JBL Options History — July 2011

In July 2011, JBL traded between $18.31 and $21.35. ATM implied volatility averaged 34.8%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 1.9% (HV 20d: 36.7%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.84.

Notable Days

  • 2011-07-13: Highest Volume — 8,975 contracts
  • 2011-07-05: Largest IV spike — 27.9% change
  • 2011-07-29: Highest IV Rank — 45.9%
  • 2011-07-29: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.98$18.31$21.35$20.77$18.31
Max Pain$19.60$19.00$20.00$20.00$20.00
ATM IV34.8%26.0%41.1%26.0%41.1%
Expected Move10.3%7.4%11.8%7.4%11.8%
HV 20d36.7%33.8%40.7%34.4%39.5%
HV 60d36.0%34.4%36.9%34.8%36.2%
IV Rank26.8%0.0%45.9%0.0%45.9%
IV Percentile18.1%0.0%65.1%0.0%65.1%
Term Structure1.7%-0.2%6.0%6.0%1.1%
VWIV36.2%27.7%41.1%27.7%41.1%
Skew 25d5.4%3.8%6.3%6.1%5.7%
Skew 10d11.9%7.5%17.9%11.7%10.8%
Call IV 25d33.8%25.7%38.5%25.7%38.4%
Put IV 25d39.2%31.8%44.1%31.8%44.1%
Bid-Ask Spread %14.3510.2520.1910.2516.32
Gamma HHI0.180.150.210.190.15
Net GEX529.5K76.6K944.1K694.7K150.6K
Net DEX-23.8M-47.9M4.3M-37.9M4.3M
Net VEX-259.0K-268.3K-236.3K-268.3K-236.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.1911.001.190.78
Total Volume2,974.23878,9753,0856,398
Total OI80,401.873,33492,32379,84881,273

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$20.77$20.0026.0%7.4%34.4%0.0%27.7%6.1%6.0%694.7K-37.9M-268.3K1.1910.251,4081,67746,22033,628
2011-07-05$20.44$19.0033.2%9.9%34.9%22.0%35.2%6.2%1.5%458.9K-31.1M-262.0K1.0114.0354655346,28134,656
2011-07-06$20.83$19.0032.2%9.9%35.4%18.9%33.6%6.3%0.8%544.6K-37.0M-263.9K4.7015.459574,49846,01235,106
2011-07-07$21.32$19.0031.3%10.1%33.9%16.0%34.4%5.3%0.8%628.9K-45.6M-258.9K0.1913.973,18459546,12735,585
2011-07-08$21.35$19.0029.9%10.1%33.8%12.0%34.1%5.8%0.3%776.8K-47.9M-264.8K0.3815.511,00737848,23435,546
2011-07-11$20.19$19.0036.3%10.6%38.9%31.3%38.6%5.6%0.8%358.5K-25.7M-259.4K4.6216.388443,89648,67735,754
2011-07-12$19.95$19.0035.8%11.0%39.3%29.8%36.9%5.9%-0.2%146.6K-21.1M-257.1K0.7516.6270552848,88636,433
2011-07-13$20.21$19.0031.2%10.9%38.1%15.9%37.7%4.9%1.2%231.7K-27.7M-256.9K0.2614.657,1331,84249,07236,528
2011-07-14$19.71$19.0037.2%10.7%35.9%34.1%38.5%4.9%1.5%135.3K-18.2M-267.4K3.7216.085041,87753,67637,593
2011-07-15$19.79$20.0036.3%10.4%35.2%31.3%36.6%4.8%3.0%76.6K-16.7M-267.1K2.9420.191,0092,96553,42038,903
2011-07-18$19.29$20.0038.9%11.2%36.0%39.2%39.3%5.3%2.0%595.3K-15.4M-258.6K0.4211.631,74974046,28527,049
2011-07-19$20.03$20.0034.3%9.8%38.0%25.3%34.7%5.7%3.4%794.9K-25.2M-265.5K0.2711.831,75147646,46627,273
2011-07-20$19.83$20.0035.4%10.1%36.9%28.5%36.9%5.8%2.3%779.9K-22.5M-263.4K0.4613.0350322947,04927,490
2011-07-21$19.83$20.0034.3%9.8%35.3%25.2%34.7%5.0%2.3%797.0K-22.0M-262.3K0.3012.621,07332547,24827,632
2011-07-22$20.26$20.0034.6%9.9%35.3%26.0%34.1%3.8%1.4%944.1K-29.0M-264.7K1.1512.3546853747,63727,727
2011-07-25$19.93$20.0035.2%10.1%36.0%27.8%36.2%4.4%1.8%857.6K-23.9M-258.9K0.7312.9838427947,72627,951
2011-07-26$19.96$20.0035.3%10.1%35.8%28.1%35.2%6.0%2.1%875.1K-24.3M-258.4K1.2912.1616921847,84827,969
2011-07-27$18.95$20.0038.5%11.0%40.3%38.1%38.5%6.0%1.9%547.9K-10.6M-241.7K11.0017.475586,14047,88527,953
2011-07-28$18.56$20.0039.2%11.2%40.7%40.0%40.9%5.4%1.0%195.1K1.0M-244.2K0.6013.3986551647,96333,275
2011-07-29$18.31$20.0041.1%11.8%39.5%45.9%41.1%5.7%1.1%150.6K4.3M-236.3K0.7816.323,5932,80548,11233,161