JBL Options History — July 2013

In July 2013, JBL traded between $20.38 and $22.99. ATM implied volatility averaged 24.1%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.6% (HV 20d: 25.6%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2013-07-22: Highest Volume — 2,378 contracts
  • 2013-07-11: Largest IV spike — 19.5% change
  • 2013-07-08: Highest IV Rank — 35.2%
  • 2013-07-08: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.88$20.38$22.99$20.58$22.99
Max Pain$20.82$20.00$21.00$20.00$21.00
ATM IV24.1%21.3%26.9%24.1%22.6%
Expected Move7.0%6.1%7.9%6.9%6.5%
HV 20d25.6%19.4%32.0%30.1%19.8%
HV 60d26.6%24.7%29.2%27.8%24.7%
IV Rank27.1%19.3%35.2%27.1%23.1%
IV Percentile9.8%1.6%23.8%7.1%5.2%
Term Structure1.3%-0.4%4.0%4.0%1.4%
VWIV25.4%22.8%28.0%26.6%23.6%
Skew 25d3.4%2.0%6.2%3.5%2.0%
Skew 10d6.2%-1.4%14.2%5.0%-0.5%
Call IV 25d23.4%19.8%25.7%24.6%22.0%
Put IV 25d26.8%24.0%29.2%28.1%24.0%
Bid-Ask Spread %13.9010.5520.6910.6620.69
Gamma HHI0.150.130.170.130.15
Net GEX663.5K494.0K799.7K515.9K799.7K
Net DEX-24.2M-30.2M-13.0M-15.1M-30.2M
Net VEX-153.6K-163.5K-145.0K-161.3K-145.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.033.860.330.13
Total Volume1,000.4551612,3781,694493
Total OI39,925.13638,25842,68138,86439,336

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$20.58$20.0024.1%6.9%30.1%27.1%26.6%3.5%4.0%515.9K-15.1M-161.3K0.3310.661,27442024,70314,161
2013-07-02$20.66$20.0024.5%7.0%29.9%28.4%24.4%2.7%2.8%524.8K-15.7M-163.5K0.1411.151,55222425,36414,424
2013-07-03$20.66$20.0024.6%7.1%26.8%28.7%25.8%3.4%2.7%511.1K-15.4M-160.0K0.1810.843235924,66014,331
2013-07-05$20.93$21.0023.5%7.8%27.0%25.5%26.6%3.5%0.3%539.9K-17.5M-159.3K0.4017.2361024424,79714,344
2013-07-08$20.38$21.0026.9%7.9%29.0%35.2%27.3%3.5%0.1%494.0K-13.0M-153.1K0.7311.101,03875424,81214,390
2013-07-09$21.22$20.0025.0%7.8%31.8%29.7%27.7%3.7%-0.1%586.6K-20.2M-156.8K0.4311.451,62969725,05914,469
2013-07-10$21.53$21.0021.4%7.4%32.0%19.7%26.4%3.7%1.1%635.3K-23.3M-160.2K0.2814.841,53342725,73814,903
2013-07-11$21.73$21.0025.6%7.3%30.3%31.4%26.6%4.1%0.8%608.3K-24.1M-159.1K0.2015.311,39127625,32115,154
2013-07-12$21.95$21.0024.9%7.1%27.8%29.3%25.5%4.5%0.8%715.4K-26.7M-161.7K0.1610.6594914826,25315,366
2013-07-15$22.01$21.0024.5%7.0%26.8%28.4%26.8%3.4%1.3%735.2K-27.0M-155.9K0.6510.5519612726,04215,503
2013-07-16$22.31$21.0026.0%7.4%26.7%32.5%28.0%3.1%0.2%753.0K-29.5M-155.0K1.6515.3030550426,11115,603
2013-07-17$22.39$21.0024.6%7.1%26.7%28.7%25.2%3.5%1.3%749.1K-30.2M-154.6K1.6712.6929949826,20916,026
2013-07-18$22.20$21.0024.1%6.9%26.9%27.1%24.8%2.3%2.1%573.6K-28.0M-151.9K0.2513.5473918625,85616,289
2013-07-19$22.25$21.0024.8%7.1%26.7%29.3%24.0%2.7%0.5%613.4K-29.0M-152.8K0.9513.2520719726,30116,380
2013-07-22$22.36$21.0024.2%6.9%26.7%27.6%22.8%3.5%0.5%699.6K-25.5M-149.2K0.0312.532,2997924,17114,087
2013-07-23$22.35$21.0024.3%7.0%20.8%27.7%23.8%2.6%-0.4%728.8K-25.7M-147.2K0.3415.4229710124,21014,061
2013-07-24$22.41$21.0023.8%6.8%19.7%26.3%23.5%2.9%0.8%742.5K-26.3M-147.2K0.3115.153149624,36314,094
2013-07-25$22.56$21.0021.7%6.2%19.7%20.5%24.6%4.1%2.7%759.3K-27.3M-147.5K0.6913.861037124,55014,171
2013-07-26$22.60$21.0021.3%6.1%19.4%19.3%24.0%2.6%2.4%767.9K-27.5M-148.0K1.3612.3712316724,58714,229
2013-07-29$22.50$21.0025.0%7.2%19.6%29.8%25.0%6.2%0.6%759.3K-26.8M-145.8K1.2119.27738824,59414,322
2013-07-30$22.79$21.0022.1%6.3%19.8%21.6%26.3%2.9%2.2%783.9K-28.8M-145.1K3.8617.9018571524,63314,376
2013-07-31$22.99$21.0022.6%6.5%19.8%23.1%23.6%2.0%1.4%799.7K-30.2M-145.0K0.1320.694355824,76514,571