JBL Options History — October 2013

In October 2013, JBL traded between $20.86 and $22.68. ATM implied volatility averaged 26.8%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 9.4% (HV 20d: 36.3%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.48.

Notable Days

  • 2013-10-03: Highest Volume — 2,522 contracts
  • 2013-10-28: Largest IV spike — 12.2% change
  • 2013-10-30: Highest IV Rank — 42.5%
  • 2013-10-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.02$20.86$22.68$21.90$20.86
Max Pain$22.35$22.00$24.00$24.00$22.00
ATM IV26.8%23.1%29.6%26.9%27.5%
Expected Move7.7%6.6%8.5%7.7%7.9%
HV 20d36.3%16.2%42.9%42.9%26.2%
HV 60d28.7%28.0%30.8%29.2%30.8%
IV Rank34.9%24.4%42.5%35.1%36.6%
IV Percentile43.2%10.7%65.9%41.7%53.2%
Term Structure3.9%-0.5%8.4%-0.5%4.4%
VWIV27.0%22.6%29.4%27.5%28.4%
Skew 25d3.1%1.0%5.2%4.7%1.5%
Skew 10d12.1%4.8%17.3%13.9%12.7%
Call IV 25d26.2%22.6%29.0%25.1%28.4%
Put IV 25d29.3%26.0%32.5%29.7%29.8%
Bid-Ask Spread %18.9412.1930.2012.1915.53
Gamma HHI0.150.130.180.180.13
Net GEX147.3K-226.5K756.4K-201.5K225.7K
Net DEX64.1K-15.0M10.9M8.3M3.5M
Net VEX-178.3K-200.8K-151.4K-200.8K-152.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.1514.240.230.81
Total Volume936.5652592,522967684
Total OI60,947.91348,60868,22068,01354,212

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$21.90$24.0026.9%7.7%42.9%35.1%27.5%4.7%-0.5%-201.5K8.3M-200.8K0.2312.1978917836,61831,395
2013-10-02$21.88$24.0026.3%7.5%42.2%33.2%28.0%3.7%0.5%-222.2K9.1M-196.8K1.5012.3422133236,50431,482
2013-10-03$21.71$24.0026.6%7.6%42.2%34.2%24.8%2.2%1.1%-226.5K10.9M-194.0K5.4715.553902,13236,54431,676
2013-10-04$22.11$23.0026.5%7.7%42.9%34.0%28.4%4.2%4.0%-155.6K4.3M-195.2K0.4015.5548819336,58830,577
2013-10-07$21.95$23.0028.2%8.1%42.3%38.8%28.2%3.2%3.4%-114.8K5.4M-194.8K0.4215.8930712936,76030,484
2013-10-08$21.82$22.0027.6%8.3%40.7%37.1%27.4%4.0%3.3%-159.1K7.4M-190.4K0.3117.0733310236,88330,564
2013-10-09$21.66$22.0028.9%8.4%40.7%40.5%29.2%3.5%3.7%-137.9K9.1M-186.5K0.8617.8523320137,05430,593
2013-10-10$22.11$22.0028.5%8.2%41.7%39.5%28.6%3.3%3.1%-196.5K4.4M-189.6K1.5219.6421232237,21130,664
2013-10-11$21.99$22.0027.6%7.9%41.6%36.9%26.5%3.7%3.8%-191.6K6.3M-184.9K1.1917.3711814137,22530,539
2013-10-14$22.00$22.0027.4%7.8%41.6%36.4%27.6%3.6%3.9%-171.4K6.6M-179.1K1.1719.0722826637,22130,501
2013-10-15$21.70$22.0027.5%7.9%41.8%36.7%28.1%3.3%4.1%-64.8K8.2M-174.6K0.6224.8026916837,33429,695
2013-10-16$21.99$22.0026.8%7.7%42.2%34.7%26.9%2.6%4.3%-38.9K5.6M-176.6K14.2420.66871,23937,32829,774
2013-10-17$22.06$22.0026.7%7.7%42.2%34.6%26.7%1.0%4.8%13.3K4.1M-173.0K0.4916.2223311537,13129,239
2013-10-18$22.52$22.0025.0%7.2%42.3%29.6%25.1%1.2%5.3%122.9K-2.4M-174.6K0.6817.7548733337,29328,979
2013-10-21$22.68$22.0025.4%7.3%41.9%30.7%25.0%3.1%5.0%588.3K-14.6M-171.1K0.1522.782,14832626,84421,764
2013-10-22$22.58$22.0025.5%7.3%41.7%31.2%26.0%2.3%5.2%679.0K-14.8M-170.8K0.9817.5229729027,63021,852
2013-10-23$22.44$22.0026.5%7.6%41.4%33.8%25.7%4.1%5.5%629.5K-12.8M-171.4K0.7225.2029621227,69522,052
2013-10-24$22.41$22.0026.1%7.5%17.0%32.9%25.9%2.3%5.9%635.6K-12.5M-170.3K0.2330.204279827,88722,218
2013-10-25$22.52$22.0023.1%6.6%16.5%24.4%22.6%3.4%8.4%697.6K-13.5M-169.8K0.1818.915049128,14822,239
2013-10-28$22.67$22.0025.9%7.4%16.2%32.3%26.5%5.2%4.4%756.4K-15.0M-166.9K0.2816.531,49141428,35522,285
2013-10-29$21.98$22.0027.5%7.9%19.7%36.6%27.7%2.1%4.0%619.1K-8.4M-165.2K0.5725.241,34776929,26822,344
2013-10-30$20.93$22.0029.6%8.5%26.3%42.5%29.4%2.7%2.8%300.8K2.3M-151.4K0.9821.8896293930,27522,878
2013-10-31$20.86$22.0027.5%7.9%26.2%36.6%28.4%1.5%4.4%225.7K3.5M-152.7K0.8115.5337830630,68423,528