JBL Options History — May 2012

In May 2012, JBL traded between $18.90 and $23.70. ATM implied volatility averaged 38.7%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 0.7% (HV 20d: 37.9%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2012-05-10: Highest Volume — 9,707 contracts
  • 2012-05-30: Largest IV spike — 11.3% change
  • 2012-05-17: Highest IV Rank — 35.2%
  • 2012-05-17: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.27$18.90$23.70$23.47$19.13
Max Pain$23.86$23.00$25.00$25.00$23.00
ATM IV38.7%30.8%44.9%31.3%41.4%
Expected Move11.1%8.8%12.9%9.0%11.9%
HV 20d37.9%33.1%41.2%33.1%40.2%
HV 60d30.4%27.0%33.6%27.1%33.3%
IV Rank24.1%10.2%35.2%10.9%29.0%
IV Percentile48.3%14.7%64.7%17.1%58.7%
Term Structure3.1%0.6%7.2%0.6%5.5%
VWIV38.3%30.9%45.6%31.2%41.7%
Skew 25d5.1%3.0%7.3%3.8%6.1%
Skew 10d10.8%0.3%21.9%13.0%11.7%
Call IV 25d36.7%29.2%43.5%29.2%38.9%
Put IV 25d41.8%32.9%49.0%32.9%45.0%
Bid-Ask Spread %11.308.4514.1412.3212.89
Gamma HHI0.120.110.160.160.12
Net GEX311.4K202.3K542.3K451.4K315.4K
Net DEX4.9M-14.0M15.3M-10.4M2.2M
Net VEX-206.2K-235.7K-177.7K-228.2K-207.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.031.390.030.21
Total Volume2,011.3183939,7071,401393
Total OI63,930.555,49770,73055,49767,770

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$23.47$25.0031.3%9.0%33.1%10.9%31.2%3.8%0.6%451.4K-10.4M-228.2K0.0312.321,3594234,33021,167
2012-05-02$23.70$24.0030.8%8.8%33.1%10.2%31.8%3.0%1.3%533.7K-14.0M-235.7K0.1710.753,39858035,16821,191
2012-05-03$22.86$24.0031.6%9.1%34.4%11.5%30.9%3.2%1.0%542.3K-5.3M-226.8K0.6113.3454332936,19821,579
2012-05-04$21.66$24.0034.2%10.0%38.8%16.1%35.7%3.0%2.7%358.6K5.8M-203.4K0.8711.161,12498236,24621,642
2012-05-07$21.08$24.0034.5%10.2%39.3%16.7%36.7%4.4%2.6%256.3K10.6M-189.5K0.2811.831,62145036,93322,264
2012-05-08$21.18$24.0036.6%10.6%37.7%20.4%37.3%4.3%2.4%302.6K8.1M-203.6K0.8612.6179868938,34022,579
2012-05-09$20.87$24.0037.5%10.6%37.8%22.0%37.7%4.0%2.0%263.1K10.2M-195.9K0.749.8681560138,69322,607
2012-05-10$20.09$24.0037.9%10.9%38.6%22.7%37.4%4.4%1.6%202.3K15.3M-177.7K0.109.978,81689139,30422,966
2012-05-11$20.04$24.0037.9%10.9%38.6%22.6%37.0%5.1%2.6%273.9K9.6M-200.1K0.269.4747012443,47123,403
2012-05-14$19.32$24.0040.4%11.6%39.8%27.1%40.0%5.2%2.5%250.5K11.7M-184.8K0.498.452,0981,01843,70122,668
2012-05-15$19.74$24.0041.3%11.8%40.4%28.8%41.5%4.7%2.2%288.4K7.8M-213.0K1.3911.5466692745,34123,555
2012-05-16$19.42$24.0044.6%12.8%39.8%34.7%42.6%5.0%1.0%265.4K9.5M-210.3K0.3510.3699634645,77124,155
2012-05-17$18.97$24.0044.9%12.9%40.1%35.2%44.7%5.5%0.8%256.6K11.9M-201.5K1.1914.1444753346,34924,329
2012-05-18$18.91$24.0044.5%12.8%39.8%34.5%45.6%6.2%2.1%244.0K12.5M-201.1K0.8611.9025822146,09824,632
2012-05-21$19.30$24.0041.2%11.8%40.9%28.7%40.1%6.7%4.7%249.3K6.7M-202.7K0.1611.201,74028240,92822,037
2012-05-22$19.50$24.0041.2%11.8%41.2%28.5%36.5%5.4%4.6%266.4K5.3M-205.8K0.2213.093798341,19622,051
2012-05-23$19.38$24.0040.6%11.7%34.0%27.6%39.1%7.3%4.9%276.7K5.3M-201.8K0.079.745,88239641,44621,683
2012-05-24$18.90$24.0039.4%11.3%33.1%25.4%38.0%7.2%6.8%283.3K4.3M-203.9K0.4111.8442017343,83421,958
2012-05-25$19.25$23.0038.3%11.0%34.3%23.4%38.9%5.9%7.2%302.2K2.5M-210.4K0.8411.6129424744,03921,879
2012-05-29$20.06$23.0038.0%10.9%38.8%22.9%38.2%5.8%5.7%340.6K-3.1M-222.9K0.259.521,22030444,26121,893
2012-05-30$19.19$23.0042.3%12.1%40.8%30.5%40.1%5.4%4.4%328.1K1.9M-209.2K0.8811.0968760744,89221,924
2012-05-31$19.13$23.0041.4%11.9%40.2%29.0%41.7%6.1%5.5%315.4K2.2M-207.6K0.2112.893246945,47322,297