JBL Options History — July 2015

In July 2015, JBL traded between $19.40 and $21.11. ATM implied volatility averaged 24.0%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.3% (HV 20d: 25.3%). Max pain ranged from $21.00 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 0.91.

Notable Days

  • 2015-07-01: Highest Volume — 4,906 contracts
  • 2015-07-08: Largest IV spike — 23.6% change
  • 2015-07-08: Highest IV Rank — 38.7%
  • 2015-07-09: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.17$19.40$21.11$21.07$20.24
Max Pain$21.18$21.00$23.00$23.00$21.00
ATM IV24.0%21.4%29.3%24.1%22.3%
Expected Move6.7%6.1%7.4%6.9%6.4%
HV 20d25.3%18.7%31.4%31.1%20.8%
HV 60d24.8%24.4%25.3%25.2%24.4%
IV Rank24.4%17.4%38.7%24.6%19.9%
IV Percentile37.9%17.5%67.9%45.2%22.6%
Term Structure0.0%-1.5%1.3%-1.5%0.1%
VWIV23.0%19.8%26.0%23.6%20.6%
Skew 25d3.2%0.6%5.6%0.9%1.8%
Skew 10d7.9%-0.9%14.4%5.7%7.6%
Call IV 25d22.7%20.0%26.2%24.3%22.2%
Put IV 25d25.9%23.3%28.6%25.1%24.0%
Bid-Ask Spread %32.0817.6986.1019.7221.09
Gamma HHI0.200.170.240.170.21
Net GEX72.2K35.1K237.7K94.4K65.7K
Net DEX-120.1K-1.9M1.3M-1.7M-1.5M
Net VEX-67.9K-77.3K-62.3K-77.3K-66.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.681.651.650.97
Total Volume2,006.9091,5684,9064,9061,704
Total OI19,543.31817,96921,11219,82118,924

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$21.07$23.0024.1%6.9%31.1%24.6%23.6%0.9%-1.5%94.4K-1.7M-77.3K1.6519.721,8493,05712,5307,291
2015-07-02$21.11$23.0024.1%6.9%31.3%24.6%23.4%2.9%-0.3%110.5K-1.9M-75.3K0.7221.641,31094012,7426,995
2015-07-06$20.75$21.0024.9%6.8%30.7%27.0%24.0%5.1%-0.2%78.7K-902.9K-71.7K0.6824.481,27186712,7456,956
2015-07-07$20.72$21.0023.7%6.6%30.6%23.5%24.8%4.3%1.1%71.1K-581.2K-71.5K0.9523.5388384012,9187,000
2015-07-08$20.27$21.0029.3%7.4%31.1%38.7%26.0%2.6%-0.1%59.9K310.3K-69.5K0.8224.111,11491913,0256,957
2015-07-09$20.25$21.0028.8%7.4%30.2%37.3%25.5%4.7%-0.3%67.8K-42.7K-70.5K0.8517.9492779213,2287,065
2015-07-10$20.54$21.0023.2%6.5%30.8%22.3%23.9%3.4%0.7%65.3K-365.3K-71.0K0.8324.8395279313,2377,082
2015-07-13$20.36$21.0025.3%6.7%30.7%28.0%22.6%3.2%0.9%54.1K-141.2K-69.2K0.7220.191,20586813,2787,055
2015-07-14$20.50$21.0028.7%6.8%31.1%37.1%22.6%5.6%-0.3%82.1K-787.9K-70.7K1.3323.078801,17113,6627,040
2015-07-15$19.93$21.0023.0%6.6%30.2%21.7%19.8%2.4%-0.3%73.1K888.3K-66.8K0.7830.331,07984413,7177,046
2015-07-16$20.21$21.0022.2%6.4%31.4%19.6%21.5%4.2%0.3%89.7K50.7K-68.1K0.8022.811,10187614,0067,054
2015-07-17$20.02$21.0021.7%6.2%19.1%18.1%21.8%4.6%1.3%237.7K576.3K-66.8K0.7125.881,10878614,0647,048
2015-07-20$19.80$21.0021.9%6.3%18.7%18.7%20.3%0.6%0.3%43.3K149.5K-65.3K0.8320.0593377511,4576,512
2015-07-21$19.98$21.0021.4%6.1%19.4%17.4%20.4%1.6%0.3%41.8K28.6K-65.0K0.9423.5680876011,5756,537
2015-07-22$19.61$21.0022.5%6.5%19.8%20.4%19.8%2.4%-0.1%35.1K870.6K-62.4K0.6886.101,22483211,6456,553
2015-07-23$19.56$21.0022.4%6.4%19.7%20.1%22.1%3.5%0.3%51.1K695.3K-64.3K0.6881.211,26385312,1596,573
2015-07-24$19.52$21.0023.1%6.6%19.6%21.9%24.1%3.6%-0.1%43.8K1.1M-63.3K1.0684.8977182012,1906,613
2015-07-27$19.40$21.0025.6%7.3%19.6%28.8%24.6%2.3%-0.5%44.9K1.3M-62.3K0.9923.2188587212,1846,614
2015-07-28$19.74$21.0023.5%6.8%19.6%23.2%25.1%3.6%-0.1%58.3K494.2K-64.7K0.9124.5195587012,4156,579
2015-07-29$19.95$21.0023.2%6.7%20.3%22.3%23.9%2.1%-0.9%53.8K-151.4K-65.7K0.9644.9487583712,2676,581
2015-07-30$20.18$21.0023.4%6.7%20.7%22.8%24.5%4.4%-0.2%66.7K-1.0M-66.2K1.0917.6980787612,2546,580
2015-07-31$20.24$21.0022.3%6.4%20.8%19.9%20.6%1.8%0.1%65.7K-1.5M-66.8K0.9721.0986783712,3036,621