JBL Options History — January 2012

In January 2012, JBL traded between $20.11 and $23.17. ATM implied volatility averaged 33.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 0.9% (HV 20d: 32.2%). Max pain ranged from $17.50 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-01-25: Highest Volume — 5,296 contracts
  • 2012-01-12: Largest IV spike — 13.2% change
  • 2012-01-13: Highest IV Rank — 18.1%
  • 2012-01-10: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.94$20.11$23.17$20.11$22.66
Max Pain$20.63$17.50$22.00$19.00$22.00
ATM IV33.1%30.7%36.0%35.7%31.7%
Expected Move9.8%8.8%10.5%10.2%9.1%
HV 20d32.2%26.1%37.8%37.2%26.1%
HV 60d43.4%40.3%46.8%46.8%40.3%
IV Rank12.9%8.5%18.1%17.6%10.3%
IV Percentile6.7%0.8%16.7%15.5%4.0%
Term Structure2.2%0.4%4.8%3.6%2.5%
VWIV34.3%30.5%41.1%36.0%33.6%
Skew 25d5.4%3.5%7.0%3.5%4.9%
Skew 10d14.2%5.2%24.9%7.0%19.0%
Call IV 25d31.5%28.7%34.8%34.8%29.9%
Put IV 25d36.9%33.6%40.1%38.2%34.8%
Bid-Ask Spread %14.309.2317.529.2316.26
Gamma HHI0.250.170.390.220.19
Net GEX966.4K360.7K1.5M1.0M553.7K
Net DEX-33.7M-61.3M-20.1M-23.2M-21.3M
Net VEX-106.6K-119.5K-97.6K-105.0K-112.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.092.460.610.29
Total Volume1,846.13085,2961,242872
Total OI47,134.932,81059,67549,01736,800

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$20.11$19.0035.7%10.2%37.2%17.6%36.0%3.5%3.6%1.0M-23.2M-105.0K0.619.2377247032,88616,131
2012-01-04$20.18$17.5034.3%9.8%36.5%15.1%34.7%6.3%4.8%1.1M-23.4M-103.0K0.4711.561,01247933,00016,090
2012-01-05$20.76$19.0033.2%9.5%37.8%13.1%34.1%4.0%3.6%1.2M-31.3M-104.1K0.7410.7979959333,66016,178
2012-01-06$20.87$20.0031.6%10.5%37.7%10.1%35.6%7.0%1.7%1.3M-32.5M-103.1K0.3413.8160720533,78216,373
2012-01-09$21.33$20.0032.4%10.4%36.8%11.6%34.2%6.2%1.3%1.4M-38.2M-97.6K0.2715.342,90877933,92516,407
2012-01-10$21.43$20.0032.1%10.5%35.6%11.0%34.9%5.9%1.2%1.5M-40.9M-102.8K1.3912.141,1561,60435,64716,932
2012-01-11$21.48$20.0031.8%10.5%34.8%10.4%41.1%6.7%1.8%1.4M-40.3M-108.8K1.9013.4438172236,08418,293
2012-01-12$21.50$20.0036.0%10.3%32.9%18.0%35.1%6.8%1.6%1.4M-40.1M-107.3K1.2312.9342752636,02918,835
2012-01-13$21.04$20.0036.0%10.3%32.4%18.1%38.8%7.0%1.2%1.5M-33.9M-108.9K0.7817.5236128136,14419,191
2012-01-17$21.68$20.0034.3%9.8%33.4%15.0%34.2%6.2%1.7%1.5M-42.9M-101.0K0.2715.6296025736,30519,366
2012-01-18$22.36$20.0034.5%9.9%34.4%15.4%34.2%5.1%1.9%1.5M-52.0M-100.4K0.9316.221,8841,75436,54519,520
2012-01-19$23.15$21.0035.4%10.2%33.7%17.1%34.9%3.9%1.8%632.3K-61.3M-101.0K0.4016.542,9401,17436,92720,982
2012-01-20$23.00$22.0032.8%9.4%30.5%12.3%33.0%5.3%2.8%604.5K-59.4M-106.4K0.1810.011,79933037,68421,991
2012-01-23$23.11$22.0031.5%9.0%27.5%10.0%31.4%4.5%2.7%360.7K-22.7M-106.1K0.7916.2287169019,17713,633
2012-01-24$23.17$22.0031.5%9.0%27.3%10.0%30.5%5.8%3.0%370.1K-23.0M-106.8K0.3615.7459621619,63613,867
2012-01-25$23.06$22.0031.8%9.1%27.7%10.5%31.8%4.6%1.5%385.7K-22.9M-108.7K0.0915.434,85843820,11014,056
2012-01-26$22.62$22.0030.7%8.8%29.2%8.5%33.0%5.6%3.0%625.2K-21.8M-119.5K2.4614.336371,56823,14214,256
2012-01-27$22.80$22.0030.8%8.8%26.3%8.6%31.8%4.4%2.7%527.4K-22.1M-115.2K0.5416.4244824022,04714,389
2012-01-30$22.50$22.0034.7%9.9%27.0%15.7%33.2%5.0%0.4%525.2K-20.1M-113.2K0.3016.392377122,23314,445
2012-01-31$22.66$22.0031.7%9.1%26.1%10.3%33.6%4.9%2.5%553.7K-21.3M-112.7K0.2916.2667419822,33914,461