JBL Options History — August 2013

In August 2013, JBL traded between $22.44 and $23.90. ATM implied volatility averaged 23.2%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 8.5% (HV 20d: 14.7%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2013-08-20: Highest Volume — 14,146 contracts
  • 2013-08-12: Largest IV spike — 33.1% change
  • 2013-08-12: Highest IV Rank — 29.3%
  • 2013-08-30: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.36$22.44$23.90$23.36$22.82
Max Pain$21.05$20.00$22.00$21.00$22.00
ATM IV23.2%18.7%24.9%23.2%24.8%
Expected Move6.7%6.4%7.1%6.6%7.1%
HV 20d14.7%10.0%20.7%20.0%20.7%
HV 60d23.3%22.1%24.5%24.5%22.8%
IV Rank24.6%12.0%29.3%24.5%29.2%
IV Percentile10.9%0.8%23.8%7.1%23.8%
Term Structure5.1%0.7%6.6%0.7%5.6%
VWIV24.2%21.2%30.2%21.2%25.0%
Skew 25d2.8%1.4%4.7%1.4%3.4%
Skew 10d8.1%-2.5%12.7%6.1%11.1%
Call IV 25d22.2%19.4%23.4%22.1%22.9%
Put IV 25d25.0%23.5%27.4%23.5%26.3%
Bid-Ask Spread %12.989.0016.3716.0014.23
Gamma HHI0.160.130.310.150.14
Net GEX883.9K688.5K1.4M808.4K771.1K
Net DEX-27.6M-38.7M-14.0M-33.1M-17.8M
Net VEX-163.0K-200.5K-140.3K-144.0K-197.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.073.461.051.29
Total Volume1,408.3189614,1469631,148
Total OI44,393.536,43453,78039,48853,780

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$23.36$21.0023.2%6.6%20.0%24.5%21.2%1.4%0.7%808.4K-33.1M-144.0K1.0516.0046949424,90114,587
2013-08-02$23.39$21.0022.3%6.4%19.9%22.1%22.4%4.0%0.9%824.0K-33.5M-142.5K0.4414.2057525524,96514,871
2013-08-05$23.46$20.0023.4%6.9%16.0%25.2%23.9%2.9%4.8%833.8K-34.1M-145.6K0.2512.703067525,32714,993
2013-08-06$23.32$20.0022.5%6.8%10.8%22.8%23.7%2.2%5.0%848.4K-33.2M-146.5K0.1214.40861025,51815,061
2013-08-07$23.38$20.0023.1%6.8%10.1%24.5%25.8%2.7%5.4%856.4K-33.8M-145.4K0.2516.072716825,56415,068
2013-08-08$23.36$20.0021.9%6.7%10.1%21.0%23.9%2.6%5.1%875.5K-33.8M-144.2K0.2116.372525225,68815,058
2013-08-09$23.63$20.0018.7%6.6%10.2%12.0%28.6%2.9%4.7%901.5K-36.2M-143.0K0.0712.431,44810425,90715,110
2013-08-12$23.89$20.0024.9%6.5%10.5%29.3%23.1%3.0%5.6%899.4K-38.7M-141.7K0.1014.002,15721726,23415,183
2013-08-13$23.90$21.0022.1%6.5%10.0%21.6%26.6%3.5%4.8%1.3M-30.6M-141.1K0.3513.2049517523,53415,384
2013-08-14$23.88$21.0023.8%6.5%10.1%26.3%23.4%2.8%5.7%1.4M-30.3M-141.9K0.599.0038422823,68215,517
2013-08-15$23.24$21.0024.0%6.9%14.3%27.0%24.1%2.8%5.4%789.0K-24.1M-143.3K1.0313.6014715123,78715,714
2013-08-16$23.36$21.0023.1%6.6%14.3%24.4%23.8%2.5%5.9%737.1K-24.9M-142.5K0.4315.4526711423,82115,670
2013-08-19$23.35$21.0022.8%6.5%14.3%23.6%23.2%2.4%6.1%785.2K-25.2M-140.3K0.9416.0847644822,15014,284
2013-08-20$23.45$21.0023.3%6.7%14.3%24.9%22.2%2.4%5.4%801.2K-26.1M-141.8K1.1312.996,6327,51422,48014,661
2013-08-21$23.40$21.0023.8%6.8%14.4%26.5%24.1%1.8%5.6%939.2K-24.8M-195.2K3.4611.636152,12528,61121,851
2013-08-22$23.51$22.0022.2%6.4%14.3%21.8%23.9%3.0%6.6%873.1K-25.1M-200.2K1.2411.5228935929,12423,421
2013-08-23$23.39$22.0022.7%6.5%14.6%23.4%22.1%2.8%6.1%908.8K-24.1M-200.5K0.7513.8224218129,30423,397
2013-08-26$23.22$22.0023.5%6.7%14.8%25.6%22.4%2.0%6.2%894.6K-22.7M-197.8K0.599.8946027129,29723,425
2013-08-27$22.44$22.0024.7%7.1%18.9%28.9%24.4%4.7%6.6%688.5K-14.0M-194.9K0.859.4833628629,38123,599
2013-08-28$22.91$22.0024.4%7.0%20.1%28.1%24.4%2.5%6.0%819.1K-18.9M-197.3K1.959.4015329929,46923,765
2013-08-29$23.21$22.0024.6%7.0%19.8%28.5%30.2%3.1%5.1%859.1K-22.0M-198.5K0.849.1119015929,54223,972
2013-08-30$22.82$22.0024.8%7.1%20.7%29.2%25.0%3.4%5.6%771.1K-17.8M-197.7K1.2914.2350264629,66724,113