JBL Options History — November 2011

In November 2011, JBL traded between $18.34 and $21.14. ATM implied volatility averaged 46.7%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 2.0% (HV 20d: 48.7%). Max pain ranged from $17.00 to $18.00. 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

  • 2011-11-04: Highest Volume — 4,312 contracts
  • 2011-11-09: Largest IV spike — 21.5% change
  • 2011-11-01: Highest IV Rank — 49.3%
  • 2011-11-01: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.11$18.34$21.14$19.71$20.27
Max Pain$17.81$17.00$18.00$18.00$18.00
ATM IV46.7%39.5%53.3%53.3%41.4%
Expected Move13.6%11.9%15.3%15.3%11.9%
HV 20d48.7%42.4%53.9%51.1%53.9%
HV 60d55.5%50.1%65.3%65.3%54.7%
IV Rank37.5%24.4%49.3%49.3%27.9%
IV Percentile68.3%46.8%81.0%81.0%52.8%
Term Structure3.7%-1.4%7.9%0.0%7.9%
VWIV47.8%39.8%54.0%52.3%39.8%
Skew 25d8.7%6.6%10.6%9.1%7.0%
Skew 10d20.2%14.0%31.5%30.5%23.0%
Call IV 25d43.6%37.9%49.2%49.2%37.9%
Put IV 25d52.3%44.9%58.3%58.3%44.9%
Bid-Ask Spread %13.369.9117.0916.5311.02
Gamma HHI0.170.140.230.150.16
Net GEX1.1M656.6K1.5M1.3M1.0M
Net DEX-51.4M-74.4M-16.9M-48.3M-43.2M
Net VEX-190.4K-227.9K-160.6K-227.9K-161.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.032.090.610.11
Total Volume1,6153664,3123,5971,690
Total OI80,570.61966,97488,56384,15469,617

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$19.71$18.0053.3%15.3%51.1%49.3%52.3%9.1%0.0%1.3M-48.3M-227.9K0.6116.532,2351,36257,14127,013
2011-11-02$19.80$18.0050.7%14.5%49.7%44.6%47.8%9.3%-1.4%1.3M-49.9M-224.2K0.7013.8259141457,40427,590
2011-11-03$20.61$18.0044.6%12.8%51.4%33.6%47.5%8.5%2.0%1.4M-63.3M-217.5K0.5811.2247427657,64727,608
2011-11-04$20.59$17.0041.4%13.1%51.0%27.9%48.1%9.6%3.7%1.5M-63.6M-214.3K0.9413.502,2232,08957,67127,626
2011-11-07$20.71$17.0041.9%13.2%42.7%28.7%48.2%9.4%3.7%1.3M-64.4M-206.2K1.1014.8674882057,11829,316
2011-11-08$21.01$17.0039.5%12.8%42.4%24.4%49.6%8.5%4.3%1.3M-70.6M-202.0K0.8913.2951445957,39629,824
2011-11-09$19.83$17.0047.9%14.2%47.1%39.7%54.0%9.9%3.1%1.3M-48.9M-209.3K0.2413.322,72465257,35229,869
2011-11-10$20.27$18.0048.7%14.0%47.7%41.0%52.7%9.4%3.3%1.3M-57.0M-203.8K0.8713.4048942456,64130,107
2011-11-11$20.91$18.0045.7%13.1%48.9%35.6%47.0%9.2%4.3%1.3M-69.6M-194.5K0.6615.1760640256,73030,184
2011-11-14$20.69$18.0046.8%13.4%48.3%37.5%47.2%8.4%3.2%1.3M-65.5M-189.3K2.0911.7512626356,88530,231
2011-11-15$21.14$18.0045.6%13.1%48.2%35.5%47.0%8.9%5.5%1.4M-74.4M-183.5K0.2017.091,61731656,87430,317
2011-11-16$20.86$18.0046.1%13.2%47.4%36.4%46.4%8.5%5.2%1.4M-70.4M-189.8K0.3916.8654221458,03730,408
2011-11-17$20.23$18.0049.3%14.1%48.6%42.1%49.0%10.6%3.4%1.1M-58.6M-188.9K0.5414.371,12660858,11830,358
2011-11-18$20.32$18.0047.0%13.5%47.4%38.0%45.1%8.2%4.9%1.0M-63.6M-182.4K0.5314.981,19263658,33730,226
2011-11-21$20.47$18.0046.8%13.4%46.0%37.7%47.5%9.2%5.0%829.6K-42.5M-176.5K0.7710.371,09684743,51023,464
2011-11-22$20.08$18.0045.4%13.0%44.0%35.0%48.0%8.6%5.3%839.6K-38.5M-176.5K1.1212.3017319344,02723,688
2011-11-23$18.36$18.0051.1%14.7%53.7%45.4%48.8%6.6%3.0%660.6K-17.5M-165.8K0.9311.9286480644,08323,723
2011-11-25$18.34$18.0052.1%14.9%50.2%47.2%46.0%7.4%1.5%656.6K-16.9M-160.6K0.039.961,7065343,97223,785
2011-11-28$19.03$18.0049.1%14.1%52.3%41.7%47.7%8.1%4.2%794.5K-26.0M-163.4K0.399.9196237745,03023,794
2011-11-29$19.07$18.0047.3%13.6%51.1%38.6%44.7%8.8%4.8%815.6K-26.9M-160.9K0.2114.9582817845,29523,967
2011-11-30$20.27$18.0041.4%11.9%53.9%27.9%39.8%7.0%7.9%1.0M-43.2M-161.0K0.1111.021,52816245,64723,970