JBL Options History — August 2014

In August 2014, JBL traded between $19.61 and $21.69. ATM implied volatility averaged 19.5%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.2% (HV 20d: 19.7%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2014-08-27: Highest Volume — 5,967 contracts
  • 2014-08-14: Largest IV spike — 37.1% change
  • 2014-08-11: Highest IV Rank — 25.2%
  • 2014-08-07: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.74$19.61$21.69$20.05$21.58
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV19.5%15.0%24.9%22.3%17.2%
Expected Move7.9%7.6%8.4%8.0%7.8%
HV 20d19.7%16.5%21.5%16.7%17.3%
HV 60d16.8%15.8%17.4%17.3%16.0%
IV Rank14.3%5.1%25.2%20.0%9.7%
IV Percentile7.9%0.4%33.3%15.5%2.0%
Term Structure7.0%0.4%10.4%0.4%10.4%
VWIV27.3%25.1%28.7%28.5%28.2%
Skew 25d3.7%-0.8%10.4%10.4%2.6%
Skew 10d6.6%-0.4%16.6%10.8%1.8%
Call IV 25d17.7%12.5%23.0%14.6%15.5%
Put IV 25d21.4%16.6%26.1%25.0%18.0%
Bid-Ask Spread %34.9926.2643.7733.9933.77
Gamma HHI0.240.200.340.240.30
Net GEX615.8K446.1K1.3M491.6K1.3M
Net DEX-16.8M-27.2M-9.3M-11.4M-27.2M
Net VEX-123.5K-137.7K-117.1K-126.0K-137.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.035.321.070.05
Total Volume933.429865,967464363
Total OI34,84833,35743,13533,66843,135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$20.05$21.0022.3%8.0%16.7%20.0%0.0%10.4%0.4%491.6K-11.4M-126.0K1.0733.9922424020,62113,047
2014-08-04$20.22$21.0023.3%8.2%17.1%21.9%28.5%4.3%5.6%521.8K-12.4M-125.9K0.9529.52444220,61313,078
2014-08-05$20.02$21.0023.3%8.2%16.5%22.1%0.0%2.1%6.3%489.2K-11.3M-123.6K0.3726.261967220,63013,111
2014-08-06$20.05$21.0023.6%8.2%16.5%22.5%26.9%4.0%5.8%498.8K-11.8M-125.1K0.9130.9518717020,81413,129
2014-08-07$19.61$21.0018.3%8.4%18.0%11.8%28.7%1.3%6.0%446.1K-9.3M-122.1K0.9436.1733331320,91913,200
2014-08-08$19.92$21.0020.5%8.3%19.0%16.4%26.2%4.4%6.2%485.0K-10.4M-122.9K0.8432.29837020,91613,155
2014-08-11$20.32$21.0024.9%8.1%20.5%25.2%27.8%6.2%6.1%540.2K-13.4M-124.8K0.3038.801945820,96113,199
2014-08-12$20.11$21.0020.6%8.0%20.7%16.6%0.0%2.1%5.3%503.1K-12.0M-122.3K1.8231.4018032720,94713,239
2014-08-13$20.29$21.0015.0%7.9%21.0%5.1%27.3%4.6%7.7%507.6K-12.5M-123.8K0.0833.925554320,60813,404
2014-08-14$20.36$21.0020.5%7.9%20.9%16.4%28.7%2.7%6.4%547.8K-13.8M-123.8K0.9837.1412111820,97513,355
2014-08-15$20.55$21.0019.3%7.9%20.1%14.0%0.0%7.1%7.8%582.0K-14.6M-124.3K0.4432.711717621,02413,437
2014-08-18$20.99$21.0018.2%7.9%21.4%11.7%0.0%1.6%7.3%544.5K-17.7M-122.2K0.3343.772829320,34313,014
2014-08-19$21.13$21.0017.5%7.8%21.4%10.2%27.0%2.9%7.8%552.6K-18.9M-119.7K0.9134.2715113720,45013,051
2014-08-20$21.34$21.0018.4%7.7%21.5%12.2%25.1%3.8%7.1%554.8K-20.3M-120.7K0.1836.5654410020,53513,038
2014-08-21$21.49$21.0018.4%7.8%21.2%12.2%26.6%4.7%7.5%597.8K-21.5M-119.4K0.4334.441255420,75313,045
2014-08-22$21.41$21.0017.6%7.8%21.3%10.4%0.0%3.9%8.5%596.9K-21.2M-119.3K5.3234.992211720,77913,071
2014-08-25$21.69$21.0015.7%7.6%21.5%6.5%27.0%7.7%9.7%595.5K-23.0M-117.1K0.0341.994971420,78113,052
2014-08-26$21.52$21.0016.7%7.7%21.5%8.6%0.0%2.1%9.0%628.4K-22.6M-117.6K0.4239.822,9921,26021,03613,065
2014-08-27$21.44$21.0019.1%7.8%21.5%13.5%0.0%0.7%7.2%817.8K-22.7M-123.1K0.0338.385,81415323,22613,850
2014-08-28$21.44$21.0018.8%7.9%17.3%12.9%26.7%-0.8%9.7%1.1M-24.6M-132.5K0.0333.662,9749327,34813,854
2014-08-29$21.58$21.0017.2%7.8%17.3%9.7%28.2%2.6%10.4%1.3M-27.2M-137.7K0.0533.773461729,32013,815