JBL Options History — October 2011

In October 2011, JBL traded between $17.04 and $21.32. ATM implied volatility averaged 51.1%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 7.3% (HV 20d: 58.4%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2011-10-05: Highest Volume — 15,589 contracts
  • 2011-10-04: Largest IV drop — 11.7% change
  • 2011-10-03: Highest IV Rank — 82.9%
  • 2011-10-03: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.69$17.04$21.32$17.04$20.56
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV51.1%41.9%71.8%71.8%44.9%
Expected Move14.8%12.0%20.6%20.6%12.9%
HV 20d58.4%51.2%61.5%59.3%51.2%
HV 60d70.0%67.6%71.2%68.8%68.0%
IV Rank45.3%28.8%82.9%82.9%34.1%
IV Percentile77.4%59.1%98.8%98.8%69.0%
Term Structure0.8%-2.6%2.6%-2.6%1.5%
VWIV52.3%42.2%70.8%70.8%46.7%
Skew 25d9.9%7.5%12.5%11.2%7.5%
Skew 10d22.4%11.6%38.7%22.8%16.7%
Call IV 25d47.4%38.3%66.3%66.3%42.5%
Put IV 25d57.3%45.9%77.6%77.6%49.9%
Bid-Ask Spread %15.1310.4019.1016.0214.66
Gamma HHI0.170.130.480.130.15
Net GEX1.1M360.1K2.8M360.1K1.4M
Net DEX-50.6M-74.0M-9.6M-9.6M-62.3M
Net VEX-241.0K-258.6K-220.2K-223.6K-222.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.051.380.330.63
Total Volume3,283.42968315,5893,385719
Total OI87,320.09577,68697,18777,68684,004

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$17.04$18.0071.8%20.6%59.3%82.9%70.8%11.2%-2.6%360.1K-9.6M-223.6K0.3316.022,54883747,43130,255
2011-10-04$18.03$18.0063.4%18.2%61.1%67.7%66.2%10.5%0.6%502.3K-20.5M-234.0K0.3317.174,3411,44348,34230,256
2011-10-05$18.70$18.0056.4%16.2%59.3%55.0%59.9%8.7%2.6%633.7K-31.2M-246.6K0.2112.8012,8852,70450,85330,815
2011-10-06$18.87$18.0058.3%16.7%58.2%58.4%60.9%10.3%0.0%753.0K-37.1M-258.6K0.2713.463,64296954,61231,005
2011-10-07$18.60$18.0054.8%16.6%56.0%52.1%57.1%12.5%1.2%807.3K-33.8M-255.3K0.5810.4083948755,96631,653
2011-10-10$20.15$18.0049.7%15.7%61.5%42.9%54.4%11.2%-0.8%990.4K-57.6M-250.9K0.2714.065,7031,51356,37531,609
2011-10-11$19.83$18.0049.5%15.1%60.9%42.5%53.9%11.3%0.4%1.1M-54.7M-258.3K0.9216.7477370858,44631,878
2011-10-12$20.18$18.0047.7%14.4%59.8%39.3%48.8%10.2%1.2%1.1M-60.9M-251.7K0.2817.412,18060058,57332,185
2011-10-13$20.04$18.0051.1%14.7%60.0%45.4%52.8%11.3%-0.6%1.2M-59.3M-253.2K0.8517.3637031359,49232,545
2011-10-14$20.07$18.0047.8%13.7%60.0%39.4%47.0%9.7%1.9%1.3M-59.7M-248.6K1.3716.457961,09059,47632,676
2011-10-17$19.61$18.0050.4%14.4%60.7%44.0%49.1%9.4%0.3%1.2M-51.2M-245.5K0.1917.401,17022659,56033,590
2011-10-18$20.06$18.0050.2%14.4%60.6%43.7%51.3%10.6%0.6%1.3M-60.7M-240.8K0.1715.781,23621659,72533,626
2011-10-19$19.54$18.0050.2%14.4%60.5%43.8%51.6%9.5%0.8%1.3M-51.2M-241.8K0.2812.512,85880960,41833,731
2011-10-20$19.30$18.0052.9%15.2%57.7%48.6%58.2%9.8%1.0%1.2M-48.7M-244.1K1.3815.548041,11262,58734,293
2011-10-21$19.92$18.0047.8%13.7%58.2%39.4%47.3%10.4%2.4%2.8M-59.4M-241.7K0.3916.1693736762,36234,825
2011-10-24$20.57$18.0043.7%12.5%58.5%31.9%43.6%9.5%2.1%1.1M-59.7M-231.7K0.1014.812,37323354,13626,581
2011-10-25$19.73$18.0048.2%13.8%60.3%40.2%45.7%9.1%1.2%1.2M-47.7M-235.5K0.5110.6091546655,19526,670
2011-10-26$20.16$18.0046.8%13.4%53.9%37.6%46.1%8.8%2.3%1.2M-54.3M-234.3K0.1519.1072710655,34526,736
2011-10-27$21.12$18.0045.0%12.9%55.7%34.4%44.3%8.9%-0.1%1.2M-69.2M-222.2K0.1511.775,58985555,41826,730
2011-10-28$21.32$18.0041.9%12.0%52.1%28.8%42.2%7.6%1.9%1.3M-74.0M-220.2K0.0517.532,37411956,76826,979
2011-10-31$20.56$18.0044.9%12.9%51.2%34.1%46.7%7.5%1.5%1.4M-62.3M-222.4K0.6314.6644027957,03326,971