JBL Options History — September 2014

In September 2014, JBL traded between $20.17 and $21.87. ATM implied volatility averaged 27.3%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 12.8% (HV 20d: 14.5%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2014-09-25: Highest Volume — 11,170 contracts
  • 2014-09-11: Largest IV spike — 59.0% change
  • 2014-09-24: Highest IV Rank — 58.6%
  • 2014-09-22: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.21$20.17$21.87$21.56$20.17
Max Pain$21.43$20.00$22.00$21.00$20.00
ATM IV27.3%18.5%41.3%19.2%23.4%
Expected Move8.0%7.3%8.2%7.9%7.6%
HV 20d14.5%12.7%17.3%17.3%16.1%
HV 60d16.1%15.6%17.1%15.9%17.1%
IV Rank30.2%12.3%58.6%13.7%22.2%
IV Percentile44.5%5.2%90.9%7.1%27.8%
Term Structure-1.8%-10.9%11.1%10.0%0.0%
VWIV27.7%25.2%33.9%25.2%26.8%
Skew 25d2.0%-0.1%5.1%2.3%1.8%
Skew 10d6.7%-2.1%19.0%3.8%7.5%
Call IV 25d28.9%16.3%41.2%16.3%23.9%
Put IV 25d30.9%18.6%42.3%18.6%25.7%
Bid-Ask Spread %36.0930.4647.1031.9434.44
Gamma HHI0.300.210.370.310.22
Net GEX1.0M512.8K1.6M1.4M512.8K
Net DEX-20.4M-29.6M-5.8M-27.5M-5.8M
Net VEX-140.2K-149.5K-135.8K-137.0K-139.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.093.520.281.06
Total Volume2,614.8126311,1701,9331,139
Total OI49,59743,27355,84543,27355,845

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$21.56$21.0019.2%7.9%17.3%13.7%0.0%2.3%10.0%1.4M-27.5M-137.0K0.2831.941,51641729,44313,830
2014-09-03$21.52$21.0018.6%8.0%16.7%12.4%25.2%2.0%11.1%1.4M-28.1M-137.3K0.1132.444014530,48914,137
2014-09-04$21.48$22.0020.5%8.1%16.8%16.4%28.2%2.2%7.5%1.4M-27.6M-135.8K3.3337.338242,74730,71614,182
2014-09-05$21.39$22.0019.7%8.0%14.2%14.8%33.9%2.1%-1.3%1.1M-23.3M-140.1K0.2331.993077130,42216,257
2014-09-08$21.41$22.0021.2%8.2%13.6%17.8%25.9%2.9%-2.5%1.1M-23.4M-136.8K0.1434.421,15816030,51616,298
2014-09-09$21.21$22.0018.5%8.1%12.9%12.3%0.0%-0.1%-1.2%1.1M-22.5M-138.3K0.3934.6061224031,58416,425
2014-09-10$21.53$22.0019.1%8.0%12.7%13.5%0.0%0.8%-2.3%1.3M-25.6M-137.6K1.3634.4227036732,08716,610
2014-09-11$21.87$22.0030.4%7.8%13.3%36.4%26.9%3.8%-2.5%1.6M-29.6M-139.8K1.7245.056941,19232,12016,600
2014-09-12$21.50$22.0031.5%8.1%15.3%38.7%0.0%4.0%-2.0%1.2M-25.2M-139.4K3.1336.4530896332,23717,637
2014-09-15$21.45$22.0032.7%8.0%15.1%41.1%0.0%1.2%-4.1%972.1K-22.7M-137.0K0.7435.0836126832,26618,413
2014-09-16$21.55$22.0032.3%7.9%13.4%40.2%27.3%3.0%-4.5%1.1M-24.4M-137.7K0.4935.2859529432,50118,453
2014-09-17$21.64$22.0032.0%8.0%13.3%39.6%26.1%1.5%-4.0%1.3M-26.3M-138.1K3.5247.105241,84332,86818,632
2014-09-18$21.60$22.0035.1%7.9%13.0%45.9%28.6%1.2%-7.6%928.5K-22.6M-144.8K0.8738.3414112232,96221,962
2014-09-19$21.34$22.0036.2%8.1%13.5%48.2%27.7%1.6%-7.1%542.4K-21.1M-137.5K0.0942.106,83959233,00920,183
2014-09-22$21.04$22.0036.8%8.2%14.3%49.4%28.7%1.2%-6.9%816.6K-16.1M-145.3K0.2442.491,80342429,92916,099
2014-09-23$20.87$22.0038.2%8.2%13.5%52.3%29.5%1.7%-8.7%798.6K-14.5M-143.4K0.6637.892,1431,40930,34416,270
2014-09-24$20.85$20.0041.3%8.1%13.3%58.6%29.2%1.1%-10.9%808.7K-15.0M-149.5K0.6930.465,1473,56631,15016,855
2014-09-25$20.39$20.0022.9%7.7%15.2%21.3%27.0%1.3%-1.0%521.4K-6.5M-138.8K1.5331.444,4146,75634,33618,832
2014-09-26$20.60$20.0021.5%7.3%15.9%18.5%26.0%1.4%-0.2%800.9K-10.5M-147.0K0.3231.172,09867136,04818,138
2014-09-29$20.41$20.0022.3%7.6%15.7%20.0%26.6%5.1%-0.4%748.3K-9.2M-142.4K1.8833.3951096036,73718,115
2014-09-30$20.17$20.0023.4%7.6%16.1%22.2%26.8%1.8%0.0%512.8K-5.8M-139.8K1.0634.4455358636,86118,984