JBL Options History — February 2012

In February 2012, JBL traded between $23.13 and $26.24. ATM implied volatility averaged 31.5%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.0% (HV 20d: 27.5%). Max pain ranged from $20.00 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 0.61.

Notable Days

  • 2012-02-13: Highest Volume — 11,061 contracts
  • 2012-02-09: Largest IV spike — 12.2% change
  • 2012-02-10: Highest IV Rank — 17.9%
  • 2012-02-10: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.04$23.13$26.24$23.28$25.83
Max Pain$21.30$20.00$22.00$22.00$22.00
ATM IV31.5%28.8%35.9%30.3%30.1%
Expected Move9.2%8.5%10.3%8.7%8.6%
HV 20d27.5%24.3%31.4%26.5%25.7%
HV 60d36.7%29.9%40.7%39.8%30.1%
IV Rank9.9%5.1%17.9%7.8%7.4%
IV Percentile6.7%0.4%20.6%0.8%3.6%
Term Structure4.5%2.6%7.0%3.3%6.3%
VWIV32.7%30.1%35.8%31.4%30.1%
Skew 25d5.0%3.9%6.0%3.9%4.1%
Skew 10d12.5%8.3%16.8%8.9%8.3%
Call IV 25d30.1%27.5%34.0%28.1%28.3%
Put IV 25d35.1%31.9%39.7%32.0%32.4%
Bid-Ask Spread %10.938.9913.6410.599.69
Gamma HHI0.450.210.590.210.53
Net GEX1.3M559.3K1.6M615.1K1.6M
Net DEX-45.4M-59.6M-25.6M-27.3M-49.7M
Net VEX-174.0K-210.1K-106.9K-110.5K-209.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.071.581.380.40
Total Volume2,89746311,0612,6291,059
Total OI49,152.0537,08057,01337,08052,954

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$23.28$22.0030.3%8.7%26.5%7.8%31.4%3.9%3.3%615.1K-27.3M-110.5K1.3810.591,1031,52622,64514,435
2012-02-02$23.13$22.0029.8%8.5%26.9%6.8%30.7%4.9%3.5%559.3K-25.6M-113.5K0.4610.7731714622,98315,325
2012-02-03$24.12$20.0028.8%9.4%28.7%5.1%31.6%5.8%3.5%611.7K-34.3M-106.9K0.0710.428,36255323,10214,620
2012-02-06$23.82$20.0028.9%9.4%29.6%5.3%33.5%5.7%3.5%1.2M-37.0M-124.8K0.1313.271,47319330,06714,929
2012-02-07$23.83$20.0028.9%9.3%29.1%5.2%32.4%5.0%3.7%1.2M-37.7M-122.6K0.449.971,83281529,92114,964
2012-02-08$23.97$20.0029.8%9.5%29.1%7.0%32.2%4.7%3.4%1.2M-40.4M-136.3K0.439.514,1201,77731,28515,638
2012-02-09$24.87$20.0033.5%9.6%31.1%13.5%33.9%5.2%3.9%1.3M-52.4M-160.0K0.3111.973,07895534,10116,958
2012-02-10$24.72$20.0035.9%10.3%31.4%17.9%35.8%5.7%2.6%1.2M-51.6M-169.3K0.3713.284,1281,52535,08217,586
2012-02-13$25.16$20.0034.9%10.0%29.7%16.1%35.2%5.3%4.2%1.5M-59.6M-180.5K0.138.999,7501,31138,42218,591
2012-02-14$25.03$22.0035.1%10.1%29.0%16.5%35.3%6.0%3.1%1.4M-39.7M-188.4K0.669.752,7461,82331,20819,238
2012-02-15$25.36$22.0035.1%10.1%27.7%16.5%34.8%4.3%4.2%1.5M-45.4M-210.1K0.8213.6451342033,37120,491
2012-02-16$25.90$22.0033.6%9.6%26.2%13.8%35.3%5.5%4.0%1.4M-51.2M-206.7K0.649.5549231533,41420,670
2012-02-17$26.03$22.0032.0%9.2%25.8%10.9%32.8%5.7%5.3%1.5M-53.3M-201.9K0.6211.7167341533,45420,789
2012-02-21$25.91$22.0030.4%8.7%26.1%7.9%30.7%4.6%6.4%1.5M-49.5M-200.7K0.459.8766630132,47216,664
2012-02-22$25.69$22.0030.9%8.8%26.6%8.8%32.1%5.2%5.3%1.5M-47.6M-203.9K0.8510.4296281932,89916,850
2012-02-23$25.99$22.0029.8%8.5%26.4%6.8%30.8%4.6%5.9%1.5M-51.5M-208.3K1.0110.1083184233,62917,544
2012-02-24$26.01$22.0029.9%8.6%24.8%7.1%30.8%3.9%5.5%1.5M-51.4M-209.3K1.5810.5325740633,84318,046
2012-02-27$25.84$22.0031.1%8.9%25.2%9.2%32.5%4.7%5.0%1.6M-49.1M-209.4K1.0213.4829630233,99518,314
2012-02-28$26.24$22.0030.5%8.7%24.3%8.1%31.8%5.5%7.0%1.5M-53.6M-206.8K0.4111.0959424434,07818,464
2012-02-29$25.83$22.0030.1%8.6%25.7%7.4%30.1%4.1%6.3%1.6M-49.7M-209.7K0.409.6975730234,31718,637