JBL Options History — May 2011

In May 2011, JBL traded between $19.49 and $21.74. ATM implied volatility averaged 37.9%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 2.1% (HV 20d: 35.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2011-05-06: Highest Volume — 13,597 contracts
  • 2011-05-26: Largest IV drop — 8.6% change
  • 2011-05-05: Highest IV Rank — 26.0%
  • 2011-05-05: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.89$19.49$21.74$20.29$21.58
Max Pain$19.90$19.00$20.00$20.00$20.00
ATM IV37.9%31.7%41.0%39.2%33.0%
Expected Move10.9%9.1%11.8%11.2%9.5%
HV 20d35.8%30.0%40.0%33.3%30.0%
HV 60d43.2%39.8%46.0%44.1%40.1%
IV Rank17.2%0.0%26.0%20.5%4.4%
IV Percentile27.3%0.0%50.4%34.5%1.2%
Term Structure3.4%-0.2%7.6%-0.2%5.3%
VWIV38.5%32.0%41.9%39.4%33.7%
Skew 25d4.3%-1.1%6.9%2.1%6.0%
Skew 10d10.7%-0.2%18.4%0.7%18.1%
Call IV 25d36.6%29.2%41.9%38.7%29.2%
Put IV 25d41.0%34.1%44.8%40.8%35.2%
Bid-Ask Spread %15.569.6019.2918.059.60
Gamma HHI0.180.120.330.120.21
Net GEX955.8K238.1K1.7M422.4K1.2M
Net DEX-36.3M-49.4M-8.1M-19.7M-49.4M
Net VEX-258.1K-273.2K-241.4K-251.9K-252.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.083.890.121.13
Total Volume3,451.95292213,5971,4324,252
Total OI80,376.66768,89789,30377,99275,389

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$20.29$20.0039.2%11.2%33.3%20.5%39.4%2.1%-0.2%422.4K-19.7M-251.9K0.1218.051,27615646,03931,953
2011-05-03$20.17$20.0039.2%11.2%32.4%20.6%40.0%1.3%1.1%415.9K-18.7M-254.6K0.4714.5889942346,59932,051
2011-05-04$19.49$20.0041.0%11.7%34.6%25.9%41.7%-1.1%1.8%238.1K-8.1M-241.4K0.3719.293,4451,27646,53732,105
2011-05-05$20.47$20.0041.0%11.8%39.1%26.0%40.6%1.9%0.4%503.0K-24.9M-256.5K0.2418.036,3871,50647,56232,860
2011-05-06$20.99$20.0038.2%11.4%40.0%17.5%40.4%5.5%2.2%813.6K-34.3M-261.4K1.3913.025,6817,91649,87333,773
2011-05-09$21.37$20.0039.2%11.4%38.9%20.6%40.0%5.3%2.6%1.2M-42.1M-273.2K0.6011.581,51691053,24135,268
2011-05-10$21.74$19.0037.8%11.5%37.4%16.4%41.3%5.2%1.6%1.1M-49.0M-260.1K0.5314.753,1941,70149,21132,625
2011-05-11$21.58$19.0039.1%11.7%37.3%20.1%41.9%4.2%2.1%995.8K-47.8M-268.0K0.9213.891,2001,10851,21133,813
2011-05-12$21.59$20.0040.6%11.7%37.3%24.9%41.2%4.7%1.5%1.0M-47.2M-267.4K0.4116.2465326950,42533,862
2011-05-13$21.58$20.0040.8%11.7%36.5%25.2%40.8%4.4%1.9%1.1M-48.5M-264.3K0.1318.771,18414950,59233,552
2011-05-16$21.13$20.0041.0%11.8%37.7%25.9%41.5%6.1%2.9%1.1M-39.8M-257.9K0.2214.471,79039850,98433,546
2011-05-17$20.74$20.0039.3%11.3%37.5%20.9%39.6%5.5%2.9%1.1M-32.2M-251.5K0.0816.528,79873250,97633,377
2011-05-18$20.87$20.0037.9%10.9%37.4%16.6%37.6%5.1%3.7%1.4M-40.7M-268.1K0.3218.461,26540856,08933,214
2011-05-19$20.86$20.0036.4%10.4%36.0%12.2%36.4%4.9%5.1%1.7M-41.8M-261.7K1.2018.7657469055,96031,879
2011-05-20$20.74$20.0036.5%10.5%35.9%13.5%38.1%5.0%4.7%1.6M-39.1M-259.2K0.3315.101,24641755,98431,896
2011-05-23$20.57$20.0037.1%10.6%36.0%16.1%38.5%5.7%5.2%826.3K-33.7M-252.2K0.6415.361,22778845,40723,490
2011-05-24$20.38$20.0037.2%10.7%35.0%16.5%36.4%5.3%6.5%820.4K-31.7M-251.8K0.1915.411,37526446,03424,021
2011-05-25$20.44$20.0036.4%10.4%34.2%13.9%34.8%6.9%4.9%856.6K-32.2M-253.2K3.8917.348043,12646,43724,201
2011-05-26$20.90$20.0033.3%9.5%35.1%3.1%33.0%3.0%6.8%848.2K-37.8M-257.0K0.5012.7698749846,69525,923
2011-05-27$21.22$20.0031.7%9.1%30.4%0.0%32.0%3.8%7.6%922.5K-42.5M-255.6K0.1714.731,71928447,11526,141
2011-05-31$21.58$20.0033.0%9.5%30.0%4.4%33.7%6.0%5.3%1.2M-49.4M-252.1K1.139.601,9972,25549,10626,283