JBL Options History — December 2011

In December 2011, JBL traded between $18.96 and $21.12. ATM implied volatility averaged 42.3%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 5.7% (HV 20d: 48.0%). Max pain ranged from $17.50 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2011-12-20: Highest Volume — 9,150 contracts
  • 2011-12-09: Largest IV drop — 19.4% change
  • 2011-12-19: Highest IV Rank — 46.3%
  • 2011-12-19: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.99$18.96$21.12$20.40$19.66
Max Pain$18.05$17.50$19.00$18.00$19.00
ATM IV42.3%35.6%51.6%41.9%36.7%
Expected Move12.6%10.2%14.8%12.0%10.5%
HV 20d48.0%36.6%53.9%53.9%36.7%
HV 60d51.3%46.6%53.6%53.6%46.6%
IV Rank29.4%17.3%46.3%28.8%19.3%
IV Percentile48.5%15.5%77.4%54.8%22.2%
Term Structure1.6%-2.0%6.3%5.8%4.2%
VWIV44.4%35.9%50.5%39.5%37.7%
Skew 25d7.5%4.0%10.4%6.9%4.0%
Skew 10d14.2%0.4%24.7%24.7%2.2%
Call IV 25d41.2%32.5%48.9%37.9%35.2%
Put IV 25d48.6%38.7%56.4%44.8%39.3%
Bid-Ask Spread %13.168.0518.8311.848.09
Gamma HHI0.220.170.260.170.21
Net GEX955.2K388.4K1.3M1.0M840.0K
Net DEX-34.0M-56.9M-16.7M-45.4M-18.2M
Net VEX-137.2K-161.4K-109.2K-161.4K-109.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.106.130.440.54
Total Volume2,664.7623429,1501,209342
Total OI63,311.85744,15176,32170,09548,925

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$20.40$18.0041.9%12.0%53.9%28.8%39.5%6.9%5.8%1.0M-45.4M-161.4K0.4411.8484136846,11423,981
2011-12-02$20.71$18.0040.9%11.7%52.2%26.9%41.0%8.2%6.3%1.1M-50.7M-159.2K0.1916.291,29324246,46923,834
2011-12-05$21.12$17.5041.7%13.4%52.6%28.4%46.6%9.1%0.5%1.2M-56.9M-150.0K1.8310.656431,17946,77223,829
2011-12-06$20.86$17.5041.2%13.3%52.8%27.4%49.9%8.2%1.4%1.1M-53.0M-150.9K0.3113.2887227046,83324,177
2011-12-07$20.66$17.5041.3%13.5%52.7%27.7%50.2%9.3%0.4%1.1M-49.7M-149.4K6.1313.041941,18946,80724,306
2011-12-08$20.08$17.5045.7%14.3%49.4%35.6%48.4%10.1%0.0%949.1K-40.1M-149.3K2.6312.983831,00646,94125,111
2011-12-09$20.65$17.5036.8%13.3%49.8%19.6%48.5%9.3%0.3%1.1M-50.1M-145.0K0.3812.3360022546,96524,909
2011-12-12$20.28$17.5043.7%14.2%48.9%32.0%50.5%9.9%-1.0%993.5K-44.5M-137.1K0.2816.9057116247,04124,926
2011-12-13$19.73$17.5045.7%13.8%49.7%35.7%48.9%9.1%-0.2%802.6K-36.2M-134.1K2.4217.939732,35547,01524,890
2011-12-14$19.22$17.5050.7%14.5%49.5%44.7%49.8%8.5%-0.4%731.6K-24.6M-130.2K5.4713.689265,06547,09026,709
2011-12-15$19.51$17.5048.7%14.0%49.9%41.1%48.6%10.4%-0.9%388.4K-28.4M-129.4K1.7017.157391,25847,13427,734
2011-12-16$19.42$17.5048.4%13.9%48.8%40.4%49.1%8.8%0.3%672.6K-26.2M-123.6K1.1712.483,1823,71347,43228,889
2011-12-19$18.96$17.5051.6%14.8%49.4%46.3%50.0%6.6%-1.4%584.2K-16.7M-123.4K0.1916.316,4951,25630,55213,599
2011-12-20$19.95$17.5049.8%14.3%52.9%43.0%50.1%4.4%-2.0%903.7K-28.2M-138.4K0.7318.835,2823,86835,26714,087
2011-12-21$19.40$19.0040.3%11.6%53.4%25.8%38.6%6.2%2.9%968.6K-20.4M-137.7K0.3714.333,1861,19437,84016,375
2011-12-22$19.77$19.0037.2%10.7%42.5%20.2%37.4%6.7%3.0%1.1M-25.1M-139.4K0.229.781,35229737,81416,377
2011-12-23$19.91$19.0035.6%10.2%42.5%17.3%36.4%6.2%3.3%1.2M-26.7M-138.0K0.3910.931,10142438,24816,349
2011-12-27$20.11$19.0035.7%10.2%40.8%17.6%35.9%4.9%3.8%1.3M-29.5M-134.0K2.2513.0328363838,46516,118
2011-12-28$19.55$19.0037.2%10.7%42.2%20.3%36.2%5.7%3.4%1.1M-22.7M-130.2K0.358.4553919138,29016,162
2011-12-29$19.91$19.0036.8%10.5%36.6%19.5%38.4%4.0%3.3%901.6K-21.1M-112.5K0.108.051,15011332,95716,216
2011-12-30$19.66$19.0036.7%10.5%36.7%19.3%37.7%4.0%4.2%840.0K-18.2M-109.2K0.548.0922212032,77216,153