JBL Options History — January 2015

In January 2015, JBL traded between $20.36 and $21.94. ATM implied volatility averaged 24.8%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.8% (HV 20d: 25.6%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-01-08: Highest Volume — 6,972 contracts
  • 2015-01-14: Largest IV spike — 32.7% change
  • 2015-01-07: Highest IV Rank — 31.7%
  • 2015-01-27: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.05$20.36$21.94$21.63$20.60
Max Pain$21.60$21.00$22.00$22.00$21.00
ATM IV24.8%19.6%28.1%21.7%25.4%
Expected Move7.3%6.7%7.8%6.8%7.3%
HV 20d25.6%21.8%28.4%27.3%25.2%
HV 60d25.9%24.5%27.9%27.8%24.8%
IV Rank25.0%14.6%31.7%18.7%26.2%
IV Percentile41.3%11.1%57.1%22.2%47.6%
Term Structure4.7%1.9%7.6%1.9%7.6%
VWIV25.2%22.8%27.3%23.5%25.8%
Skew 25d4.7%2.6%9.1%2.6%3.7%
Skew 10d9.9%-4.4%18.5%-4.4%4.7%
Call IV 25d23.7%19.9%25.5%22.5%24.9%
Put IV 25d28.4%25.1%30.3%25.1%28.6%
Bid-Ask Spread %25.6815.9648.9726.0024.01
Gamma HHI0.270.220.450.340.22
Net GEX758.8K354.1K1.3M1.0M389.0K
Net DEX-15.5M-27.2M-6.3M-24.6M-7.3M
Net VEX-91.9K-100.2K-84.6K-98.7K-85.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.052.660.621.33
Total Volume1,977.51276,9724,1882,161
Total OI31,148.919,50940,88138,20620,972

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$21.63$22.0021.7%6.8%27.3%18.7%23.5%2.6%1.9%1.0M-24.6M-98.7K0.6226.002,5841,60424,25513,951
2015-01-05$21.27$22.0026.7%7.7%27.7%28.8%25.5%3.1%3.3%960.3K-19.9M-99.3K0.0515.967994324,41014,005
2015-01-06$21.02$22.0027.4%7.6%28.1%30.2%26.3%4.3%4.4%937.1K-18.6M-98.1K0.0524.371,2536424,90314,007
2015-01-07$21.42$22.0028.1%7.6%27.4%31.7%25.4%4.9%3.1%1.1M-21.5M-99.6K0.0923.561161125,29914,018
2015-01-08$21.94$22.0023.4%7.2%28.4%22.1%22.8%5.9%3.5%1.2M-27.2M-98.2K0.3227.005,2921,68025,34414,072
2015-01-09$21.77$22.0023.3%7.0%27.1%22.0%24.3%4.3%4.6%1.3M-27.2M-100.2K0.8625.961,9921,71726,59914,282
2015-01-12$21.51$22.0020.6%7.1%27.7%16.6%26.1%2.7%4.5%1.2M-23.6M-94.5K2.3122.627181,66126,39714,088
2015-01-13$21.35$22.0019.6%7.4%25.5%14.6%24.5%4.6%4.7%1.1M-21.4M-99.5K2.1226.597721,63326,63914,202
2015-01-14$21.17$22.0026.1%7.5%25.9%27.6%27.3%4.8%4.4%836.8K-20.5M-92.3K2.1128.587731,63426,64514,210
2015-01-15$20.67$22.0026.6%7.6%27.7%28.8%25.0%5.2%4.4%847.5K-17.3M-90.9K2.1126.787041,48626,65014,212
2015-01-16$21.07$22.0025.9%7.4%28.0%27.3%25.1%5.2%4.5%1.3M-20.3M-90.8K2.6628.4220053226,63214,204
2015-01-20$20.64$22.0026.4%7.6%24.8%28.2%27.3%5.0%4.1%365.4K-7.3M-86.4K0.4021.9327110914,2355,274
2015-01-21$20.59$21.0024.9%7.1%22.8%25.3%26.7%3.6%6.2%367.6K-7.1M-86.7K0.7724.6732224914,4325,366
2015-01-22$20.85$21.0024.1%6.9%23.1%23.6%24.9%6.4%5.4%391.7K-7.9M-87.4K1.5320.928271,26814,7295,460
2015-01-23$20.77$21.0023.3%6.7%22.9%21.9%25.4%3.9%5.9%399.9K-8.1M-87.1K1.6029.827871,26314,8785,564
2015-01-26$20.90$21.0024.9%7.1%22.9%25.3%23.9%3.0%5.4%421.9K-8.4M-86.8K0.4221.132159014,9445,563
2015-01-27$20.47$21.0027.1%7.8%22.0%29.6%26.9%9.1%4.7%365.0K-6.8M-85.0K0.1924.483336315,1195,625
2015-01-28$20.36$21.0026.6%7.6%21.8%28.6%23.1%6.6%4.9%354.1K-6.3M-84.6K1.2748.979471,20615,1995,683
2015-01-29$20.96$21.0024.2%6.9%24.8%23.9%24.6%4.7%7.0%435.5K-8.7M-87.1K1.3121.789381,23315,2475,664
2015-01-30$20.60$21.0025.4%7.3%25.2%26.2%25.8%3.7%7.6%389.0K-7.3M-85.7K1.3324.019291,23215,3025,670