JBL Options History — September 2012

In September 2012, JBL traded between $18.72 and $22.70. ATM implied volatility averaged 39.5%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 8.6% (HV 20d: 30.9%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.33.

Notable Days

  • 2012-09-26: Highest Volume — 18,553 contracts
  • 2012-09-26: Largest IV drop — 29.7% change
  • 2012-09-25: Highest IV Rank — 51.2%
  • 2012-09-25: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.41$18.72$22.70$21.46$18.72
Max Pain$22.42$21.00$23.00$22.00$21.00
ATM IV39.5%31.5%48.5%44.0%32.5%
Expected Move11.8%9.0%13.9%12.6%9.3%
HV 20d30.9%26.6%45.5%27.6%44.8%
HV 60d34.7%30.0%38.3%38.3%36.5%
IV Rank32.3%15.7%51.2%41.8%17.8%
IV Percentile59.1%21.8%88.5%71.8%30.2%
Term Structure-1.9%-7.4%4.6%1.8%0.7%
VWIV40.6%31.8%48.7%42.6%32.2%
Skew 25d4.7%0.7%6.7%5.5%0.9%
Skew 10d7.8%-5.2%12.9%10.1%-5.2%
Call IV 25d38.8%32.2%48.2%40.0%32.6%
Put IV 25d43.5%33.5%51.5%45.5%33.5%
Bid-Ask Spread %15.829.0025.4125.419.00
Gamma HHI0.230.130.500.180.20
Net GEX-8.2K-1.2M535.6K191.4K19.5K
Net DEX-15.1M-31.7M7.0M-12.9M7.0M
Net VEX-182.3K-206.1K-150.9K-200.6K-167.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.364.571.152.82
Total Volume4,369.21150918,5535,3146,033
Total OI72,239.89548,30981,34670,99771,081

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$21.46$22.0044.0%12.6%27.6%41.8%42.6%5.5%1.8%191.4K-12.9M-200.6K1.1525.412,4712,84343,20327,794
2012-09-05$21.48$22.0042.4%12.2%26.6%38.5%40.5%6.7%2.1%179.9K-12.2M-206.1K0.8614.6930326044,73529,097
2012-09-06$21.93$22.0038.0%10.9%27.8%29.3%38.2%5.5%4.6%220.1K-17.9M-204.2K1.0814.7943146644,78629,140
2012-09-07$21.90$23.0034.4%11.8%27.8%21.7%40.4%6.5%-1.5%204.4K-17.3M-199.3K1.0212.7047949044,95329,043
2012-09-10$21.87$23.0034.4%12.0%27.6%21.9%42.5%5.3%-2.7%132.3K-17.2M-191.7K3.7317.721,3354,97345,06129,100
2012-09-11$22.21$23.0034.5%12.0%28.2%22.1%39.5%6.0%-3.0%342.9K-23.7M-192.1K4.5712.995182,36545,63529,252
2012-09-12$21.99$23.0033.5%11.9%28.2%19.9%40.9%6.1%-1.9%-107.9K-16.8M-190.6K0.3615.6337513445,86631,319
2012-09-13$22.15$23.0040.1%11.5%28.1%33.6%40.0%5.4%-2.1%-116.3K-20.5M-186.5K0.8814.3081471346,03731,352
2012-09-14$22.70$23.0039.5%11.3%28.5%32.5%40.3%6.1%-2.3%391.0K-31.7M-188.2K0.4516.2774933446,41731,492
2012-09-17$22.39$23.0041.9%12.0%28.8%37.4%40.1%6.1%-3.5%-142.6K-25.6M-180.2K1.1315.5639844946,61131,722
2012-09-18$22.30$23.0043.3%12.4%28.7%40.3%42.8%5.4%-3.4%-356.0K-24.0M-175.7K1.0516.641,0731,12646,54231,688
2012-09-19$22.14$23.0042.3%12.1%28.4%38.2%42.0%4.9%-3.2%-715.2K-20.5M-175.1K0.3619.621,39750547,12932,341
2012-09-20$21.95$23.0043.3%12.4%28.3%40.3%43.1%5.3%-5.1%-1.2M-16.2M-175.2K0.6218.791,46090247,44432,601
2012-09-21$21.55$22.0045.3%13.0%28.8%44.6%45.6%4.2%-6.5%-359.7K-5.3M-167.8K1.0713.452,8953,09348,53232,814
2012-09-24$21.37$22.0046.1%13.2%28.8%46.2%45.9%3.6%-4.7%506.2K-22.2M-167.7K0.5912.034,1862,48932,63915,670
2012-09-25$20.97$22.0048.5%13.9%29.1%51.2%48.7%3.2%-7.4%535.6K-20.3M-177.6K0.9218.757,3076,74935,25416,805
2012-09-26$18.90$22.0034.1%9.8%45.5%21.1%34.0%0.7%-0.3%166.0K3.7M-150.9K1.2117.778,38210,17138,69221,366
2012-09-27$18.90$21.0031.5%9.0%45.0%15.7%31.8%1.6%1.9%-1.2K6.4M-166.2K1.4814.481,7552,59242,60226,743
2012-09-28$18.72$21.0032.5%9.3%44.8%17.8%32.2%0.9%0.7%19.5K7.0M-167.4K2.829.001,5804,45343,80027,281