JBL Options History — October 2012

In October 2012, JBL traded between $17.00 and $18.47. ATM implied volatility averaged 32.4%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 5.0% (HV 20d: 37.4%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2012-10-08: Highest Volume — 4,857 contracts
  • 2012-10-08: Largest IV spike — 15.2% change
  • 2012-10-11: Highest IV Rank — 39.4%
  • 2012-10-08: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.48$17.00$18.47$18.47$17.34
Max Pain$18.81$18.00$21.00$21.00$18.00
ATM IV32.4%29.1%35.5%34.4%31.3%
Expected Move9.5%8.7%10.4%9.9%9.0%
HV 20d37.4%23.5%44.5%44.5%24.0%
HV 60d34.4%31.3%36.6%36.1%31.3%
IV Rank26.8%14.9%39.4%21.8%25.0%
IV Percentile30.6%7.5%51.6%42.5%21.0%
Term Structure3.8%1.2%6.4%1.2%6.4%
VWIV32.6%30.0%36.2%33.4%30.6%
Skew 25d3.5%1.4%6.7%1.4%4.3%
Skew 10d6.6%-9.9%19.4%1.2%11.2%
Call IV 25d31.1%27.0%33.9%33.9%28.5%
Put IV 25d34.6%32.4%37.6%35.3%32.9%
Bid-Ask Spread %13.548.9228.3610.8828.36
Gamma HHI0.180.140.220.150.20
Net GEX207.3K90.9K382.6K127.5K220.9K
Net DEX13.5M7.9M20.3M8.5M7.9M
Net VEX-128.7K-159.2K-109.1K-158.4K-110.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.273.280.980.40
Total Volume1,949.193314,8574,7311,428
Total OI71,608.04858,46379,70970,61659,755

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$18.47$21.0034.4%9.9%44.5%21.8%33.4%1.4%1.2%127.5K8.5M-158.4K0.9810.882,3862,34544,33926,277
2012-10-02$18.39$21.0032.7%9.4%40.6%18.2%32.3%2.8%2.3%155.6K9.1M-159.2K0.669.9264142045,66927,341
2012-10-03$18.12$21.0031.9%9.2%40.5%20.1%31.1%2.3%2.3%138.8K11.7M-149.8K3.289.714251,39545,87827,201
2012-10-04$18.05$21.0032.3%9.3%39.1%24.1%31.1%1.9%1.7%94.7K12.3M-151.1K0.5114.481,71087945,99227,861
2012-10-05$18.05$19.0029.1%9.3%39.1%14.9%32.1%3.8%4.7%113.8K13.0M-150.6K0.4514.4955625146,77428,275
2012-10-08$17.39$19.0033.5%10.4%40.2%30.8%36.2%4.5%1.2%90.9K19.3M-128.4K0.279.283,8321,02546,86928,168
2012-10-09$17.51$18.0032.5%9.8%39.5%29.2%34.1%3.3%3.1%252.5K16.0M-137.5K0.4314.7598142349,46028,516
2012-10-10$17.00$18.0031.2%10.1%40.0%24.5%33.6%4.5%2.9%253.2K20.3M-125.4K0.3611.973,0351,08050,05728,666
2012-10-11$17.17$18.0035.5%10.2%40.2%39.4%33.5%2.7%2.0%314.5K18.0M-131.7K0.6411.361,23379450,79628,913
2012-10-12$17.03$18.0033.9%9.7%37.8%33.9%34.7%3.4%4.1%287.9K19.7M-122.6K0.3311.382498250,38528,808
2012-10-15$17.12$18.0034.7%9.9%38.4%36.6%33.9%3.4%2.8%297.8K19.2M-121.6K1.2713.051,0541,33650,51028,832
2012-10-16$17.60$18.0030.2%8.7%41.0%21.2%32.4%2.0%6.1%370.9K13.8M-130.5K0.3010.993,26097951,02428,638
2012-10-17$17.72$19.0031.8%9.1%41.5%26.7%31.6%3.2%3.7%382.6K13.5M-129.2K0.709.8281157050,33128,445
2012-10-18$17.26$19.0032.8%9.4%41.9%30.3%32.5%2.2%3.7%203.3K16.8M-118.9K2.4110.0338592749,80127,708
2012-10-19$17.19$19.0032.2%9.2%41.9%28.2%31.3%4.2%4.3%153.3K18.0M-118.0K1.138.9236641249,89728,109
2012-10-22$17.25$18.0031.1%8.9%42.2%24.2%30.0%3.6%5.9%182.0K8.6M-115.7K0.3518.7786530036,65421,809
2012-10-23$17.05$18.0032.2%9.2%42.1%28.2%33.9%4.1%5.4%181.6K10.1M-111.2K0.7218.3352938136,86721,912
2012-10-24$17.03$18.0032.2%9.2%23.5%28.0%32.6%4.9%5.6%179.2K10.4M-109.1K0.4917.6360229336,77721,985
2012-10-25$17.14$18.0032.7%9.4%23.8%29.9%32.4%3.6%4.9%172.7K9.7M-110.2K0.929.7230127836,92422,142
2012-10-26$17.28$18.0032.1%9.2%24.1%27.8%30.9%6.7%5.2%180.7K8.5M-114.2K1.5820.478181,29637,08322,321
2012-10-31$17.34$18.0031.3%9.0%24.0%25.0%30.6%4.3%6.4%220.9K7.9M-110.0K0.4028.361,01841037,64022,115