JBL Options History — June 2012

In June 2012, JBL traded between $17.95 and $20.75. ATM implied volatility averaged 39.9%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 5.5% (HV 20d: 45.3%). Max pain ranged from $19.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2012-06-20: Highest Volume — 9,018 contracts
  • 2012-06-14: Largest IV spike — 34.9% change
  • 2012-06-14: Highest IV Rank — 42.3%
  • 2012-06-04: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.18$17.95$20.75$18.19$20.33
Max Pain$19.33$19.00$23.00$23.00$19.00
ATM IV39.9%32.6%48.9%47.5%34.2%
Expected Move12.1%9.4%14.2%13.6%9.8%
HV 20d45.3%38.6%53.4%41.7%48.4%
HV 60d37.6%34.0%42.6%34.3%42.6%
IV Rank26.3%13.3%42.3%39.7%16.1%
IV Percentile50.4%25.8%73.8%70.6%30.2%
Term Structure0.0%-3.3%4.3%3.0%2.6%
VWIV42.3%34.1%48.9%48.6%34.2%
Skew 25d6.9%5.2%9.5%6.6%6.2%
Skew 10d14.5%8.4%18.2%18.2%13.9%
Call IV 25d39.0%29.4%46.6%44.1%29.4%
Put IV 25d45.9%35.3%54.8%50.7%35.6%
Bid-Ask Spread %14.9010.1319.8910.8415.75
Gamma HHI0.120.110.130.120.12
Net GEX380.3K271.1K758.7K284.4K481.1K
Net DEX-1.5M-22.8M8.9M7.4M-13.3M
Net VEX-203.8K-237.6K-181.3K-190.1K-230.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.223.750.320.82
Total Volume2,015.0484409,0181,321877
Total OI64,577.09553,87871,34967,87861,970

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$18.19$23.0047.5%13.6%41.7%39.7%48.6%6.6%3.0%284.4K7.4M-190.1K0.3210.8499932245,59222,286
2012-06-04$17.95$19.0046.1%14.2%38.6%37.3%48.4%8.2%-2.2%271.6K8.9M-181.3K0.2219.8964614345,75322,545
2012-06-05$18.60$19.0043.3%13.4%41.1%32.3%46.7%6.4%-0.9%303.2K5.6M-193.9K1.2318.0732740245,91722,552
2012-06-06$19.15$19.0038.4%13.0%42.8%23.6%42.5%7.1%-1.0%298.7K3.0M-201.5K0.4619.3145820945,95722,603
2012-06-07$19.05$20.0039.8%12.9%42.7%26.0%43.6%6.7%-0.7%308.2K3.5M-200.2K0.7113.8544931946,21222,630
2012-06-08$19.10$20.0036.5%12.6%40.8%20.2%44.4%7.4%-1.0%320.4K3.6M-199.7K0.6916.2027819146,49922,777
2012-06-11$18.70$19.0043.2%13.2%41.4%32.2%48.7%7.7%-1.5%325.2K6.3M-190.0K2.2613.2519744546,57022,872
2012-06-12$19.35$19.0039.9%13.4%41.5%26.3%46.3%7.2%-1.7%293.4K2.1M-201.0K3.3813.403201,08246,60823,108
2012-06-13$18.63$19.0036.3%13.6%42.7%19.8%47.2%9.5%-2.5%338.2K7.0M-189.7K3.7515.052901,08746,73423,523
2012-06-14$18.48$19.0048.9%14.0%42.5%42.3%48.9%7.7%-3.3%333.2K8.5M-185.7K1.2614.9965883046,83423,968
2012-06-15$19.13$19.0045.5%13.0%43.7%36.2%45.4%8.6%-2.2%494.4K4.3M-197.6K0.5718.651,27373247,04824,301
2012-06-18$19.01$19.0043.9%12.6%43.7%33.4%43.9%6.9%-2.7%378.6K-4.9M-196.1K0.4613.8276635536,39117,487
2012-06-19$19.42$19.0045.7%13.1%43.8%36.6%44.5%7.1%-2.4%419.3K-7.8M-204.1K0.2616.496,4811,70836,88517,773
2012-06-20$20.75$19.0032.6%9.4%49.6%13.3%34.1%5.2%2.0%758.7K-22.8M-234.9K0.3810.136,5582,46041,40918,905
2012-06-21$20.07$19.0036.0%10.3%51.2%19.3%37.3%5.4%2.6%689.7K-17.8M-237.6K3.2211.358672,79043,29819,791
2012-06-22$19.76$19.0035.0%10.0%50.6%17.5%34.7%5.9%1.6%406.5K-8.1M-212.0K0.7416.6558443037,79720,782
2012-06-25$18.80$20.0037.1%10.6%53.4%21.2%36.6%6.1%1.5%271.1K-595.9K-191.8K1.1014.351,2501,37437,72820,794
2012-06-26$19.02$19.0037.1%10.6%51.3%21.4%37.4%5.6%2.1%276.7K-1.6M-201.9K0.6310.9886554137,87521,867
2012-06-27$19.67$19.0036.3%10.4%50.4%19.9%37.6%6.3%2.5%371.7K-7.4M-217.7K1.1213.971,0921,22138,46222,050
2012-06-28$19.53$19.0034.7%10.0%50.4%17.1%37.9%6.5%4.3%361.3K-6.4M-221.9K0.4615.9330113939,23222,734
2012-06-29$20.33$19.0034.2%9.8%48.4%16.1%34.2%6.2%2.6%481.1K-13.3M-230.3K0.8215.7548339439,24822,722