JBL Options History — June 2011

In June 2011, JBL traded between $18.26 and $20.78. ATM implied volatility averaged 41.4%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 6.2% (HV 20d: 35.2%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.28.

Notable Days

  • 2011-06-21: Highest Volume — 19,489 contracts
  • 2011-06-22: Largest IV drop — 31.8% change
  • 2011-06-20: Highest IV Rank — 89.8%
  • 2011-06-20: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.41$18.26$20.78$20.49$20.20
Max Pain$20.05$20.00$21.00$20.00$20.00
ATM IV41.4%31.7%56.1%35.4%31.7%
Expected Move12.2%9.1%16.1%10.2%9.1%
HV 20d35.2%29.9%40.9%35.7%36.2%
HV 60d37.9%33.5%41.7%41.3%34.4%
IV Rank35.3%0.0%89.8%12.5%0.0%
IV Percentile46.1%0.0%98.0%9.9%0.0%
Term Structure-0.7%-9.5%7.7%7.7%2.8%
VWIV42.7%31.4%56.9%34.7%31.4%
Skew 25d5.9%2.9%10.3%4.0%6.0%
Skew 10d13.8%6.7%27.5%9.8%9.6%
Call IV 25d40.5%27.0%52.9%34.1%27.0%
Put IV 25d46.4%33.0%61.8%38.1%33.0%
Bid-Ask Spread %14.3310.0521.9011.3312.84
Gamma HHI0.160.120.210.210.18
Net GEX415.9K94.5K1.0M1.0M342.4K
Net DEX-15.0M-37.6M4.9M-34.2M-26.9M
Net VEX-244.6K-271.7K-209.9K-248.9K-271.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.3212.522.202.85
Total Volume5,722.2731,04219,4892,1624,446
Total OI78,558.95559,88386,72874,94280,671

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$20.49$20.0035.4%10.2%35.7%12.5%34.7%4.0%7.7%1.0M-34.2M-248.9K2.2011.336751,48749,37225,570
2011-06-02$20.78$20.0034.0%9.8%33.4%7.7%35.1%4.1%7.5%968.9K-37.6M-254.6K3.1015.108462,62449,70026,817
2011-06-03$19.95$21.0036.3%12.6%32.3%15.4%44.1%5.6%-1.9%569.5K-21.9M-247.7K0.7813.612,4401,90149,66628,930
2011-06-06$19.81$20.0038.6%12.9%30.8%23.4%45.0%6.3%-2.2%602.6K-21.1M-247.4K1.1112.6449354950,55529,139
2011-06-07$19.89$20.0037.0%12.7%29.9%19.2%44.2%5.9%-1.7%611.1K-22.2M-246.5K0.4612.0995844550,66529,265
2011-06-08$19.29$20.0039.1%13.2%30.3%27.3%43.9%6.0%-2.5%498.7K-13.0M-236.4K2.4210.056851,65550,82829,417
2011-06-09$19.53$20.0043.6%12.5%31.0%43.7%42.7%6.1%-2.4%390.7K-14.1M-238.5K0.3214.883,9461,25150,63530,550
2011-06-10$19.08$20.0045.0%12.9%31.6%48.9%44.7%5.9%-1.9%443.4K-8.9M-229.7K3.2616.161,3724,47751,60930,179
2011-06-13$19.16$20.0046.3%13.3%31.7%53.6%45.7%5.9%-3.0%94.5K-6.8M-229.6K12.5221.903534,41851,96433,327
2011-06-14$19.74$20.0044.6%12.8%33.6%47.2%45.2%6.3%-2.4%325.7K-18.0M-234.6K0.3916.481,09643252,01031,598
2011-06-15$18.92$20.0047.0%13.5%36.0%56.3%47.1%6.6%-3.0%322.2K-5.2M-223.0K2.2312.221,0922,43352,63631,685
2011-06-16$18.60$20.0050.0%14.3%36.0%67.4%51.6%6.8%-5.0%177.0K1.2M-214.6K1.7713.031,3282,34452,14633,047
2011-06-17$18.29$20.0052.4%15.0%36.2%76.0%51.1%6.4%-6.4%511.7K4.9M-209.9K2.9010.982,8768,33152,69834,030
2011-06-20$18.26$20.0056.1%16.1%36.2%89.8%56.9%8.8%-6.1%208.6K-3.9M-216.7K0.6316.537,4614,68936,39423,489
2011-06-21$18.85$20.0054.9%15.7%38.6%85.3%55.1%10.3%-9.5%331.0K-10.8M-244.0K1.0018.049,7279,76240,61525,848
2011-06-22$19.45$20.0037.5%10.7%40.6%21.1%36.7%4.9%2.2%412.7K-18.8M-262.0K0.8818.159,5028,33145,73530,802
2011-06-23$19.10$20.0037.9%10.9%40.9%22.7%38.1%5.2%2.1%257.8K-10.9M-253.9K1.3214.143,6454,81243,59529,744
2011-06-24$19.14$20.0037.3%10.7%39.9%20.4%37.5%2.9%2.8%274.9K-12.8M-262.1K3.0612.391,0263,13844,91231,202
2011-06-27$19.35$20.0038.6%11.1%39.6%25.3%38.5%5.0%2.1%254.0K-14.2M-268.6K0.5716.4388650445,17433,139
2011-06-28$19.54$20.0034.1%9.8%39.2%8.8%35.8%5.9%2.9%299.8K-17.0M-269.8K2.3212.479162,12345,50233,278
2011-06-29$19.69$20.0032.9%9.4%35.2%4.2%33.4%5.0%3.6%239.6K-18.7M-270.2K4.1613.778553,56045,65734,502
2011-06-30$20.20$20.0031.7%9.1%36.2%0.0%31.4%6.0%2.8%342.4K-26.9M-271.7K2.8512.841,1553,29145,91234,759