JBL Options History — August 2015

In August 2015, JBL traded between $17.84 and $20.21. ATM implied volatility averaged 28.8%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.5% (HV 20d: 24.3%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2015-08-06: Highest Volume — 2,910 contracts
  • 2015-08-24: Largest IV spike — 38.0% change
  • 2015-08-24: Highest IV Rank — 77.8%
  • 2015-08-24: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.40$17.84$20.21$19.98$19.38
Max Pain$20.71$20.00$21.00$21.00$20.00
ATM IV28.8%22.0%43.9%22.5%38.7%
Expected Move8.2%6.3%12.6%6.4%11.1%
HV 20d24.3%20.4%32.9%20.4%32.7%
HV 60d25.4%24.3%28.5%24.3%28.3%
IV Rank36.5%19.1%77.8%20.2%61.7%
IV Percentile57.3%19.0%97.6%24.6%92.1%
Term Structure2.0%-3.8%5.4%-0.2%-3.8%
VWIV28.9%22.0%44.1%25.5%37.6%
Skew 25d4.8%-1.2%12.9%2.3%6.5%
Skew 10d11.0%-5.4%32.6%1.0%21.3%
Call IV 25d26.8%17.9%41.0%23.8%33.2%
Put IV 25d31.6%23.6%49.1%26.1%39.7%
Bid-Ask Spread %26.1917.8748.7823.3928.16
Gamma HHI0.200.150.250.220.15
Net GEX50.8K-25.0K138.8K45.8K130.1K
Net DEX1.2M-1.4M4.1M-443.0K-1.0M
Net VEX-59.0K-65.3K-49.2K-65.1K-59.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.2610.000.260.71
Total Volume1,695.333112,9101112,273
Total OI19,647.76218,29720,51119,06019,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$19.98$21.0022.5%6.4%20.4%20.2%25.5%2.3%-0.2%45.8K-443.0K-65.1K0.2623.39882312,4216,639
2015-08-04$19.72$21.0023.5%6.7%20.8%23.0%23.2%-1.2%-0.5%40.1K217.0K-62.6K0.9817.8785684312,4606,662
2015-08-05$20.21$21.0022.0%6.3%21.6%19.1%24.8%1.8%0.8%58.2K-1.3M-65.3K0.8321.771,04186512,4766,672
2015-08-06$19.88$21.0025.1%6.8%22.3%27.5%22.0%1.9%4.9%69.5K-624.1K-65.1K1.6727.141,0881,82212,7196,672
2015-08-07$19.69$21.0024.3%6.7%21.8%25.3%24.0%2.5%4.1%3.0K2.0M-63.2K1.6724.041,0461,74812,8127,654
2015-08-10$20.12$21.0025.1%6.7%23.2%27.5%22.6%3.6%3.9%-25.0K875.5K-64.7K1.0422.7571173812,8157,670
2015-08-11$19.69$21.0025.0%6.8%24.1%27.2%0.0%3.9%5.2%13.9K2.4M-60.8K10.0023.2811012,8307,670
2015-08-12$19.59$21.0024.3%7.0%22.1%25.3%28.2%5.0%3.7%10.1K3.0M-59.5K0.9925.6480579512,8317,680
2015-08-13$19.52$21.0024.1%6.9%21.4%24.7%25.0%2.2%4.1%16.3K2.6M-58.8K0.9922.9380079512,8997,540
2015-08-14$19.77$21.0024.4%7.0%21.8%24.1%26.4%3.0%4.2%7.7K1.8M-61.0K0.9824.3980278412,9067,439
2015-08-17$19.89$21.0024.3%7.0%21.6%23.9%24.3%4.6%4.5%13.7K1.4M-60.3K0.9923.9179978812,9097,439
2015-08-18$19.57$21.0024.0%6.9%22.1%23.1%22.3%3.6%4.7%10.3K1.9M-58.5K1.0424.2478881612,9427,441
2015-08-19$19.55$21.0023.7%6.8%21.1%22.1%23.5%11.9%5.4%26.0K2.3M-57.3K1.3918.537210012,9537,324
2015-08-20$19.16$21.0027.0%7.7%22.2%31.3%26.9%2.3%2.6%46.5K3.3M-55.4K1.6729.347961,33212,9497,365
2015-08-21$18.62$21.0031.8%9.1%24.3%44.5%30.6%5.1%0.1%71.8K4.1M-52.2K0.5725.351,50084812,9507,172
2015-08-24$17.99$20.0043.9%12.6%26.8%77.8%44.1%8.1%-1.3%89.1K2.2M-49.2K0.8548.7891577912,6575,640
2015-08-25$17.84$20.0040.1%11.5%25.6%67.2%37.9%6.4%0.3%91.3K1.9M-49.5K0.7035.411,05674012,6915,637
2015-08-26$18.55$20.0035.8%10.3%29.6%54.1%38.3%5.4%1.9%97.5K1.4M-52.8K0.7230.911,01973112,7645,657
2015-08-27$19.27$20.0037.0%10.6%32.8%56.8%35.1%12.9%-0.3%113.0K-301.5K-57.7K0.4025.201,81373312,7635,828
2015-08-28$19.43$20.0038.1%10.9%32.9%60.0%36.5%8.5%-3.0%138.8K-1.4M-60.1K0.7127.001,19584813,0795,854
2015-08-31$19.38$20.0038.7%11.1%32.7%61.7%37.6%6.5%-3.8%130.1K-1.0M-59.5K0.7128.161,33394013,1415,981