JBL Options History — March 2012

In March 2012, JBL traded between $24.72 and $27.13. ATM implied volatility averaged 30.6%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.7% (HV 20d: 24.8%). Max pain ranged from $22.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2012-03-01: Highest Volume — 11,019 contracts
  • 2012-03-15: Largest IV spike — 42.1% change
  • 2012-03-20: Highest IV Rank — 26.6%
  • 2012-03-20: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.91$24.72$27.13$26.12$25.12
Max Pain$25.77$22.00$26.00$22.00$26.00
ATM IV30.6%25.1%40.6%30.3%25.9%
Expected Move9.5%7.2%11.6%8.7%7.4%
HV 20d24.8%22.6%26.6%24.7%25.6%
HV 60d28.1%26.0%30.8%30.1%26.0%
IV Rank8.6%0.0%26.6%7.8%1.3%
IV Percentile11.3%0.0%53.6%4.4%0.8%
Term Structure0.6%-3.2%8.0%6.6%2.1%
VWIV33.2%24.5%40.2%32.7%24.8%
Skew 25d5.0%2.3%7.0%4.1%4.2%
Skew 10d9.4%3.5%13.2%12.0%7.4%
Call IV 25d31.1%24.2%37.5%28.8%25.0%
Put IV 25d36.1%26.6%43.9%32.9%29.2%
Bid-Ask Spread %14.058.7624.4411.7210.61
Gamma HHI0.170.130.480.480.13
Net GEX468.8K103.4K1.6M1.6M103.4K
Net DEX-36.6M-67.8M-14.4M-53.2M-14.4M
Net VEX-233.5K-258.1K-209.9K-209.9K-251.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.105.705.700.59
Total Volume2,654.539711,01911,019579
Total OI58,75840,09270,06153,67456,006

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$26.12$22.0030.3%8.7%24.7%7.8%32.7%4.1%6.6%1.6M-53.2M-209.9K5.7011.721,6449,37534,82318,851
2012-03-02$25.98$25.0029.1%8.3%24.6%5.7%32.1%4.3%8.0%543.3K-44.3M-233.0K0.848.761,07690434,96928,035
2012-03-05$25.40$26.0033.6%11.0%22.6%13.8%38.3%6.2%-0.6%497.4K-35.2M-240.4K0.6116.6851431135,48828,690
2012-03-06$24.72$26.0037.9%11.4%24.4%21.5%40.2%6.4%-1.0%440.5K-22.8M-239.6K1.9524.447781,51535,64928,781
2012-03-07$25.10$26.0033.1%11.1%24.9%12.9%38.0%6.1%-1.4%282.2K-28.7M-241.1K1.3317.5550867435,85729,978
2012-03-08$25.55$26.0030.5%10.7%25.4%8.1%38.2%6.1%-1.1%352.3K-37.5M-238.3K0.3316.891,48648435,93729,906
2012-03-09$26.16$26.0029.6%10.7%23.5%6.5%35.0%5.6%-0.4%471.8K-51.9M-233.2K0.4217.6872830336,75830,055
2012-03-12$26.22$26.0030.9%10.8%23.2%8.8%37.0%5.7%-0.5%540.4K-54.1M-226.6K1.4216.9342260037,21230,162
2012-03-13$26.92$26.0027.6%10.5%24.2%2.9%39.5%7.0%-1.5%658.5K-65.4M-214.8K0.6015.581,9281,16437,32930,634
2012-03-14$26.82$26.0025.9%10.7%24.1%0.0%38.3%5.9%-1.9%690.4K-66.1M-218.5K0.9013.7263357238,24931,293
2012-03-15$27.03$26.0036.8%10.5%23.9%19.7%38.4%5.8%-1.6%701.1K-67.8M-217.6K0.7316.3122916838,36531,519
2012-03-16$26.82$26.0036.3%10.4%23.2%18.7%35.9%5.8%-1.6%773.1K-66.3M-216.0K0.5512.7556131038,49031,571
2012-03-19$27.13$26.0036.1%10.4%23.4%18.4%36.2%4.3%-1.8%394.3K-34.0M-211.1K0.3315.092,07468224,30415,788
2012-03-20$26.49$26.0040.6%11.6%25.1%26.6%39.7%6.3%-3.2%428.2K-30.3M-219.2K0.5018.714,6412,30225,51916,152
2012-03-21$25.88$26.0028.1%8.1%26.4%4.0%27.8%4.6%1.3%550.3K-27.0M-219.6K1.9912.963,3696,70327,70317,205
2012-03-22$25.51$26.0027.2%7.8%26.5%2.3%28.0%4.0%2.3%278.9K-19.0M-246.9K1.6110.889561,53829,26721,733
2012-03-23$25.50$26.0027.6%7.9%26.5%3.1%27.1%3.9%1.2%248.1K-18.6M-245.9K2.849.915701,61729,46622,154
2012-03-26$25.70$26.0025.5%7.3%26.6%0.0%24.5%3.8%2.2%212.5K-19.7M-249.8K0.109.932,60627229,71623,324
2012-03-27$25.55$26.0025.1%7.2%26.0%0.0%26.5%2.3%2.4%221.2K-18.6M-249.6K0.459.131,64774530,55823,382
2012-03-28$25.13$26.0027.2%7.8%26.1%3.6%26.1%3.6%1.9%167.4K-15.3M-258.1K0.5411.4537720331,96423,890
2012-03-29$25.17$26.0027.7%7.9%25.7%4.5%26.9%3.1%1.7%169.5K-15.8M-257.1K0.8411.3334228931,99923,945
2012-03-30$25.12$26.0025.9%7.4%25.6%1.3%24.8%4.2%2.1%103.4K-14.4M-251.8K0.5910.6136421532,01623,990