.4K0.3816.943,6621,40940,47925,764
2011-04-28$20.83$20.0035.5%10.2%30.8%9.3%36.0%4.2%2.0%705.7K-31.1M-245.7K12.0513.992793,36342,58526,708
2011-04-29$19.84$20.0036.2%10.4%32.9%11.5%38.0%-0.4%3.5%422.0K-15.1M-243.0K0.4415.067,3043,20342,66529,453