JBL Options History — March 2013

In March 2013, JBL traded between $18.27 and $19.48. ATM implied volatility averaged 27.0%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.0% (HV 20d: 22.0%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2013-03-21: Highest Volume — 11,288 contracts
  • 2013-03-14: Largest IV spike — 60.9% change
  • 2013-03-20: Highest IV Rank — 46.0%
  • 2013-03-20: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.82$18.27$19.48$18.47$18.48
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV27.0%19.7%33.7%28.5%26.1%
Expected Move8.6%7.2%9.6%8.2%7.5%
HV 20d22.0%19.9%25.1%23.1%22.7%
HV 60d27.7%22.1%31.5%31.2%22.1%
IV Rank20.1%0.0%46.0%17.2%21.0%
IV Percentile17.0%0.0%57.9%16.3%8.3%
Term Structure0.5%-2.7%4.7%4.7%2.0%
VWIV29.7%25.4%33.8%26.7%31.2%
Skew 25d2.8%0.8%4.9%3.0%1.7%
Skew 10d6.3%-2.4%15.3%3.4%1.6%
Call IV 25d28.5%22.7%32.4%22.7%24.8%
Put IV 25d31.3%25.7%35.9%25.7%26.5%
Bid-Ask Spread %15.4410.7830.9130.9117.30
Gamma HHI0.330.180.650.290.28
Net GEX651.8K249.2K1.4M558.4K588.8K
Net DEX-4.3M-11.0M1.7M-487.7K-3.9M
Net VEX-95.3K-126.7K-75.9K-81.0K-126.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.101.140.210.24
Total Volume2,626.9536411,2883641,816
Total OI33,363.2522,11241,28731,45541,287

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$18.47$19.0028.5%8.2%23.1%17.2%26.7%3.0%4.7%558.4K-487.7K-81.0K0.2130.913026220,67010,785
2013-03-04$18.27$19.0028.3%9.6%21.4%16.4%32.3%3.7%-0.0%483.9K1.7M-75.9K0.2316.9774917420,71010,823
2013-03-05$18.54$19.0023.7%9.0%22.3%0.0%31.6%3.6%0.4%629.1K-212.8K-78.8K0.6417.6658637521,10910,904
2013-03-06$18.61$19.0022.4%8.8%20.2%0.0%30.3%3.6%0.9%674.4K-592.1K-79.9K0.3917.2960423821,37611,163
2013-03-07$18.71$19.0023.1%8.8%20.4%2.6%31.0%4.5%0.7%786.8K-1.7M-80.9K0.1014.327147221,84711,277
2013-03-08$18.89$19.0023.0%8.5%20.4%2.2%29.4%4.9%0.8%973.6K-3.9M-83.8K0.8711.9866958522,08811,301
2013-03-11$19.24$19.0025.5%8.9%21.6%11.4%30.7%3.1%0.2%1.0M-8.4M-84.3K0.6113.602,2611,37722,47011,690
2013-03-12$19.02$19.0024.9%8.8%21.2%9.2%30.6%2.8%0.3%1.2M-6.0M-87.6K0.7111.8550035523,54812,462
2013-03-13$19.16$19.0019.7%8.9%21.3%0.0%31.0%2.7%0.1%1.4M-8.0M-87.2K0.2411.731,03124923,76112,759
2013-03-14$19.38$19.0031.7%9.1%21.8%39.5%30.6%2.5%-0.7%548.7K-11.0M-85.0K0.3410.8292931323,32912,889
2013-03-15$19.25$19.0032.0%9.2%21.9%40.7%30.7%2.0%-0.6%918.4K-10.5M-87.5K0.4813.101,20958023,52312,832
2013-03-18$19.33$19.0033.2%9.5%22.0%44.4%32.4%2.6%-2.4%249.2K-5.3M-92.3K0.3713.303,1381,16713,5968,516
2013-03-19$19.18$19.0033.1%9.5%22.1%44.1%33.1%3.3%-2.3%273.5K-5.0M-97.0K0.2412.771,44534815,3249,255
2013-03-20$19.48$19.0033.7%9.6%19.9%46.0%33.8%3.5%-2.7%342.7K-7.0M-101.6K0.7419.513,7732,78516,3009,470
2013-03-21$18.60$19.0026.2%7.5%25.1%21.5%25.9%0.8%1.3%278.3K-1.8M-97.4K0.3513.148,3902,89818,25210,324
2013-03-22$18.56$19.0025.3%7.2%24.5%18.4%26.1%3.6%1.0%480.3K-3.8M-113.2K0.4315.042,4041,03922,40611,742
2013-03-25$18.47$19.0027.1%7.8%22.9%24.4%26.2%2.7%2.2%543.6K-4.1M-115.3K0.9123.262,0421,84923,97412,134
2013-03-26$18.42$19.0026.3%7.5%22.9%21.6%25.6%1.2%1.7%502.4K-3.1M-125.6K0.7513.552,6401,97226,05214,410
2013-03-27$18.37$19.0026.3%7.5%22.7%21.8%25.4%0.9%1.7%557.6K-3.3M-125.7K1.1410.7842147826,80114,106
2013-03-28$18.48$19.0026.1%7.5%22.7%21.0%31.2%1.7%2.0%588.8K-3.9M-126.7K0.2417.301,47034626,94714,340