JBL Options History — November 2012

In November 2012, JBL traded between $16.97 and $19.05. ATM implied volatility averaged 33.5%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 3.7% (HV 20d: 29.8%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2012-11-14: Highest Volume — 3,671 contracts
  • 2012-11-15: Largest IV spike — 23.5% change
  • 2012-11-15: Highest IV Rank — 56.4%
  • 2012-11-14: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.09$16.97$19.05$17.70$19.00
Max Pain$19.29$18.00$20.00$18.00$19.00
ATM IV33.5%27.5%39.9%27.5%36.3%
Expected Move10.4%7.9%11.7%7.9%10.4%
HV 20d29.8%25.4%31.3%25.4%30.8%
HV 60d34.0%31.5%35.4%31.7%33.1%
IV Rank33.9%12.1%56.4%12.1%44.5%
IV Percentile43.1%4.0%77.8%4.0%67.5%
Term Structure-0.7%-3.5%8.4%8.4%-3.5%
VWIV36.3%27.6%40.1%27.6%35.8%
Skew 25d3.7%1.0%8.6%8.6%1.3%
Skew 10d6.9%1.0%13.5%8.4%7.3%
Call IV 25d34.6%21.1%39.1%21.1%35.1%
Put IV 25d38.3%29.7%43.4%29.7%36.4%
Bid-Ask Spread %18.5310.2028.2825.9018.88
Gamma HHI0.190.160.260.190.16
Net GEX371.5K230.6K548.1K231.5K548.1K
Net DEX-1.1M-13.2M12.0M4.7M-12.7M
Net VEX-109.2K-121.7K-90.9K-112.9K-118.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.242.150.440.27
Total Volume1,243.2864043,671820513
Total OI58,824.33352,65863,27460,20857,494

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$17.70$18.0027.5%7.9%25.4%12.1%27.6%8.6%8.4%231.5K4.7M-112.9K0.4425.9056825238,00722,201
2012-11-02$17.40$18.0030.7%8.8%25.6%22.9%29.2%5.7%5.2%230.6K7.7M-108.3K1.2828.2834444038,24222,254
2012-11-05$18.10$20.0030.5%10.6%29.5%23.2%36.4%3.9%-0.1%265.2K222.2K-118.3K0.4920.5483740938,38822,398
2012-11-06$18.48$20.0031.1%10.7%30.4%25.2%36.8%3.3%-1.8%335.0K-3.9M-121.7K0.2418.0072617138,54522,308
2012-11-07$17.85$20.0031.8%10.7%30.0%27.7%37.8%3.9%0.4%262.8K3.0M-112.5K0.4119.1759924338,75122,326
2012-11-08$17.50$20.0032.0%11.1%30.8%28.5%38.5%4.0%-1.4%252.7K6.6M-106.5K0.7519.2456242239,02722,375
2012-11-09$17.62$20.0028.8%10.7%28.8%17.2%37.9%4.0%-0.7%255.5K5.8M-106.1K0.9416.4621520339,42922,546
2012-11-12$17.40$20.0031.0%11.1%29.1%24.9%36.3%4.3%-1.4%268.8K8.3M-98.0K0.9916.3767867239,49622,590
2012-11-13$16.97$20.0029.8%10.7%30.3%20.8%36.9%4.3%-1.4%318.3K12.0M-90.9K0.8117.5441633639,43422,542
2012-11-14$17.17$20.0032.3%11.7%30.6%29.5%40.1%4.3%-2.8%316.0K8.0M-98.5K0.5419.062,3881,28339,64021,697
2012-11-15$17.42$19.0039.9%11.4%29.3%56.4%38.6%4.1%-1.6%390.8K5.5M-101.5K1.0516.9341743740,69022,295
2012-11-16$17.63$19.0038.1%10.9%29.6%50.0%38.3%3.2%-0.5%295.4K3.5M-104.4K2.1515.4929864240,84822,426
2012-11-19$18.26$19.0035.3%10.1%30.4%40.3%34.6%3.7%-2.0%387.6K-3.5M-105.8K0.4618.6990041534,32018,338
2012-11-20$18.26$19.0035.9%10.3%30.3%42.2%37.9%4.0%-2.2%414.2K-4.1M-106.2K0.2716.6075220534,93018,382
2012-11-21$18.55$19.0033.8%9.7%30.7%35.1%34.9%4.6%0.6%452.3K-7.0M-108.3K0.3320.6967122235,50818,436
2012-11-23$18.95$19.0035.1%10.1%30.7%39.6%37.6%1.9%-0.8%493.5K-11.6M-110.3K0.5410.201,48881035,86218,320
2012-11-26$18.93$19.0035.2%10.1%30.7%39.9%36.9%3.2%-1.5%513.3K-11.1M-106.8K0.3817.351,88572436,34218,321
2012-11-27$18.73$19.0035.7%10.2%31.2%41.7%36.8%2.8%-1.8%507.6K-10.0M-119.4K0.4819.131,35964937,58518,883
2012-11-28$18.91$19.0036.6%10.5%31.3%44.9%36.3%1.0%-3.3%525.4K-11.4M-118.6K0.7217.1823516937,84319,172
2012-11-29$19.05$19.0036.7%10.5%31.3%46.0%36.8%1.0%-3.2%537.4K-13.2M-119.2K0.7017.3591563937,96019,160
2012-11-30$19.00$19.0036.3%10.4%30.8%44.5%35.8%1.3%-3.5%548.1K-12.7M-118.4K0.2718.8840510838,25019,244