JBL Options History — May 2015

In May 2015, JBL traded between $22.84 and $24.83. ATM implied volatility averaged 27.5%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.4% (HV 20d: 22.0%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2015-05-14: Highest Volume — 4,551 contracts
  • 2015-05-12: Largest IV spike — 39.1% change
  • 2015-05-26: Highest IV Rank — 46.0%
  • 2015-05-26: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.95$22.84$24.83$22.93$24.59
Max Pain$22.55$22.00$24.00$24.00$23.00
ATM IV27.5%20.8%32.0%23.4%30.8%
Expected Move8.3%6.7%9.2%6.7%8.8%
HV 20d22.0%19.0%23.4%22.2%19.0%
HV 60d21.5%20.8%22.1%20.8%21.8%
IV Rank35.5%21.2%46.0%27.8%42.9%
IV Percentile58.6%18.3%73.8%42.1%70.2%
Term Structure-3.1%-5.1%6.0%6.0%-5.1%
VWIV29.4%23.3%32.9%23.3%32.9%
Skew 25d3.9%2.8%5.3%3.3%3.7%
Skew 10d9.4%0.8%14.4%11.4%7.9%
Call IV 25d27.7%22.6%31.0%22.6%31.0%
Put IV 25d31.6%25.9%34.7%25.9%34.7%
Bid-Ask Spread %21.1614.9524.8214.9521.19
Gamma HHI0.400.190.790.530.20
Net GEX793.1K303.6K2.5M909.9K309.8K
Net DEX-14.6M-24.1M-10.2M-10.8M-14.8M
Net VEX-76.5K-85.8K-70.6K-84.0K-70.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.083.980.441.87
Total Volume1,7932564,5512,2681,840
Total OI20,392.4516,22424,14123,51816,778

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$22.93$24.0023.4%6.7%22.2%27.8%23.3%3.3%6.0%909.9K-10.8M-84.0K0.4414.951,57569317,5685,950
2015-05-04$23.32$22.0024.7%8.3%23.0%31.1%29.8%5.3%-3.3%1.3M-14.0M-85.8K0.3724.8242315717,7395,988
2015-05-05$23.02$22.0024.6%8.3%23.4%30.7%29.2%2.8%-3.1%973.9K-11.8M-82.3K1.0323.581,0891,12417,6196,022
2015-05-06$22.84$22.0025.1%8.3%20.8%32.0%29.4%3.2%-3.0%739.3K-10.2M-82.1K0.8523.0188875817,6456,323
2015-05-07$23.17$22.0025.4%8.4%21.6%32.8%29.3%3.8%-2.9%1.0M-12.0M-83.3K0.7423.8594669717,6596,413
2015-05-08$23.38$22.0023.5%8.4%22.0%27.9%26.6%3.4%-3.2%1.2M-12.6M-82.2K0.0820.156855717,5956,469
2015-05-11$23.45$22.0020.8%8.5%21.6%21.2%28.9%3.4%-4.2%1.1M-12.4M-77.2K0.1620.142203617,6976,444
2015-05-12$23.43$22.0028.9%8.4%21.2%37.7%29.3%4.3%-4.0%1.1M-11.6M-78.8K0.8023.1488070317,4036,463
2015-05-13$23.57$22.0028.4%8.2%21.3%36.4%28.7%3.5%-3.3%1.8M-14.4M-78.5K0.3324.692,09069717,5676,496
2015-05-14$24.24$22.0029.2%8.4%23.2%38.5%28.8%3.7%-4.0%2.5M-24.1M-76.6K0.2724.423,58296916,6366,496
2015-05-15$24.31$22.0028.6%8.2%21.2%36.9%27.5%3.8%-3.8%303.9K-23.9M-74.6K0.2020.363,16763614,8596,601
2015-05-18$24.83$23.0027.9%8.0%22.0%35.0%28.0%3.9%-2.8%312.2K-16.3M-71.6K0.1520.221,43921410,6865,605
2015-05-19$24.53$23.0028.4%8.2%22.6%36.4%30.4%4.2%-2.9%303.6K-14.9M-71.8K3.9820.4716565610,4575,767
2015-05-20$24.74$23.0028.1%8.1%22.5%35.6%30.2%4.9%-2.9%314.0K-15.2M-72.5K0.8221.5190574110,5665,761
2015-05-21$24.48$23.0030.3%8.7%22.8%41.4%29.9%2.8%-4.1%308.5K-14.8M-71.9K0.9018.3884375610,5835,768
2015-05-22$24.58$23.0028.4%8.1%22.5%36.2%30.2%4.6%-3.0%311.5K-14.6M-72.4K0.9117.4377570310,6005,827
2015-05-26$24.31$23.0032.0%9.2%22.9%46.0%32.5%4.9%-4.9%312.3K-14.1M-70.9K1.2320.7663378110,6555,837
2015-05-27$24.65$23.0030.0%8.6%22.5%40.7%31.7%5.2%-3.6%318.4K-14.8M-71.5K1.0221.4172574110,6585,904
2015-05-28$24.61$23.0030.8%8.8%22.3%42.7%32.1%3.6%-4.1%314.0K-15.0M-70.7K1.8318.676621,20910,6946,051
2015-05-29$24.59$23.0030.8%8.8%19.0%42.9%32.9%3.7%-5.1%309.8K-14.8M-70.6K1.8721.196421,19810,6926,086