JBL Options History — January 2013

In January 2013, JBL traded between $18.91 and $20.00. ATM implied volatility averaged 28.2%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 7.8% (HV 20d: 36.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2013-01-02: Highest Volume — 6,950 contracts
  • 2013-01-10: Largest IV spike — 19.2% change
  • 2013-01-14: Highest IV Rank — 28.7%
  • 2013-01-14: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.54$18.91$20.00$19.60$18.91
Max Pain$19.62$17.50$20.00$17.50$20.00
ATM IV28.2%24.7%31.5%28.3%28.1%
Expected Move8.3%7.8%9.0%8.1%8.0%
HV 20d36.0%21.2%45.6%44.9%21.2%
HV 60d33.6%33.0%34.4%34.3%33.3%
IV Rank16.0%2.8%28.7%16.5%15.7%
IV Percentile9.0%0.4%29.8%6.0%9.1%
Term Structure1.2%-0.3%2.9%2.0%1.6%
VWIV29.0%26.2%32.0%29.5%28.0%
Skew 25d3.5%0.5%5.0%0.5%4.9%
Skew 10d7.8%-2.1%18.2%-1.2%-2.1%
Call IV 25d27.1%22.1%28.9%28.1%26.4%
Put IV 25d30.7%26.3%32.9%28.6%31.3%
Bid-Ask Spread %18.3410.8525.2115.8217.53
Gamma HHI0.330.260.410.260.41
Net GEX936.6K224.2K1.4M431.6K1.2M
Net DEX-22.6M-29.8M-13.4M-17.8M-13.4M
Net VEX-121.4K-138.3K-87.9K-87.9K-125.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.058.940.050.16
Total Volume2,566.5716336,9506,9501,823
Total OI49,894.47640,59966,23443,68144,158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$19.60$17.5028.3%8.1%44.9%16.5%29.5%0.5%2.0%431.6K-17.8M-87.9K0.0515.826,63931129,71913,962
2013-01-03$19.50$17.5029.5%8.4%45.0%21.0%27.8%4.1%2.9%734.4K-23.0M-105.6K0.7222.6351637235,45014,084
2013-01-04$19.44$19.0026.5%8.7%45.1%9.7%28.4%3.0%1.6%787.7K-22.7M-104.8K0.1016.182,00720835,74314,052
2013-01-07$19.54$19.0024.8%8.3%44.6%3.1%30.2%4.1%0.9%847.1K-25.0M-105.4K0.3611.821,91768736,17213,634
2013-01-08$19.04$19.0026.5%8.5%45.6%9.4%30.6%3.8%1.5%744.1K-15.9M-104.9K2.9417.925351,57334,97814,142
2013-01-09$19.07$20.0024.7%8.5%45.5%2.8%29.5%2.2%1.6%674.4K-15.2M-107.4K0.1712.9363510535,08615,420
2013-01-10$19.63$20.0029.5%8.4%44.6%21.0%30.6%4.0%2.1%798.1K-21.8M-109.6K0.2023.073,92079735,08015,507
2013-01-11$19.92$20.0028.8%8.3%44.2%18.6%30.1%4.7%1.8%1.1M-29.4M-120.5K0.8015.7235128238,53516,021
2013-01-14$19.54$20.0031.5%9.0%44.8%28.7%32.0%4.5%-0.1%968.1K-24.4M-117.5K0.2514.143,20379438,56916,076
2013-01-15$19.75$20.0029.8%8.5%39.0%22.3%29.6%3.3%1.1%1.2M-29.8M-125.4K8.9415.596495,80041,26916,630
2013-01-16$19.73$20.0030.3%8.7%38.9%24.1%30.1%4.3%0.5%240.2K-24.9M-127.1K0.0518.034,35422541,40520,658
2013-01-17$19.77$20.0028.6%8.2%37.4%17.9%29.5%5.0%1.7%224.2K-28.3M-133.4K0.7810.851,3121,02544,06920,473
2013-01-18$19.63$20.0028.0%8.0%37.5%15.4%28.2%4.1%2.7%455.0K-23.5M-135.7K0.3320.752,25474844,82921,405
2013-01-22$19.68$20.0027.3%7.8%27.3%12.7%26.9%3.5%2.1%1.2M-23.2M-132.9K0.3721.261,03938030,09010,509
2013-01-23$19.76$20.0027.6%7.9%25.2%13.7%27.5%3.3%0.5%1.3M-24.5M-134.3K0.3224.871,50848930,71510,844
2013-01-24$20.00$20.0027.3%7.8%25.4%12.9%26.8%4.4%0.3%1.4M-28.5M-137.4K0.5818.8973142731,89311,279
2013-01-25$19.94$20.0027.3%7.8%25.4%12.7%26.2%4.4%1.0%1.4M-27.7M-138.3K0.1325.2178510532,09611,520
2013-01-28$19.60$20.0028.7%8.2%26.3%18.2%29.5%2.7%-0.3%1.4M-23.3M-135.3K0.6423.8786355532,22611,575
2013-01-29$19.15$20.0029.4%8.4%25.3%20.7%29.5%0.8%-0.3%1.3M-16.5M-130.6K0.3313.461,88462532,00311,778
2013-01-30$19.10$20.0028.8%8.3%21.8%18.6%27.7%2.7%0.5%1.3M-15.8M-128.7K0.3924.681,05441132,24011,890
2013-01-31$18.91$20.0028.1%8.0%21.2%15.7%28.0%4.9%1.6%1.2M-13.4M-125.8K0.1617.531,56825532,23611,922