JBL Options History — March 2015

In March 2015, JBL traded between $21.28 and $23.65. ATM implied volatility averaged 30.2%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 11.3% (HV 20d: 19.0%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2015-03-19: Highest Volume — 5,704 contracts
  • 2015-03-19: Largest IV drop — 35.4% change
  • 2015-03-10: Highest IV Rank — 70.2%
  • 2015-03-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.50$21.28$23.65$22.31$23.36
Max Pain$21.45$20.00$23.00$20.00$23.00
ATM IV30.2%19.0%47.0%37.5%22.7%
Expected Move8.0%5.4%11.3%10.7%6.5%
HV 20d19.0%14.3%25.2%15.3%24.6%
HV 60d22.3%20.9%23.3%23.3%22.4%
IV Rank39.7%16.6%70.2%50.8%26.0%
IV Percentile57.0%6.7%97.6%86.1%32.5%
Term Structure-1.5%-10.5%5.5%-7.5%0.0%
VWIV27.2%19.4%37.0%37.0%22.1%
Skew 25d3.8%1.0%7.0%3.3%4.3%
Skew 10d9.8%-1.5%15.3%8.6%8.6%
Call IV 25d26.1%15.9%38.5%36.6%20.1%
Put IV 25d29.9%21.8%39.8%39.8%24.3%
Bid-Ask Spread %23.6216.4929.2616.4923.63
Gamma HHI0.230.200.470.210.22
Net GEX529.5K430.3K1.2M479.7K494.8K
Net DEX-15.0M-30.9M-10.7M-15.2M-13.2M
Net VEX-75.0K-80.6K-69.8K-77.3K-79.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.042.780.860.89
Total Volume1,668.7731095,7042,5151,368
Total OI19,570.68214,79127,35719,81116,155

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$22.31$20.0037.5%10.7%15.3%50.8%37.0%3.3%-7.5%479.7K-15.2M-77.3K0.8616.491,3521,16313,7236,088
2015-03-03$22.01$20.0039.5%11.3%16.5%54.9%32.8%1.0%-10.5%474.7K-14.4M-77.0K1.0020.141,2321,22813,8066,102
2015-03-04$22.07$20.0038.0%10.9%14.7%51.7%33.5%3.6%-8.5%482.1K-13.8M-77.2K0.9425.791,3491,26813,8686,176
2015-03-05$21.90$22.0038.6%8.2%14.7%53.0%28.3%1.4%-0.2%473.9K-13.5M-75.5K0.9529.261,2991,23013,9156,220
2015-03-06$21.78$21.0039.8%8.2%14.4%55.5%28.8%5.4%-1.5%464.5K-12.6M-75.1K1.0024.911,1981,19913,8746,234
2015-03-09$21.77$21.0043.3%8.4%14.3%62.5%27.9%3.7%-0.6%464.1K-12.8M-73.3K0.2020.23911813,9016,261
2015-03-10$21.28$21.0047.0%9.0%16.6%70.2%29.7%3.4%-1.4%436.6K-10.7M-73.5K0.3428.361695713,9426,262
2015-03-11$21.49$21.0031.1%8.9%16.4%37.9%31.0%5.9%-2.9%453.6K-11.0M-72.9K2.7827.546016714,0596,278
2015-03-12$21.69$21.0029.8%8.5%16.6%35.2%29.8%4.2%-1.7%458.4K-12.1M-72.3K0.4625.131456714,0896,425
2015-03-13$21.73$21.0030.7%8.8%15.7%46.3%30.4%3.5%-2.3%465.8K-12.2M-71.9K0.0624.987584614,1396,479
2015-03-16$22.22$21.0032.4%9.3%17.1%50.4%31.1%2.6%-3.3%555.5K-15.6M-70.8K0.2724.0255114614,6336,519
2015-03-17$22.64$21.0031.1%8.9%18.3%47.2%31.3%5.0%-2.5%578.3K-17.9M-69.8K0.0423.052,1148414,7836,603
2015-03-18$22.65$21.0033.1%9.5%18.3%52.2%32.3%3.4%-3.6%666.9K-20.5M-73.9K0.3624.273,8771,39016,2976,660
2015-03-19$23.35$22.0021.3%6.1%21.1%22.5%21.6%5.0%4.4%1.2M-29.2M-73.7K0.4128.534,0571,64718,9457,228
2015-03-20$23.65$22.0019.0%5.4%21.3%16.6%19.4%3.3%5.5%571.0K-30.9M-73.6K0.3421.861,25842719,0948,263
2015-03-23$23.40$22.0021.5%6.2%21.7%22.8%19.8%5.3%1.3%521.8K-13.2M-71.8K0.5319.2544723710,7634,028
2015-03-24$23.56$22.0020.2%5.8%21.5%19.7%21.7%7.0%0.7%520.8K-13.4M-73.0K0.1423.5996513810,8444,204
2015-03-25$22.77$22.0022.0%6.3%24.4%24.2%22.0%1.0%0.4%453.5K-11.5M-77.8K0.4824.081858811,3694,274
2015-03-26$22.90$22.0022.2%6.4%24.3%24.6%23.2%3.0%0.5%460.1K-11.5M-80.6K1.1921.6582698411,4704,326
2015-03-27$22.90$23.0022.1%6.3%24.2%24.4%23.7%2.8%0.3%430.3K-11.5M-79.5K1.1822.40667811,5284,592
2015-03-30$23.48$23.0022.3%6.4%25.2%24.9%22.0%5.6%0.6%514.1K-13.5M-79.5K1.1520.4378390111,5664,570
2015-03-31$23.36$23.0022.7%6.5%24.6%26.0%22.1%4.3%0.0%494.8K-13.2M-79.3K0.8923.6372464411,5444,611