JBL Options History — September 2013

In September 2013, JBL traded between $21.42 and $24.04. ATM implied volatility averaged 29.5%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.8% (HV 20d: 25.7%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.52.

Notable Days

  • 2013-09-26: Highest Volume — 14,462 contracts
  • 2013-09-26: Largest IV drop — 33.6% change
  • 2013-09-24: Highest IV Rank — 69.8%
  • 2013-09-24: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.21$21.42$24.04$22.76$21.68
Max Pain$23.70$22.00$24.00$22.00$24.00
ATM IV29.5%23.9%39.3%24.7%27.0%
Expected Move8.9%6.9%11.3%7.1%7.7%
HV 20d25.7%20.6%42.9%20.6%42.6%
HV 60d22.5%19.1%29.7%22.8%29.7%
IV Rank42.4%26.8%69.8%28.9%35.2%
IV Percentile50.7%15.9%92.5%21.4%42.5%
Term Structure-0.8%-7.1%7.1%7.1%-0.2%
VWIV30.9%23.6%39.1%24.2%26.7%
Skew 25d3.4%1.9%5.7%2.4%1.9%
Skew 10d9.1%1.7%23.0%9.3%9.1%
Call IV 25d29.6%22.6%37.1%23.8%26.8%
Put IV 25d33.0%25.2%40.4%26.2%28.7%
Bid-Ask Spread %16.1711.3222.6213.8514.10
Gamma HHI0.170.140.270.140.18
Net GEX583.4K-267.3K1.3M761.3K-267.3K
Net DEX-16.4M-31.6M15.3M-16.7M12.1M
Net VEX-197.0K-223.0K-186.4K-198.4K-195.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.165.501.550.51
Total Volume3,534.457414,4623823,084
Total OI59,809.7554,69968,19054,72068,190

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$22.76$22.0024.7%7.1%20.6%28.9%24.2%2.4%7.1%761.3K-16.7M-198.4K1.5513.8515023230,04924,671
2013-09-04$23.19$22.0024.8%7.1%21.7%29.1%25.1%3.3%6.9%865.4K-21.6M-197.2K1.0011.32373729,95524,744
2013-09-05$23.07$22.0023.9%6.9%21.8%26.8%24.3%2.6%7.1%841.1K-20.6M-193.0K0.7212.1915811329,97424,769
2013-09-06$23.00$24.0024.2%8.9%21.8%27.5%29.4%4.1%-0.0%832.6K-19.6M-192.0K0.5113.331085530,06924,840
2013-09-09$23.38$24.0025.4%9.1%22.2%30.8%31.2%5.7%-1.5%932.5K-23.6M-188.0K0.2813.6458916430,12224,886
2013-09-10$24.04$24.0024.0%9.1%24.1%26.8%31.1%4.1%-1.6%1.0M-31.6M-186.4K0.2916.184,0871,20429,95524,889
2013-09-11$23.86$24.0024.0%9.0%24.3%27.0%31.9%3.8%-1.4%1.3M-29.9M-195.5K1.4218.031,1721,66931,97225,846
2013-09-12$23.65$24.0031.0%8.9%24.5%46.6%32.3%3.3%-0.9%1.0M-26.0M-197.9K5.5019.663151,73132,61626,903
2013-09-13$23.67$24.0031.1%8.9%22.3%46.7%32.1%3.0%-0.9%817.2K-24.8M-198.1K1.5018.6112719132,51728,305
2013-09-16$23.72$24.0031.6%9.1%22.3%48.4%32.1%3.2%-1.4%824.4K-25.6M-194.1K1.8121.9133560632,56428,346
2013-09-17$23.62$24.0032.0%9.2%22.3%49.3%32.3%3.6%-2.1%649.8K-23.1M-191.5K2.5014.3939297932,68128,875
2013-09-18$23.62$24.0031.6%9.0%22.3%48.1%32.4%3.5%-2.2%493.6K-21.6M-192.6K2.3417.187521,75932,92229,673
2013-09-19$23.67$24.0031.7%9.1%22.3%48.5%33.2%3.4%-1.8%275.5K-21.8M-193.6K0.7914.4631224532,82330,391
2013-09-20$23.11$24.0035.6%10.2%23.9%59.4%35.6%2.8%-4.4%1.1M-13.8M-191.8K3.0518.442,8528,69532,88430,520
2013-09-23$23.51$24.0036.2%10.4%24.6%61.2%36.5%3.4%-5.3%117.7K-12.8M-208.6K0.1619.103,51955027,64427,613
2013-09-24$23.71$24.0039.3%11.3%24.6%69.8%39.1%3.3%-7.0%258.0K-16.8M-215.8K1.4516.682,1603,12529,38827,967
2013-09-25$24.00$24.0039.2%11.2%21.1%69.6%39.0%3.8%-7.1%207.2K-18.9M-223.0K0.7814.157,2615,68830,67730,283
2013-09-26$21.62$24.0026.0%7.5%42.9%32.6%23.6%3.5%0.9%-147.0K13.8M-193.6K3.1922.623,45311,00935,82931,653
2013-09-27$21.42$24.0027.1%7.8%42.5%35.7%25.1%3.2%-0.1%-259.4K15.3M-192.4K1.0013.5888788736,27631,914
2013-09-30$21.68$24.0027.0%7.7%42.6%35.2%26.7%1.9%-0.2%-267.3K12.1M-195.7K0.5114.102,0401,04436,27631,914