JBL Options History — September 2011

In September 2011, JBL traded between $15.76 and $18.84. ATM implied volatility averaged 61.6%, placing in the 64.4% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 1.5% (HV 20d: 63.1%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2011-09-28: Highest Volume — 18,456 contracts
  • 2011-09-13: Largest IV drop — 14.8% change
  • 2011-09-23: Highest IV Rank — 82.1%
  • 2011-09-23: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.00$15.76$18.84$16.74$17.79
Max Pain$16.62$16.00$19.00$19.00$18.00
ATM IV61.6%51.8%71.4%51.8%65.5%
Expected Move18.0%14.8%20.5%14.8%18.8%
HV 20d63.1%46.9%90.3%89.9%57.6%
HV 60d65.2%63.2%68.3%63.2%68.3%
IV Rank64.4%46.6%82.1%46.6%71.4%
IV Percentile94.2%87.7%98.4%87.7%95.6%
Term Structure-1.8%-5.3%7.4%7.4%-1.8%
VWIV62.5%49.4%71.6%49.4%65.9%
Skew 25d11.3%8.0%14.6%10.3%13.1%
Skew 10d23.1%19.8%33.3%20.0%21.4%
Call IV 25d57.8%48.7%64.7%48.7%60.6%
Put IV 25d69.1%58.9%77.5%58.9%73.7%
Bid-Ask Spread %16.1212.0821.6614.0918.11
Gamma HHI0.120.100.180.110.13
Net GEX208.8K-83.1K422.9K223.8K369.4K
Net DEX-2.6M-25.1M15.6M4.5M-15.1M
Net VEX-190.4K-235.3K-172.5K-193.8K-226.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.084.651.470.80
Total Volume4,154.90575318,4564,1866,298
Total OI76,918.28652,16995,73987,21973,629

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$16.74$19.0051.8%14.8%89.9%46.6%49.4%10.3%7.4%223.8K4.5M-193.8K1.4714.091,6962,49054,47732,742
2011-09-02$16.37$19.0057.2%16.4%90.3%56.3%56.1%8.9%4.5%181.0K8.2M-192.1K1.0113.9454254554,88334,113
2011-09-06$15.91$16.0064.3%18.6%83.0%69.3%63.5%12.1%-4.5%130.1K12.7M-178.2K2.6415.881,4593,85354,56334,550
2011-09-07$16.84$16.0057.7%17.4%78.1%57.3%58.7%12.3%-3.8%71.8K6.7M-195.7K0.1813.4664011355,53037,331
2011-09-08$16.43$16.0060.3%18.1%75.1%61.9%59.0%11.6%-3.5%96.0K10.4M-185.1K3.8614.276132,36455,67536,383
2011-09-09$15.76$16.0064.5%19.4%66.6%69.6%69.3%11.3%-5.3%61.2K15.6M-172.5K4.6515.425282,45755,85236,656
2011-09-12$16.03$16.0066.8%19.7%66.9%73.7%67.9%12.7%-4.8%-83.1K15.1M-177.1K0.3318.0490129756,08938,592
2011-09-13$16.76$16.0056.9%18.2%68.3%55.8%63.5%11.3%-3.8%-28.6K7.9M-184.9K0.3213.281,00432656,55338,625
2011-09-14$17.47$16.0054.0%17.8%69.6%50.6%61.9%10.1%-2.0%122.7K-1.9M-191.7K2.5013.421,3723,43357,02338,425
2011-09-15$17.64$17.0057.6%16.5%69.4%57.2%59.9%11.2%-1.6%141.5K-2.7M-192.7K0.8615.221,4451,23657,07738,526
2011-09-16$17.66$16.0054.5%15.6%49.7%51.5%54.8%10.7%0.2%250.9K-3.0M-188.5K0.5818.5459334357,44938,290
2011-09-19$17.51$16.0057.9%16.6%49.9%57.7%57.9%10.5%-0.6%327.9K-12.6M-183.8K0.1621.661,47923433,07819,091
2011-09-20$17.29$16.0060.3%17.3%50.2%62.0%57.0%10.7%-1.8%338.8K-11.6M-183.6K0.0817.461,1188834,00119,196
2011-09-21$16.84$16.0063.5%18.2%49.1%67.7%62.6%10.1%-1.6%316.3K-9.6M-178.8K1.5418.651,5972,46734,67319,220
2011-09-22$16.08$16.0070.9%20.3%52.5%81.2%69.8%13.5%-2.9%252.6K-5.2M-174.6K1.2919.2966385635,17420,087
2011-09-23$16.28$16.0071.4%20.5%52.0%82.1%71.6%12.8%-3.2%255.2K-6.2M-176.8K0.5518.9277442235,36520,512
2011-09-26$16.73$16.0066.6%19.1%50.5%73.4%70.0%10.3%-2.2%295.1K-8.7M-180.6K1.5418.931,2931,99635,64420,598
2011-09-27$17.38$16.0069.2%19.8%46.9%78.0%68.1%14.6%-4.4%317.1K-13.3M-190.9K1.2313.315,9517,32936,36822,007
2011-09-28$18.84$18.0061.3%17.6%54.5%63.7%62.7%8.0%-0.5%422.9K-25.1M-214.0K0.9312.089,5598,89739,40424,710
2011-09-29$18.65$18.0061.9%17.7%54.6%64.9%62.1%11.6%-1.2%322.9K-20.5M-235.3K1.5414.533,1384,84442,86930,254
2011-09-30$17.79$18.0065.5%18.8%57.6%71.4%65.9%13.1%-1.8%369.4K-15.1M-226.7K0.8018.113,5032,79544,37229,257