JBL Options History — January 2014

In January 2014, JBL traded between $16.59 and $18.56. ATM implied volatility averaged 28.4%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 36.2% (HV 20d: 64.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2014-01-14: Highest Volume — 15,365 contracts
  • 2014-01-16: Largest IV spike — 26.8% change
  • 2014-01-14: Highest IV Rank — 42.5%
  • 2014-01-27: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.63$16.59$18.56$17.01$17.97
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV28.4%23.0%30.9%27.2%29.0%
Expected Move9.7%9.4%9.9%9.5%9.8%
HV 20d64.5%35.6%92.7%88.3%38.1%
HV 60d55.7%53.9%57.2%53.9%56.6%
IV Rank36.1%22.3%42.5%33.1%37.6%
IV Percentile61.8%9.9%75.4%52.4%66.7%
Term Structure6.2%0.9%10.5%2.0%10.5%
VWIV33.9%31.9%36.9%32.8%33.9%
Skew 25d2.3%0.3%5.3%0.3%3.1%
Skew 10d7.7%-5.7%22.2%3.3%17.2%
Call IV 25d27.9%25.8%30.1%27.8%28.4%
Put IV 25d30.3%28.1%33.3%28.1%31.5%
Bid-Ask Spread %20.0714.2350.6516.2117.56
Gamma HHI0.230.150.550.210.17
Net GEX403.1K217.1K932.6K381.5K395.8K
Net DEX-4.0M-13.7M10.1M1.9M-7.8M
Net VEX-166.4K-191.0K-133.1K-134.6K-189.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.063.260.910.34
Total Volume2,562.04825815,3653,989258
Total OI67,912.95255,70884,08368,03860,231

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$17.01$15.0027.2%9.5%88.3%33.1%32.8%0.3%2.0%381.5K1.9M-134.6K0.9116.212,0901,89941,40526,633
2014-01-03$17.19$15.0027.5%9.4%88.5%33.9%32.9%3.4%0.9%389.7K714.4K-140.3K0.9915.3775975442,57528,283
2014-01-06$16.95$15.0028.4%9.6%87.5%36.2%32.7%3.2%5.6%380.8K2.8M-138.0K0.3015.661,25437042,86928,411
2014-01-07$16.62$15.0027.4%9.4%87.6%33.5%32.7%1.8%5.3%414.4K5.6M-133.1K0.4417.811,28356143,33328,610
2014-01-08$17.06$15.0027.7%9.4%88.3%34.2%31.9%2.6%5.1%430.9K1.7M-137.0K1.9023.725781,09743,45628,861
2014-01-09$17.10$15.0027.8%9.4%87.9%34.6%0.0%2.5%6.7%366.7K1.6M-139.3K1.8814.817371,38943,47529,730
2014-01-10$17.02$15.0026.1%9.8%87.7%30.1%34.2%2.3%6.2%358.9K3.6M-143.1K1.6315.2152685843,89630,915
2014-01-13$16.59$15.0028.4%9.6%87.9%36.1%34.5%2.3%7.0%293.8K10.1M-136.8K0.2420.212,25553943,81031,625
2014-01-14$17.89$15.0030.9%9.7%92.7%42.5%34.5%1.9%7.5%217.1K-6.1M-155.6K0.3123.5811,7043,66144,30131,947
2014-01-15$17.77$15.0023.0%9.8%91.7%22.3%33.4%1.6%6.2%403.8K-6.0M-177.1K0.0715.572,80220148,53434,173
2014-01-16$17.59$15.0029.2%9.9%91.7%38.2%0.0%2.1%5.2%394.9K-4.6M-183.6K0.3814.2398637449,88234,201
2014-01-17$18.01$15.0028.7%9.7%37.9%37.0%32.5%3.0%5.6%932.6K-9.6M-188.5K0.1320.611,82624549,75634,205
2014-01-21$18.22$15.0028.4%9.6%36.3%36.1%36.9%1.2%6.4%362.5K-10.3M-185.5K0.2315.622,53957531,95223,756
2014-01-22$18.51$15.0029.3%9.7%36.0%38.4%33.1%0.9%4.7%392.3K-12.9M-189.2K0.2118.201,58233932,41324,000
2014-01-23$18.56$15.0028.0%9.6%35.6%35.0%34.1%1.6%6.6%426.3K-13.7M-190.4K0.3523.171,17741733,03724,080
2014-01-24$17.96$15.0030.2%9.9%38.2%40.8%0.0%2.4%6.7%375.3K-7.8M-186.7K0.4022.861,04641733,37224,115
2014-01-27$18.07$15.0029.8%9.9%38.1%39.9%35.1%3.3%7.6%405.3K-9.2M-187.4K1.0122.6863063633,64624,162
2014-01-28$18.05$15.0029.2%9.9%37.9%38.2%34.4%1.3%7.6%400.5K-8.1M-183.9K3.2615.794621,50433,61724,343
2014-01-29$17.79$15.0030.1%9.7%38.4%40.6%0.0%3.1%8.5%329.5K-5.3M-183.4K0.8550.6567356933,65825,404
2014-01-30$18.26$15.0029.9%9.8%38.8%40.1%36.6%5.3%9.3%411.7K-10.1M-191.0K0.0622.042,09813333,79625,704
2014-01-31$17.97$15.0029.0%9.8%38.1%37.6%33.9%3.1%10.5%395.8K-7.8M-189.5K0.3417.561936534,42425,807