JBL Options History — November 2013

In November 2013, JBL traded between $19.34 and $20.93. ATM implied volatility averaged 30.4%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 4.0% (HV 20d: 26.4%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2013-11-15: Highest Volume — 8,813 contracts
  • 2013-11-14: Largest IV spike — 37.1% change
  • 2013-11-29: Highest IV Rank — 61.2%
  • 2013-11-07: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.20$19.34$20.93$20.71$20.27
Max Pain$20.41$20.00$22.00$22.00$20.00
ATM IV30.4%23.4%36.2%27.7%36.2%
Expected Move9.3%7.9%9.8%7.9%9.3%
HV 20d26.4%23.4%28.5%25.2%23.4%
HV 60d31.2%30.7%32.0%30.8%31.2%
IV Rank44.8%25.4%61.2%37.2%61.2%
IV Percentile64.0%13.5%88.9%56.0%88.9%
Term Structure-2.5%-6.1%4.6%4.6%-6.1%
VWIV32.9%29.2%37.0%29.2%32.4%
Skew 25d3.5%0.9%5.1%0.9%2.1%
Skew 10d8.6%-4.4%18.1%-4.4%5.8%
Call IV 25d32.0%27.1%35.1%27.1%35.1%
Put IV 25d35.5%28.1%37.6%28.1%37.2%
Bid-Ask Spread %9.495.7716.0413.568.06
Gamma HHI0.160.120.210.130.17
Net GEX-26.2K-301.4K198.5K178.7K-105.7K
Net DEX7.6M2.4M15.2M4.8M3.6M
Net VEX-144.7K-154.8K-129.7K-149.3K-153.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.058.330.320.46
Total Volume1,456.651678,813304167
Total OI57,481.7554,52860,20554,52860,205

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$20.71$22.0027.7%7.9%25.2%37.2%29.2%0.9%4.6%178.7K4.8M-149.3K0.3213.562307430,87123,657
2013-11-04$20.78$21.0027.9%9.3%25.2%38.0%35.2%3.8%-1.5%189.9K4.5M-147.0K0.4212.9442517931,03623,675
2013-11-05$20.93$21.0026.4%9.3%25.4%33.5%33.7%4.3%-2.3%198.5K3.2M-149.6K0.1216.041,37016630,92723,745
2013-11-06$20.59$21.0026.6%9.4%25.9%34.1%33.2%4.5%-1.6%154.2K5.5M-146.8K0.6513.7120513332,10523,833
2013-11-07$20.20$21.0027.4%9.8%25.0%36.4%33.6%5.1%-2.3%68.6K9.0M-140.4K0.8215.4737130332,28823,914
2013-11-08$20.51$21.0023.4%9.3%26.0%25.4%32.4%5.0%-1.6%88.2K7.3M-142.2K0.0513.052,23610132,39124,096
2013-11-11$20.66$0.0025.4%9.4%26.2%30.9%0.0%3.6%-2.8%191.2K3.1M-154.8K0.4011.551767134,46324,112
2013-11-12$20.81$0.0025.9%9.3%26.1%32.3%0.0%4.1%-2.3%195.5K2.4M-150.7K1.876.808415733,71624,131
2013-11-13$20.67$0.0025.5%9.3%25.5%31.1%32.4%4.4%-2.6%165.5K3.2M-148.6K0.496.501919333,68724,159
2013-11-14$19.87$20.0035.0%9.4%28.5%57.7%32.1%4.1%-3.6%2.6K10.2M-135.3K0.816.9182166433,62423,828
2013-11-15$19.82$20.0031.5%9.2%26.8%47.8%37.0%3.0%-1.8%5.4K11.4M-131.3K8.336.619457,86833,92724,092
2013-11-18$20.05$20.0032.2%9.3%27.2%50.0%32.4%2.9%-2.3%-168.5K8.4M-145.0K0.246.3688120930,04726,565
2013-11-19$19.70$20.0032.6%9.2%27.4%51.1%32.0%3.7%-2.5%-235.4K11.7M-139.1K0.427.372369930,33926,351
2013-11-20$19.34$20.0034.2%9.3%27.8%55.5%0.0%2.9%-3.7%-297.9K15.2M-129.7K0.4012.292,22890130,45926,389
2013-11-21$19.42$20.0034.5%9.3%28.0%56.2%30.4%3.2%-3.2%-301.4K14.7M-134.0K0.087.923,81928930,99726,984
2013-11-22$19.62$20.0032.4%9.3%28.3%50.4%32.0%4.6%-2.8%-285.0K11.9M-146.7K0.386.5553520332,29727,188
2013-11-25$19.72$20.0033.8%9.3%28.3%54.5%0.0%1.4%-3.7%-266.1K10.5M-146.7K0.416.1956222932,47127,211
2013-11-26$20.01$20.0034.1%9.3%27.8%55.3%35.3%2.9%-4.0%-204.3K7.4M-149.8K0.325.7764120432,51827,276
2013-11-27$20.36$20.0035.0%9.3%23.4%57.8%32.4%3.6%-4.7%-97.2K3.2M-153.7K1.166.0849357432,70127,360
2013-11-29$20.27$20.0036.2%9.3%23.4%61.2%0.0%2.1%-6.1%-105.7K3.6M-153.7K0.468.061145332,87127,334