JBL Options History — April 2012

In April 2012, JBL traded between $21.81 and $25.41. ATM implied volatility averaged 30.9%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 5.6% (HV 20d: 25.3%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2012-04-17: Highest Volume — 6,721 contracts
  • 2012-04-09: Largest IV spike — 16.2% change
  • 2012-04-10: Highest IV Rank — 18.0%
  • 2012-04-10: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.34$21.81$25.41$25.41$23.45
Max Pain$25.65$25.00$26.00$26.00$25.00
ATM IV30.9%26.8%35.3%26.8%31.1%
Expected Move8.8%7.7%9.8%7.7%8.9%
HV 20d25.3%21.3%33.5%24.8%33.5%
HV 60d26.8%25.3%29.0%25.5%28.4%
IV Rank10.2%3.0%18.0%3.0%10.7%
IV Percentile14.8%2.0%31.0%2.0%15.9%
Term Structure1.1%0.1%2.4%0.9%1.0%
VWIV30.0%24.9%34.0%24.9%30.9%
Skew 25d4.1%1.3%5.8%4.9%3.1%
Skew 10d10.6%2.7%14.4%11.7%11.6%
Call IV 25d28.7%23.3%32.0%23.3%29.1%
Put IV 25d32.9%27.6%36.5%28.2%32.2%
Bid-Ask Spread %12.977.5718.3810.5411.65
Gamma HHI0.130.110.150.150.14
Net GEX170.0K-38.2K464.7K175.1K450.2K
Net DEX-1.3M-18.0M8.7M-18.0M-10.6M
Net VEX-220.1K-247.0K-189.7K-247.0K-229.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.145.320.540.25
Total Volume1,548.452496,721636500
Total OI56,763.251,41959,48056,10655,261

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$25.41$26.0026.8%7.7%24.8%3.0%24.9%4.9%0.9%175.1K-18.0M-247.0K0.5410.5441322332,09024,016
2012-04-03$25.00$26.0027.1%7.8%23.5%3.5%26.8%1.3%1.4%102.8K-13.2M-244.8K1.127.5755862532,19324,056
2012-04-04$24.41$26.0029.4%8.4%24.3%7.7%27.3%4.3%0.5%-38.2K-5.9M-238.2K0.1412.182,12129232,16524,305
2012-04-05$24.20$26.0027.0%7.7%23.4%3.4%26.8%2.8%2.4%24.2K-4.3M-241.3K1.187.9011413533,73424,476
2012-04-09$23.77$26.0031.4%8.9%21.8%11.1%31.4%4.8%0.8%-7.3K536.5K-230.5K0.5712.6246926733,73724,569
2012-04-10$22.91$26.0035.3%9.8%24.3%18.0%34.0%4.5%0.9%17.3K8.7M-213.5K0.4011.132,00080333,73724,575
2012-04-11$22.97$26.0032.1%9.3%21.3%12.3%30.7%5.8%1.1%52.2K7.7M-214.1K1.4518.079791,41734,34124,407
2012-04-12$23.37$26.0031.9%9.2%23.1%12.1%30.1%5.4%0.8%57.1K2.4M-219.0K0.2915.1050714534,55323,668
2012-04-13$23.03$26.0032.5%9.3%22.6%13.0%31.7%4.9%0.7%80.6K4.6M-216.3K0.6017.0236421934,77223,634
2012-04-16$23.07$26.0032.5%9.3%22.9%13.2%31.3%5.3%0.1%84.2K5.0M-211.3K0.8810.2147641734,87223,780
2012-04-17$23.42$26.0033.3%9.5%23.3%14.5%28.5%4.7%0.7%65.7K1.4M-217.3K5.3218.381,0645,65734,91523,829
2012-04-18$22.74$26.0032.0%9.2%23.9%12.2%33.0%3.8%0.9%211.6K3.0M-204.6K1.4612.168361,22335,67021,592
2012-04-19$22.44$26.0033.4%9.6%23.3%14.7%32.2%3.9%0.8%164.4K6.2M-199.4K0.8214.8078063736,02522,493
2012-04-20$22.58$25.0030.2%8.6%23.6%9.0%29.8%4.1%1.8%225.4K5.0M-203.6K1.7214.4216929036,67522,805
2012-04-23$22.16$25.0031.8%9.1%23.9%11.8%30.9%4.1%0.5%233.1K3.1M-193.4K0.5213.181,24764731,39720,022
2012-04-24$21.81$25.0031.3%9.0%23.4%11.0%30.7%4.7%1.1%228.4K6.3M-189.7K0.679.501,5061,00232,40220,382
2012-04-25$23.08$25.0030.2%8.7%32.8%9.0%30.3%3.9%1.4%370.0K-6.0M-220.9K0.5312.521,11258733,19520,686
2012-04-26$23.47$25.0029.8%8.6%33.4%8.4%29.6%4.8%1.8%438.0K-10.2M-233.5K0.3216.7452516933,93121,153
2012-04-27$23.58$25.0028.8%8.2%33.5%6.5%28.8%1.7%2.0%464.7K-11.7M-233.8K0.5713.6330217234,07121,080
2012-04-30$23.45$25.0031.1%8.9%33.5%10.7%30.9%3.1%1.0%450.2K-10.6M-229.9K0.2511.6539910134,15521,106