JBL Options History — May 2014

In May 2014, JBL traded between $17.47 and $18.94. ATM implied volatility averaged 27.3%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.8% (HV 20d: 20.5%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2014-05-16: Highest Volume — 7,298 contracts
  • 2014-05-15: Largest IV spike — 113.7% change
  • 2014-05-30: Highest IV Rank — 45.4%
  • 2014-05-16: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.01$17.47$18.94$17.47$18.82
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV27.3%12.4%34.8%24.2%34.8%
Expected Move9.0%8.7%9.3%9.1%8.7%
HV 20d20.5%15.6%25.4%25.2%18.8%
HV 60d23.3%22.1%23.9%23.8%22.1%
IV Rank29.2%0.0%45.4%20.7%45.4%
IV Percentile41.8%0.0%77.4%18.7%77.4%
Term Structure-3.0%-6.3%10.0%7.7%-6.3%
VWIV32.0%29.9%34.5%30.6%30.9%
Skew 25d4.4%-0.5%7.2%-0.5%7.2%
Skew 10d11.8%1.8%19.8%1.8%12.7%
Call IV 25d30.2%19.7%34.2%23.0%31.4%
Put IV 25d34.7%22.5%38.6%22.5%38.6%
Bid-Ask Spread %32.6227.0738.4332.5138.43
Gamma HHI0.260.160.440.160.28
Net GEX701.4K225.0K1.2M225.0K927.5K
Net DEX-6.3M-15.3M-685.4K-954.9K-14.5M
Net VEX-136.0K-143.7K-126.6K-133.2K-142.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.046.780.041.07
Total Volume978.5241517,2981,315471
Total OI47,237.23843,71149,86847,86645,359

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$17.47$18.0024.2%9.1%25.2%20.7%0.0%-0.5%7.7%225.0K-954.9K-133.2K0.0432.511,2595628,77719,089
2014-05-02$17.60$18.0021.4%9.0%25.4%14.7%0.0%3.6%10.0%417.9K-2.8M-136.8K0.2230.433377429,80419,121
2014-05-05$17.57$18.0024.2%9.0%25.4%20.7%30.6%4.0%-2.9%405.9K-2.4M-134.4K0.3731.7637313829,96619,176
2014-05-06$17.53$18.0022.6%9.1%23.1%17.3%34.5%4.1%-3.6%385.4K-2.3M-133.1K0.5534.531327330,09519,183
2014-05-07$17.54$18.0022.1%9.1%23.1%16.2%0.0%3.8%-4.3%337.8K-1.3M-130.7K1.9632.3611121730,20819,246
2014-05-08$17.61$18.0021.9%9.1%21.8%15.9%33.4%4.1%-3.2%388.2K-2.4M-131.5K0.4031.1754021630,23119,246
2014-05-09$17.52$18.0012.4%9.1%15.6%0.0%30.1%4.9%-3.8%336.2K-685.4K-129.6K1.0731.37737830,07119,369
2014-05-12$18.18$18.0023.2%9.1%19.3%21.7%32.2%4.5%-3.3%1.0M-8.4M-134.2K0.2127.931,04521830,11219,414
2014-05-13$18.07$18.0021.1%9.1%19.3%17.6%0.0%4.5%-4.2%1.1M-7.7M-135.1K0.5431.981588629,88619,537
2014-05-14$17.85$18.0015.3%9.1%19.9%5.9%0.0%5.1%-4.1%1.2M-4.2M-128.7K1.3830.5218024929,96319,407
2014-05-15$17.80$18.0032.8%9.0%19.5%41.3%32.9%3.2%-4.6%1.1M-2.3M-126.6K6.7829.4312081429,96419,427
2014-05-16$17.76$18.0033.2%9.3%19.5%42.0%0.0%1.9%-5.3%883.3K-1.5M-128.5K0.0933.836,68261629,94519,923
2014-05-19$18.03$18.0033.0%9.0%20.1%41.6%34.1%6.4%-3.4%636.2K-6.9M-141.8K0.4637.0089741528,29215,419
2014-05-20$17.87$18.0032.9%8.9%19.8%41.6%30.6%7.0%-5.0%605.8K-6.4M-138.1K0.9433.6612211528,20715,617
2014-05-21$18.00$18.0032.3%9.0%19.9%40.2%0.0%4.7%-3.3%637.5K-6.6M-137.5K3.0634.4626179828,25715,693
2014-05-22$18.11$18.0032.6%9.1%19.6%40.9%0.0%4.9%-3.3%665.0K-7.6M-141.2K0.6435.6052433428,32715,961
2014-05-23$18.50$18.0032.7%8.8%19.4%41.1%0.0%4.3%-3.3%806.3K-10.9M-143.2K0.2632.6058515428,41916,177
2014-05-27$18.76$18.0033.0%8.8%19.2%41.7%29.9%5.7%-6.2%901.2K-13.6M-142.8K0.8627.0748041228,60216,187
2014-05-28$18.70$18.0033.2%8.9%18.4%42.0%0.0%4.5%-5.2%888.6K-13.6M-142.9K0.0631.047514428,64416,444
2014-05-29$18.94$18.0034.1%8.7%18.6%43.9%32.7%5.1%-5.9%933.6K-15.3M-143.7K0.5937.4421512628,76016,457
2014-05-30$18.82$18.0034.8%8.7%18.8%45.4%30.9%7.2%-6.3%927.5K-14.5M-142.3K1.0738.4322724428,85316,506