JBL Options History — May 2013

In May 2013, JBL traded between $17.50 and $20.19. ATM implied volatility averaged 27.0%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.4% (HV 20d: 26.6%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2013-05-24: Highest Volume — 5,051 contracts
  • 2013-05-16: Largest IV spike — 103.3% change
  • 2013-05-31: Highest IV Rank — 68.4%
  • 2013-05-31: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.31$17.50$20.19$17.50$20.06
Max Pain$18.86$18.00$19.00$18.00$19.00
ATM IV27.0%14.4%38.8%24.8%38.8%
Expected Move8.6%6.2%11.1%7.1%11.1%
HV 20d26.6%22.6%31.1%27.0%25.8%
HV 60d24.8%23.3%25.9%23.6%25.6%
IV Rank29.7%0.0%68.4%16.7%68.4%
IV Percentile28.1%0.0%88.1%5.2%88.1%
Term Structure-1.2%-7.1%6.7%4.8%-7.1%
VWIV30.0%21.8%38.2%24.0%38.2%
Skew 25d2.5%-4.7%7.0%-0.4%2.2%
Skew 10d5.9%-7.2%15.1%-0.4%-2.7%
Call IV 25d28.7%18.5%36.7%22.2%36.7%
Put IV 25d31.2%17.6%38.9%21.8%38.9%
Bid-Ask Spread %15.689.9224.5624.5613.58
Gamma HHI0.310.190.590.220.21
Net GEX741.3K116.0K1.7M116.0K600.7K
Net DEX-12.6M-23.5M3.8M3.8M-17.0M
Net VEX-125.6K-151.8K-106.8K-106.8K-151.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.055.591.300.66
Total Volume1,692.2732695,0512691,765
Total OI40,649.54534,73544,15541,77044,155

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$17.50$18.0024.8%7.1%27.0%16.7%24.0%-0.4%4.8%116.0K3.8M-106.8K1.3024.5611715225,95815,812
2013-05-02$17.77$18.0022.7%6.5%27.4%10.0%23.0%7.0%6.7%199.3K1.6M-110.1K1.3319.9619626025,88415,797
2013-05-03$18.23$18.0021.7%6.2%29.0%6.6%21.8%-4.7%6.6%456.0K-2.9M-115.8K0.3416.7087429325,91015,911
2013-05-06$18.66$19.0022.5%8.1%29.9%9.3%28.7%4.7%-0.8%853.2K-8.6M-118.6K0.6718.5334122926,18515,962
2013-05-07$19.04$19.0023.6%8.1%30.6%13.0%28.9%2.8%0.0%1.1M-13.7M-122.2K0.5214.2257429926,32916,025
2013-05-08$19.35$19.0021.5%8.3%30.9%6.0%29.0%3.3%-0.9%1.3M-18.5M-121.1K0.1816.712,05637026,51216,117
2013-05-09$19.21$19.0020.2%8.3%31.1%1.7%28.3%1.6%-0.4%1.3M-16.1M-121.0K0.1419.391,28617526,21016,214
2013-05-10$19.28$19.0018.5%8.0%30.6%0.0%28.6%2.2%-0.0%1.3M-16.6M-119.2K0.0614.354,27626825,96716,267
2013-05-13$19.04$19.0022.4%8.6%26.2%12.1%29.9%3.8%-1.6%1.1M-9.8M-115.7K0.3718.2749418523,30816,354
2013-05-14$19.69$19.0023.2%8.5%27.9%14.8%29.7%3.4%-2.1%967.8K-17.6M-116.0K0.2811.821,82952023,34216,390
2013-05-15$19.60$19.0014.4%8.4%25.0%0.0%29.2%2.9%-2.0%820.0K-18.2M-119.1K0.4113.511,04042224,53416,658
2013-05-16$19.65$19.0029.3%8.4%23.1%41.7%29.9%2.4%-1.1%562.1K-18.7M-121.9K0.2715.221,55341525,03116,907
2013-05-17$20.05$19.0029.4%8.4%22.6%42.0%29.5%2.8%-0.8%1.7M-23.5M-127.5K1.4116.5056579926,11717,000
2013-05-20$20.04$19.0029.6%8.5%22.9%42.7%29.4%2.4%-2.1%537.7K-15.2M-125.0K0.2614.811,34734721,38113,354
2013-05-21$19.99$19.0030.2%8.6%22.6%44.2%30.2%1.5%-1.8%549.9K-14.7M-126.0K5.5915.472111,18021,85913,561
2013-05-22$19.56$19.0031.1%8.9%24.8%47.0%31.8%2.2%-2.8%452.5K-10.8M-128.4K1.2316.6467582921,94914,606
2013-05-23$19.21$19.0032.4%9.3%26.1%50.3%32.0%3.1%-3.1%365.3K-7.6M-128.6K1.3917.8038553522,24715,165
2013-05-24$19.25$19.0032.2%9.2%25.3%49.9%30.1%3.3%-2.6%377.9K-7.7M-128.4K0.0516.244,81024122,30415,186
2013-05-28$19.70$19.0033.8%9.7%25.8%54.3%33.3%3.2%-4.1%549.6K-13.5M-145.0K0.7110.541,04974125,82815,248
2013-05-29$19.66$19.0034.5%9.9%25.8%56.4%36.9%3.3%-4.9%554.0K-13.3M-146.3K0.179.923005126,48515,837
2013-05-30$20.19$19.0038.3%11.0%25.5%67.0%37.9%2.1%-6.8%625.0K-18.3M-149.5K1.6110.161,2171,95926,54315,881
2013-05-31$20.06$19.0038.8%11.1%25.8%68.4%38.2%2.2%-7.1%600.7K-17.0M-151.8K0.6613.581,06669927,35116,804