JBL Options History — December 2013

In December 2013, JBL traded between $15.67 and $20.56. ATM implied volatility averaged 36.2%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 15.5% (HV 20d: 51.7%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2013-12-18: Highest Volume — 30,675 contracts
  • 2013-12-12: Largest IV drop — 35.0% change
  • 2013-12-10: Highest IV Rank — 100.0%
  • 2013-12-19: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.46$15.67$20.56$20.06$17.44
Max Pain$18.10$15.00$20.00$20.00$15.00
ATM IV36.2%27.0%53.1%39.7%27.9%
Expected Move9.5%9.1%10.3%9.2%9.4%
HV 20d51.7%23.2%88.0%23.5%88.0%
HV 60d41.3%30.3%57.1%31.2%53.8%
IV Rank58.5%32.6%100.0%70.9%34.8%
IV Percentile82.5%50.4%100.0%94.8%59.9%
Term Structure-1.0%-8.9%6.0%-7.5%0.4%
VWIV33.7%30.6%36.3%32.7%34.9%
Skew 25d2.5%-1.1%6.2%3.5%6.2%
Skew 10d6.7%-3.4%21.9%9.9%15.9%
Call IV 25d33.1%23.0%38.8%38.7%23.0%
Put IV 25d35.5%27.1%43.9%42.2%29.2%
Bid-Ask Spread %17.316.7930.246.7916.90
Gamma HHI0.240.160.910.180.18
Net GEX214.8K-435.6K4.0M-155.0K318.7K
Net DEX9.7M-84.6K42.7M6.1M339.1K
Net VEX-128.7K-147.1K-60.6K-147.1K-132.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.189.117.550.32
Total Volume5,149.76222730,6754,9153,561
Total OI66,399.04859,32099,46660,21966,363

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$20.06$20.0039.7%9.2%23.5%70.9%32.7%3.5%-7.5%-155.0K6.1M-147.1K7.556.795754,34032,88927,330
2013-12-03$19.98$20.0040.2%9.1%23.4%72.4%0.0%5.0%-8.3%-114.6K6.8M-142.5K0.8612.7312210532,94826,372
2013-12-04$19.93$20.0040.6%9.3%23.2%73.6%0.0%5.6%-8.9%-138.6K7.1M-140.7K0.8817.0232828733,00526,428
2013-12-05$20.50$20.0041.3%9.3%25.0%75.5%30.7%5.1%-7.9%-13.6K1.5M-146.2K0.3715.701997433,10426,582
2013-12-06$20.42$20.0042.4%9.2%24.0%78.5%0.0%2.9%0.5%-34.5K1.9M-144.9K0.1822.6383014933,15826,604
2013-12-09$20.56$20.0043.3%9.3%23.5%80.9%0.0%2.3%-0.4%54.8K-84.6K-142.6K0.4613.2752524233,76126,676
2013-12-10$19.89$20.0050.4%9.3%26.1%100.0%0.0%1.9%-0.8%-156.0K8.1M-133.6K0.7118.341,9241,36033,76926,775
2013-12-11$19.37$20.0053.1%9.5%27.3%100.0%30.6%1.7%-1.3%-236.5K12.5M-131.5K0.6016.9073243835,31827,728
2013-12-12$19.10$20.0034.5%9.4%27.5%52.0%32.6%2.3%-1.2%-249.9K15.0M-128.3K0.8815.0370361735,56827,959
2013-12-13$19.07$20.0035.6%9.3%24.1%54.7%30.8%2.2%-1.8%-246.5K15.1M-127.9K9.1111.531501,36735,93828,188
2013-12-16$19.68$20.0035.3%9.5%26.9%54.1%33.6%2.7%-1.9%-270.3K9.6M-132.6K2.7320.671,8635,09036,00229,106
2013-12-17$19.72$20.0037.0%9.5%26.5%58.4%0.0%2.1%-3.3%-435.6K10.9M-137.9K0.5816.295,9153,41637,28032,501
2013-12-18$15.67$20.0033.3%9.7%85.6%48.7%34.2%3.5%3.2%-137.6K42.7M-60.6K0.7329.5717,70212,97340,23533,625
2013-12-19$16.26$15.0032.0%10.3%87.2%45.4%34.6%2.0%6.0%942.8K23.1M-108.5K0.5230.2415,8108,17753,75937,461
2013-12-20$16.12$15.0032.4%10.1%87.1%46.5%35.3%2.0%3.8%4.0M14.8M-116.3K0.6316.452,8461,78260,19839,268
2013-12-23$16.46$15.0030.6%10.1%87.5%41.8%33.8%0.1%1.1%262.7K8.8M-119.1K0.8519.222,2831,94136,83024,226
2013-12-24$16.57$15.0029.0%9.5%87.5%37.8%36.3%2.3%1.6%245.3K7.5M-123.9K0.5215.1994149237,94325,378
2013-12-26$16.75$15.0028.3%9.6%87.4%36.0%34.4%-1.1%1.0%261.9K6.0M-126.3K0.2916.292,22763738,20125,555
2013-12-27$17.01$15.0027.0%9.5%87.3%32.6%35.2%0.1%2.7%300.5K3.6M-129.3K0.2616.202,22558338,93025,802
2013-12-30$17.09$15.0027.2%9.4%87.5%33.2%35.3%-0.0%1.3%355.8K3.1M-129.4K0.6016.501,62998539,73025,887
2013-12-31$17.44$15.0027.9%9.4%88.0%34.8%34.9%6.2%0.4%318.7K339.1K-132.8K0.3216.902,69286940,08526,278