JBL Options History — July 2012

In July 2012, JBL traded between $18.76 and $21.70. ATM implied volatility averaged 35.3%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 8.2% (HV 20d: 43.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2012-07-31: Highest Volume — 4,634 contracts
  • 2012-07-23: Largest IV spike — 12.1% change
  • 2012-07-12: Highest IV Rank — 23.3%
  • 2012-07-10: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.03$18.76$21.70$20.04$21.70
Max Pain$19.90$19.00$20.00$19.00$20.00
ATM IV35.3%32.8%38.2%33.6%37.3%
Expected Move10.2%9.4%11.0%9.6%10.7%
HV 20d43.6%36.6%48.9%48.5%36.8%
HV 60d42.9%42.3%44.3%42.7%42.3%
IV Rank18.1%13.7%23.3%15.0%21.6%
IV Percentile36.6%24.6%49.2%28.6%48.0%
Term Structure1.7%0.1%3.3%3.3%0.8%
VWIV35.9%31.6%41.1%33.6%37.6%
Skew 25d5.4%3.8%7.0%4.3%3.8%
Skew 10d12.6%3.7%20.9%6.9%9.6%
Call IV 25d33.6%30.3%36.1%31.5%35.8%
Put IV 25d39.0%34.4%42.2%35.8%39.6%
Bid-Ask Spread %15.0610.4320.7914.7517.27
Gamma HHI0.130.110.270.120.13
Net GEX464.5K217.2K932.7K446.6K659.2K
Net DEX-10.1M-26.2M1.8M-10.2M-26.2M
Net VEX-208.7K-226.8K-190.4K-220.8K-226.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.142.460.582.46
Total Volume1,279.9522574,6344944,634
Total OI62,200.57158,18965,25362,10760,773

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$20.04$19.0033.6%9.6%48.5%15.0%33.6%4.3%3.3%446.6K-10.2M-220.8K0.5814.7531318139,33922,768
2012-07-03$20.48$19.0033.2%9.5%47.6%14.4%31.6%4.3%3.1%520.2K-14.1M-225.5K0.1517.064787139,36822,738
2012-07-05$20.45$20.0032.8%9.4%46.7%13.7%32.5%4.1%3.0%541.9K-14.4M-223.3K0.7610.4353640539,46122,761
2012-07-06$19.85$20.0033.9%10.5%48.1%15.6%35.8%6.8%0.5%416.6K-7.8M-211.2K0.2120.7969114839,44022,909
2012-07-09$19.62$20.0034.0%10.5%48.3%15.8%36.8%5.5%0.1%378.0K-5.4M-204.3K0.2713.731,04428739,65922,896
2012-07-10$19.06$20.0036.9%11.0%48.9%20.8%35.9%5.8%1.1%272.5K-660.7K-199.1K0.4720.3648922840,44623,067
2012-07-11$18.76$20.0036.3%10.7%47.6%19.9%38.1%4.6%1.0%224.5K1.8M-191.9K0.8013.9947237640,74323,004
2012-07-12$18.80$20.0038.2%11.0%45.6%23.3%41.1%6.1%0.1%220.4K1.7M-193.7K1.1115.0030433740,74123,081
2012-07-13$19.02$20.0036.7%10.5%45.7%20.5%36.7%6.3%1.5%249.3K-67.6K-195.2K0.8012.8614311440,85923,246
2012-07-16$18.94$20.0036.7%10.5%44.0%20.5%36.1%7.0%1.4%217.2K799.6K-190.4K0.7113.7234324340,92023,233
2012-07-17$19.18$20.0036.4%10.4%44.2%20.1%36.3%5.8%1.3%225.6K-998.0K-191.6K0.7317.0650236640,95923,351
2012-07-18$20.29$20.0035.5%10.2%47.9%18.4%36.8%5.4%2.4%601.4K-13.4M-213.0K0.2016.381,72034340,89723,476
2012-07-19$20.83$20.0034.2%9.8%42.7%16.2%35.2%4.9%2.2%932.7K-19.9M-216.0K0.2313.181,39631741,20323,366
2012-07-20$20.55$20.0033.1%9.5%41.2%14.2%34.0%6.4%2.6%579.0K-16.9M-214.5K0.5012.721,98398841,68723,566
2012-07-23$20.25$20.0037.1%10.6%41.1%21.3%37.4%6.1%1.0%460.2K-11.2M-207.8K0.3611.3646917038,27019,919
2012-07-24$19.68$20.0037.8%10.8%38.2%22.5%39.2%6.8%0.9%436.0K-7.2M-200.8K0.2512.681,31532438,57719,947
2012-07-25$20.00$20.0036.5%10.5%38.4%20.3%36.3%6.0%1.7%495.4K-10.4M-205.8K0.2017.1766813339,29119,985
2012-07-26$20.65$20.0033.7%9.7%38.2%15.3%33.7%5.5%3.2%568.5K-15.7M-212.5K0.1416.4978911439,52319,947
2012-07-27$21.22$20.0033.1%9.5%39.0%14.2%33.4%4.5%2.7%648.9K-20.9M-219.1K1.6416.651,0011,64539,98519,984
2012-07-30$21.21$20.0034.9%10.0%36.6%17.4%35.0%3.8%1.4%659.6K-21.3M-219.2K0.3412.5559820140,47820,349
2012-07-31$21.70$20.0037.3%10.7%36.8%21.6%37.6%3.8%0.8%659.2K-26.2M-226.8K2.4617.271,3403,29440,38020,393