JBL Options History — December 2014

In December 2014, JBL traded between $19.54 and $22.35. ATM implied volatility averaged 33.6%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 8.7% (HV 20d: 24.9%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.62.

Notable Days

  • 2014-12-18: Highest Volume — 8,909 contracts
  • 2014-12-11: Largest IV drop — 33.2% change
  • 2014-12-10: Highest IV Rank — 80.2%
  • 2014-12-15: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.85$19.54$22.35$20.31$21.83
Max Pain$20.57$20.00$22.00$20.00$22.00
ATM IV33.6%19.9%52.0%40.2%22.3%
Expected Move8.3%6.7%9.8%8.9%6.9%
HV 20d24.9%22.1%28.5%22.3%27.2%
HV 60d26.9%25.5%28.2%25.6%28.2%
IV Rank42.9%15.1%80.2%56.4%19.9%
IV Percentile62.1%12.3%98.0%86.1%24.6%
Term Structure-1.9%-11.3%4.3%-8.1%1.5%
VWIV29.1%23.1%35.0%29.5%25.5%
Skew 25d4.2%1.5%7.9%2.8%1.5%
Skew 10d9.7%-0.5%17.2%1.9%-0.5%
Call IV 25d29.9%18.5%42.1%41.1%23.0%
Put IV 25d34.2%24.1%46.4%43.9%24.4%
Bid-Ask Spread %31.1219.4150.2428.0219.41
Gamma HHI0.270.190.470.220.34
Net GEX751.3K310.6K1.7M701.1K1.0M
Net DEX-16.9M-30.8M-4.0M-12.2M-26.8M
Net VEX-103.4K-108.1K-94.6K-106.6K-100.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.0910.831.0510.83
Total Volume3,830718,9092,64271
Total OI41,087.63636,41648,96638,92938,138

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$20.31$20.0040.2%8.9%22.3%56.4%29.5%2.8%-8.1%701.1K-12.2M-106.6K1.0528.021,2911,35124,38814,541
2014-12-02$20.61$20.0040.3%8.5%22.1%56.5%29.7%6.2%-9.3%752.7K-14.0M-106.5K2.3530.768211,93124,60614,596
2014-12-03$20.88$20.0040.6%8.6%22.4%57.2%30.2%3.9%-9.6%787.5K-16.3M-107.4K2.3029.138081,85524,59314,895
2014-12-04$20.66$20.0041.8%8.6%22.6%59.4%30.2%3.2%-11.3%779.5K-15.5M-106.6K0.4125.831285324,63414,896
2014-12-05$20.70$20.0040.9%8.6%22.6%57.6%29.6%3.1%-0.8%785.7K-15.5M-105.4K6.4228.777504,81424,67414,979
2014-12-08$20.24$20.0048.5%8.8%23.9%73.2%29.8%2.5%-2.5%466.4K-9.5M-104.2K1.5828.448131,28224,69818,244
2014-12-09$20.42$20.0050.5%8.9%24.1%77.1%30.2%5.0%-3.2%518.6K-10.5M-103.7K1.5130.988501,28224,72418,234
2014-12-10$19.98$20.0052.0%9.2%25.0%80.2%31.0%2.3%-2.4%414.7K-7.6M-101.0K0.5330.572,7351,45924,70018,231
2014-12-11$20.09$20.0034.7%9.3%24.6%45.2%31.5%2.8%-2.8%451.8K-8.8M-108.1K0.6737.342,6531,77025,47118,283
2014-12-12$19.54$20.0035.7%9.6%22.6%47.2%33.1%2.4%-2.6%310.6K-4.0M-103.8K0.5150.242,8981,47925,45118,140
2014-12-15$19.71$20.0037.5%9.8%22.7%50.8%33.5%7.0%-3.7%324.3K-4.6M-101.1K0.4831.063,3731,63125,30618,094
2014-12-16$19.74$20.0037.6%9.6%22.6%51.0%33.3%5.2%-3.7%387.9K-6.3M-101.5K0.2532.456,2871,57225,79618,101
2014-12-17$20.03$20.0036.5%9.8%22.8%48.8%35.0%6.1%-2.3%540.6K-10.1M-108.0K0.8046.053,6532,93627,57318,165
2014-12-18$20.90$20.0025.0%8.4%26.4%25.4%30.6%5.0%4.3%1.7M-20.4M-100.5K0.5330.635,8413,06827,65818,852
2014-12-19$21.44$20.0025.4%8.3%27.8%26.3%29.5%7.9%4.0%1.1M-30.8M-101.5K0.0931.604,12938729,17519,791
2014-12-22$21.60$0.0022.6%7.0%27.8%20.7%24.6%3.5%1.1%827.1K-22.4M-103.6K0.5538.492,9611,63422,88213,534
2014-12-23$21.74$22.0021.2%6.7%27.5%17.7%23.1%4.5%1.8%890.7K-23.7M-105.1K0.7030.912,4241,69223,20413,814
2014-12-24$21.88$22.0019.9%6.7%27.5%15.1%24.7%4.5%3.3%907.6K-25.8M-103.2K0.8728.991,9581,70823,46913,815
2014-12-26$22.35$22.0021.7%6.9%28.3%18.8%23.8%4.9%2.7%915.9K-30.5M-94.6K0.5727.222,3811,36923,48013,918
2014-12-29$22.07$22.0022.2%6.7%28.5%19.9%23.5%3.5%1.4%965.2K-28.7M-100.3K0.5723.792,5151,44324,07113,960
2014-12-30$22.06$22.0022.3%6.7%27.0%20.0%25.5%5.4%0.7%997.7K-28.5M-100.8K1.9623.986913524,20613,948
2014-12-31$21.83$22.0022.3%6.9%27.2%19.9%0.0%1.5%1.5%1.0M-26.8M-100.4K10.8319.4166524,23013,908