JBL Options History — June 2013

In June 2013, JBL traded between $18.94 and $20.38. ATM implied volatility averaged 36.6%, placing in the 62.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 9.0% (HV 20d: 27.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2013-06-20: Highest Volume — 8,092 contracts
  • 2013-06-13: Largest IV drop — 29.9% change
  • 2013-06-12: Highest IV Rank — 99.3%
  • 2013-06-06: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.74$18.94$20.38$20.12$20.38
Max Pain$19.60$19.00$20.00$19.00$20.00
ATM IV36.6%24.7%49.8%40.3%24.7%
Expected Move9.8%7.1%12.6%11.5%7.1%
HV 20d27.6%23.8%31.0%24.7%29.9%
HV 60d26.6%25.5%27.8%25.5%27.8%
IV Rank62.3%29.0%99.3%72.5%29.0%
IV Percentile66.3%8.7%99.6%90.5%8.7%
Term Structure-2.5%-9.2%3.9%-7.5%3.9%
VWIV34.1%24.0%43.9%40.3%25.2%
Skew 25d3.0%0.7%5.5%3.4%3.0%
Skew 10d7.4%-0.7%17.2%11.6%-0.7%
Call IV 25d33.0%23.8%43.5%37.6%24.1%
Put IV 25d36.0%26.9%45.5%41.1%27.1%
Bid-Ask Spread %14.9710.9722.9312.3512.84
Gamma HHI0.160.120.210.210.13
Net GEX424.2K173.8K605.8K605.8K479.4K
Net DEX-11.9M-24.6M-5.0M-17.3M-13.5M
Net VEX-153.8K-161.2K-146.9K-150.9K-161.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.168.821.230.16
Total Volume2,481.253088,092581444
Total OI47,745.7535,74058,85544,55738,613

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$20.12$19.0040.3%11.5%24.7%72.5%40.3%3.4%-7.5%605.8K-17.3M-150.9K1.2312.3526132027,53217,025
2013-06-04$19.94$19.0040.9%11.7%24.2%74.4%40.7%0.7%-8.3%580.2K-15.7M-149.1K1.8711.8152698227,64017,101
2013-06-05$19.28$19.0042.7%12.2%26.7%79.2%43.3%2.1%-7.1%430.6K-8.3M-146.9K0.4515.872,15697527,76617,843
2013-06-06$19.27$19.0044.0%12.6%26.0%83.0%43.9%2.0%-9.2%416.7K-8.3M-150.8K1.9414.515761,11529,06518,377
2013-06-07$19.44$20.0044.4%10.0%26.1%84.2%33.6%2.6%-3.1%448.6K-9.4M-154.5K0.4218.251,33756429,25819,078
2013-06-10$19.35$20.0047.6%10.1%26.1%93.1%34.3%1.8%-2.9%446.9K-9.0M-156.6K0.3016.522377129,85719,249
2013-06-11$19.36$20.0048.5%10.2%25.7%95.6%33.9%3.1%-3.4%457.6K-9.6M-155.6K1.2711.7024130729,95019,280
2013-06-12$18.94$20.0049.8%10.1%23.8%99.3%35.0%3.3%-3.3%344.4K-5.0M-151.2K0.6615.8587957730,17219,446
2013-06-13$19.71$20.0034.9%10.0%28.0%57.5%36.1%3.2%-3.1%569.5K-13.9M-157.9K1.9912.541,0712,13330,67419,550
2013-06-14$19.42$20.0036.8%10.5%28.5%62.7%36.8%3.1%-3.5%382.1K-9.0M-157.9K8.8214.406795,98630,98020,950
2013-06-17$19.70$20.0036.3%10.4%28.0%61.4%36.8%2.9%-3.7%173.8K-10.6M-158.6K0.5312.911,51080431,47825,342
2013-06-18$19.92$19.0036.0%10.3%28.3%60.5%38.0%3.3%-4.3%287.2K-14.0M-160.1K0.5022.931,19559431,96725,617
2013-06-19$19.82$19.0035.5%10.2%28.3%59.2%35.8%4.0%-4.3%269.3K-12.7M-155.3K0.9520.653,2083,04631,98525,568
2013-06-20$20.12$19.0029.9%8.6%27.7%43.4%29.9%2.5%0.9%538.8K-19.7M-152.9K1.3518.433,4484,64433,12625,729
2013-06-21$20.23$19.0029.0%8.3%26.7%40.9%28.9%2.8%1.1%591.7K-24.6M-152.3K0.9217.271,3351,23033,42925,050
2013-06-24$19.43$20.0030.5%8.7%30.8%45.1%29.5%3.6%1.5%295.8K-6.4M-147.4K0.7112.771,5661,11722,48613,254
2013-06-25$19.93$20.0028.1%8.1%31.0%38.4%28.2%4.2%1.8%360.1K-9.3M-150.9K0.4714.2938818222,74213,737
2013-06-26$20.06$20.0026.8%7.7%31.0%34.7%28.1%5.5%2.0%376.7K-10.2M-150.9K0.4810.971,03650122,77713,767
2013-06-27$20.37$20.0025.6%7.3%30.1%31.3%24.0%3.1%2.8%428.3K-12.3M-155.7K0.3812.461,73265223,33914,116
2013-06-28$20.38$20.0024.7%7.1%29.9%29.0%25.2%3.0%3.9%479.4K-13.5M-161.2K0.1612.843846024,47014,143