JBL Options History — October 2014

In October 2014, JBL traded between $18.25 and $20.94. ATM implied volatility averaged 28.5%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.1% (HV 20d: 25.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.96.

Notable Days

  • 2014-10-10: Highest Volume — 3,529 contracts
  • 2014-10-13: Largest IV spike — 28.1% change
  • 2014-10-15: Highest IV Rank — 66.1%
  • 2014-10-16: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.37$18.25$20.94$19.77$20.94
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV28.5%21.8%45.0%25.0%24.2%
Expected Move8.4%7.7%9.6%7.7%8.4%
HV 20d25.4%17.1%34.3%17.1%34.3%
HV 60d20.9%17.3%23.9%17.3%23.9%
IV Rank32.6%19.1%66.1%25.4%23.8%
IV Percentile49.8%21.8%95.6%35.7%31.3%
Term Structure4.1%-1.5%7.8%-1.5%7.4%
VWIV29.1%26.0%32.2%27.4%29.5%
Skew 25d3.9%-0.7%10.6%0.8%3.9%
Skew 10d9.4%-6.5%29.4%-3.8%13.8%
Call IV 25d25.7%17.1%32.5%24.9%23.9%
Put IV 25d29.6%23.7%38.1%25.7%27.8%
Bid-Ask Spread %34.9529.5748.4831.4129.57
Gamma HHI0.190.140.210.190.21
Net GEX256.6K58.3K567.5K295.0K567.5K
Net DEX-485.4K-17.7M11.2M-1.3M-17.7M
Net VEX-121.5K-139.8K-109.9K-139.8K-121.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.101.810.750.93
Total Volume1,501.913793,5298783,162
Total OI49,175.30437,46558,09556,76239,152

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$19.77$20.0025.0%7.7%17.1%25.4%27.4%0.8%-1.5%295.0K-1.3M-139.8K0.7531.4150337537,24219,520
2014-10-02$19.85$20.0023.7%7.9%17.3%22.9%27.8%10.2%0.4%290.7K-1.3M-139.6K1.4330.4020829837,28619,608
2014-10-03$19.98$20.0022.4%7.8%17.7%20.2%26.0%-0.7%0.7%283.0K-2.8M-139.1K0.7930.7858146037,39419,551
2014-10-06$19.95$20.0023.3%7.8%17.7%21.9%0.0%1.9%3.9%245.7K-2.5M-135.7K1.3731.8225935637,57219,898
2014-10-07$19.49$20.0026.9%8.0%18.9%29.3%0.0%1.4%4.6%105.8K2.2M-129.9K0.6132.9532019437,68219,952
2014-10-08$19.82$20.0021.8%8.0%19.2%19.1%26.6%4.9%4.7%58.3K851.9K-131.4K1.0331.931,4331,47937,67819,942
2014-10-09$19.39$20.0027.7%8.3%18.7%31.0%28.5%3.2%3.8%84.5K3.3M-126.6K0.3030.631995937,77319,906
2014-10-10$18.57$20.0032.0%8.4%22.6%39.6%28.9%2.7%4.5%115.5K9.2M-114.5K0.6936.342,0841,44537,79419,899
2014-10-13$18.25$20.0040.9%9.1%22.8%57.8%31.0%5.5%2.6%123.6K11.2M-110.0K1.2031.4835142037,81220,216
2014-10-14$18.83$20.0039.1%8.9%26.4%54.0%29.9%10.6%2.1%125.7K7.8M-115.8K1.2237.531,2081,47737,92319,830
2014-10-15$18.53$20.0045.0%9.5%26.3%66.1%32.2%5.6%2.9%170.9K8.7M-116.0K1.3442.021,2121,62238,10719,988
2014-10-16$18.49$20.0034.7%9.6%26.3%45.2%0.0%5.3%2.1%204.8K9.3M-112.0K0.6848.4833723037,86019,637
2014-10-17$18.49$20.0031.8%9.1%26.4%39.2%30.9%4.6%3.0%212.6K8.4M-111.6K1.8140.7527249238,04219,516
2014-10-20$18.62$20.0028.1%8.6%26.7%31.8%0.0%3.9%4.6%224.2K793.5K-109.9K0.2942.8847213522,25615,209
2014-10-21$19.10$20.0027.2%8.5%28.9%29.9%29.3%4.0%4.4%272.7K-2.1M-115.8K1.2236.099311,14022,51215,256
2014-10-22$18.86$20.0027.0%8.4%29.0%29.5%29.2%1.9%5.8%268.0K-1.3M-112.8K1.0830.1689196622,56415,420
2014-10-23$19.29$20.0027.0%8.5%29.9%29.6%29.3%4.6%5.5%315.6K-3.6M-117.9K1.2635.271,0001,25922,61515,462
2014-10-24$19.42$20.0025.8%8.4%29.7%27.0%29.7%3.4%6.6%315.5K-4.1M-117.5K1.4731.897851,15422,76215,673
2014-10-27$19.27$20.0026.7%8.4%29.6%28.9%29.0%2.0%5.8%299.4K-3.1M-114.2K0.4131.90562322,77115,679
2014-10-28$20.11$20.0026.2%8.4%33.5%28.0%29.0%1.7%6.0%417.7K-9.9M-120.4K0.1036.955185122,81815,679
2014-10-29$20.07$20.0024.4%8.2%32.7%24.2%28.5%4.2%7.8%426.1K-10.1M-121.6K0.8640.471,08192823,04915,669
2014-10-30$20.37$20.0025.2%8.3%33.1%25.8%29.4%3.2%6.7%479.7K-12.8M-121.7K1.2532.189421,17623,16915,689
2014-10-31$20.94$20.0024.2%8.4%34.3%23.8%29.5%3.9%7.4%567.5K-17.7M-121.5K0.9329.571,6421,52023,19715,955