JBL Options History — December 2012

In December 2012, JBL traded between $17.51 and $19.95. ATM implied volatility averaged 37.9%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.9% (HV 20d: 33.0%). Max pain ranged from $17.50 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2012-12-20: Highest Volume — 11,076 contracts
  • 2012-12-13: Largest IV drop — 29.5% change
  • 2012-12-12: Highest IV Rank — 94.3%
  • 2012-12-06: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.74$17.51$19.95$18.70$19.29
Max Pain$17.80$17.50$19.00$19.00$17.50
ATM IV37.9%31.1%50.1%38.7%33.7%
Expected Move10.2%8.9%11.9%11.1%9.7%
HV 20d33.0%23.0%45.1%30.7%45.1%
HV 60d34.4%32.8%39.5%33.3%34.4%
IV Rank50.7%25.8%94.3%53.1%37.2%
IV Percentile67.1%21.8%99.2%80.6%51.6%
Term Structure-1.0%-6.8%2.3%-5.1%-0.0%
VWIV35.5%30.9%40.0%39.1%33.4%
Skew 25d3.2%0.9%6.6%2.5%6.6%
Skew 10d5.6%-5.3%18.7%-5.3%8.4%
Call IV 25d34.5%29.8%39.5%37.3%30.7%
Put IV 25d37.8%33.1%43.6%39.8%37.4%
Bid-Ask Spread %19.136.0528.8720.9315.04
Gamma HHI0.190.150.460.170.19
Net GEX518.3K380.4K1.1M533.4K439.3K
Net DEX-10.5M-32.1M3.1M-9.5M-15.2M
Net VEX-98.9K-113.8K-87.3K-113.3K-89.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.182.552.550.50
Total Volume2,174.2545511,0764551,612
Total OI55,688.3541,76664,63357,77543,118

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$18.70$19.0038.7%11.1%30.7%53.1%39.1%2.5%-5.1%533.4K-9.5M-113.3K2.5520.9312832738,47619,299
2012-12-04$18.78$19.0038.4%11.0%27.6%52.0%38.7%0.9%-3.1%530.7K-10.3M-113.8K0.5220.8357429638,52619,420
2012-12-05$18.80$19.0039.6%11.4%26.7%56.5%39.9%2.1%-4.9%538.2K-10.3M-113.6K0.9723.6229528738,80219,539
2012-12-06$18.50$19.0041.6%11.9%24.1%63.6%40.0%5.2%-6.8%497.8K-6.7M-108.7K0.7017.7254938438,77819,761
2012-12-07$18.37$17.5042.1%10.0%23.0%65.6%35.0%3.2%0.9%507.1K-5.4M-106.4K0.7318.6347734739,06719,910
2012-12-10$18.27$17.5046.0%10.4%23.1%79.5%32.8%2.9%-0.7%498.8K-4.6M-103.7K0.4715.3968532239,13520,099
2012-12-11$18.99$17.5048.4%10.0%25.9%88.4%34.8%1.9%-0.3%550.0K-12.3M-106.8K1.4523.8152676139,27420,101
2012-12-12$18.65$17.5050.1%10.2%24.9%94.3%35.9%3.5%-1.1%506.5K-8.4M-104.9K0.4918.7644021739,30820,345
2012-12-13$18.53$17.5035.3%10.1%25.1%40.9%35.9%2.6%-0.3%510.7K-7.3M-103.1K1.3018.5326133939,52320,370
2012-12-14$17.51$17.5038.2%10.9%32.6%51.4%38.5%2.2%-2.4%449.1K3.1M-92.8K0.7318.712,4611,80239,49620,360
2012-12-17$17.79$17.5038.0%10.9%32.8%50.8%38.3%4.0%-2.4%487.0K823.5K-91.3K0.1921.3797918939,97420,552
2012-12-18$18.41$17.5036.9%10.6%32.7%46.8%36.9%3.5%-0.9%578.8K-6.8M-95.4K0.8520.101,03188140,53120,610
2012-12-19$18.57$17.5038.1%10.9%32.8%51.1%38.4%2.0%-3.0%589.4K-9.3M-95.5K0.4128.876,1732,52240,52420,462
2012-12-20$19.95$17.5031.1%8.9%41.2%25.8%31.6%2.9%0.8%1.1M-32.1M-92.9K0.2022.809,2021,87443,33721,296
2012-12-21$19.39$17.5032.2%9.2%42.1%31.4%31.9%2.1%2.1%414.6K-22.0M-89.5K0.6918.142,3281,60242,15522,001
2012-12-24$19.29$17.5032.0%9.2%42.2%30.8%30.9%3.1%1.5%380.4K-14.5M-89.5K0.546.0564535128,31913,447
2012-12-26$19.21$17.5032.2%9.2%42.0%31.5%32.1%4.0%1.6%401.7K-14.6M-88.9K0.5314.8787946328,77113,318
2012-12-27$19.17$17.5032.4%9.3%41.9%32.4%33.3%4.3%0.9%415.1K-14.4M-90.9K0.1818.484628529,21413,536
2012-12-28$18.61$17.5032.2%9.2%43.1%31.5%33.1%5.1%2.3%437.7K-10.1M-87.3K0.5919.8645827129,45313,560
2012-12-31$19.29$17.5033.7%9.7%45.1%37.2%33.4%6.6%-0.0%439.3K-15.2M-89.6K0.5015.041,07353929,47013,648