JBL Options History — August 2012

In August 2012, JBL traded between $21.15 and $23.49. ATM implied volatility averaged 31.7%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 2.8% (HV 20d: 28.9%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 2.20.

Notable Days

  • 2012-08-07: Highest Volume — 4,385 contracts
  • 2012-08-16: Largest IV spike — 33.6% change
  • 2012-08-30: Highest IV Rank — 19.9%
  • 2012-08-01: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.70$21.15$23.49$21.25$22.78
Max Pain$21.74$20.00$22.00$20.00$22.00
ATM IV31.7%24.0%36.2%36.2%32.1%
Expected Move9.4%8.6%10.4%10.4%9.2%
HV 20d28.9%17.0%37.7%37.2%17.0%
HV 60d39.9%36.1%42.8%42.1%36.1%
IV Rank14.3%0.0%19.9%19.6%16.9%
IV Percentile21.0%0.0%40.1%40.1%27.4%
Term Structure5.5%1.9%7.3%1.9%7.2%
VWIV33.5%29.8%37.1%37.1%35.8%
Skew 25d4.2%1.8%5.5%4.0%5.0%
Skew 10d9.3%1.8%18.7%13.2%10.7%
Call IV 25d31.1%28.5%34.2%34.2%31.4%
Put IV 25d35.2%32.5%38.4%38.2%36.4%
Bid-Ask Spread %14.4810.0324.7020.2824.70
Gamma HHI0.190.140.250.140.20
Net GEX725.1K457.0K895.5K566.8K457.0K
Net DEX-34.4M-42.8M-18.5M-20.0M-31.3M
Net VEX-217.3K-231.3K-202.5K-226.9K-209.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.2016.160.3416.16
Total Volume1,312.8262414,3856622,402
Total OI66,019.95763,84470,48063,93670,480

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$21.25$20.0036.2%10.4%37.2%19.6%37.1%4.0%1.9%566.8K-20.0M-226.9K0.3420.2849316941,15822,778
2012-08-02$21.15$20.0035.4%10.2%37.2%18.3%34.3%4.0%2.2%550.6K-18.5M-223.5K6.2018.463732,31341,23722,882
2012-08-03$22.02$20.0032.2%9.2%37.7%12.6%32.6%1.8%2.7%600.3K-27.8M-231.3K0.2012.822,10641341,37723,770
2012-08-06$22.12$22.0033.6%9.9%37.2%15.1%34.7%5.2%5.4%722.7K-29.4M-230.9K0.4119.5766627542,70023,861
2012-08-07$22.53$22.0032.6%9.8%35.0%13.3%35.8%4.8%3.9%836.4K-35.7M-227.6K2.5215.031,2453,14042,88922,693
2012-08-08$22.50$22.0032.1%10.0%34.0%14.2%34.2%5.0%4.9%744.0K-33.3M-227.4K0.4113.6653121742,58023,966
2012-08-09$22.50$22.0031.4%9.9%34.1%12.6%33.8%4.0%4.5%759.6K-33.8M-225.3K0.2611.8859115442,66724,057
2012-08-10$22.67$22.0028.5%9.4%34.1%7.0%33.7%3.9%5.1%768.9K-35.6M-225.6K0.2717.081925242,70224,122
2012-08-13$22.53$22.0032.1%9.4%34.2%14.5%34.5%4.4%5.7%758.3K-31.7M-219.4K1.0413.5922723541,49724,106
2012-08-14$22.32$22.0033.5%9.7%34.7%17.4%36.2%5.0%5.6%749.4K-29.6M-216.4K2.1810.846021,31441,49924,016
2012-08-15$22.57$22.0024.0%9.2%29.7%0.0%35.0%3.9%6.1%795.2K-33.0M-220.6K0.3011.7045613741,90224,584
2012-08-16$23.04$22.0032.0%9.2%29.2%16.4%33.6%3.5%6.6%801.6K-39.0M-220.6K0.4114.1029912441,99124,588
2012-08-17$23.16$22.0030.6%8.8%28.4%13.4%32.0%3.6%7.1%895.5K-40.9M-214.1K0.6711.7253936342,02324,590
2012-08-20$23.25$22.0031.3%9.0%27.3%15.0%31.5%3.7%6.2%693.8K-39.1M-210.5K0.2012.021,01920040,90922,935
2012-08-21$23.49$22.0031.0%8.9%23.9%14.7%31.0%4.0%6.4%748.1K-42.8M-211.3K0.2811.841,01628841,50923,051
2012-08-22$23.27$22.0031.3%9.0%24.6%15.3%30.1%4.3%6.0%753.7K-40.0M-213.4K0.5716.5542224141,80523,215
2012-08-23$23.30$22.0031.8%9.1%22.9%16.2%30.8%3.4%6.1%760.6K-40.2M-211.6K0.3012.261855642,07323,345
2012-08-24$23.27$22.0030.5%8.7%21.6%13.5%29.8%4.0%7.0%774.0K-39.7M-210.6K0.4910.5436818242,18523,389
2012-08-27$23.38$22.0031.3%9.0%21.5%15.3%32.2%4.4%6.7%796.4K-41.3M-207.3K0.9310.0316715542,39923,478
2012-08-28$23.05$22.0030.1%8.6%21.4%12.8%31.8%3.5%7.3%806.8K-37.3M-203.5K1.6513.4825241742,51723,510
2012-08-29$23.28$22.0031.3%9.0%19.6%15.2%34.6%5.0%7.0%811.2K-40.6M-202.5K10.0311.192652,65842,68723,741
2012-08-30$22.73$22.0033.5%9.6%21.8%19.9%36.0%5.5%5.3%525.7K-30.8M-208.6K4.6919.744702,20642,77426,222
2012-08-31$22.78$22.0032.1%9.2%17.0%16.9%35.8%5.0%7.2%457.0K-31.3M-209.7K16.1624.701402,26243,14427,336