JBL Options History — September 2015

In September 2015, JBL traded between $18.67 and $22.39. ATM implied volatility averaged 38.0%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 0.7% (HV 20d: 38.7%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-09-25: Highest Volume — 7,172 contracts
  • 2015-09-25: Largest IV drop — 26.0% change
  • 2015-09-24: Highest IV Rank — 74.1%
  • 2015-09-24: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.02$18.67$22.39$18.67$22.39
Max Pain$19.52$19.00$20.00$20.00$19.00
ATM IV38.0%32.0%43.3%41.7%33.4%
Expected Move10.9%9.2%12.4%12.0%9.6%
HV 20d38.7%33.5%51.3%34.9%48.6%
HV 60d30.3%26.7%37.0%29.0%37.0%
IV Rank58.4%40.5%74.1%69.4%44.5%
IV Percentile87.4%70.2%97.2%96.0%73.4%
Term Structure-3.6%-9.6%3.2%-2.8%-2.3%
VWIV38.7%32.5%45.4%38.1%32.5%
Skew 25d5.7%3.0%8.4%8.4%5.0%
Skew 10d15.1%2.3%28.3%12.4%17.8%
Call IV 25d36.0%31.2%42.5%36.7%31.2%
Put IV 25d41.7%36.2%47.5%45.1%36.2%
Bid-Ask Spread %29.7516.3042.5636.0123.18
Gamma HHI0.200.150.340.160.19
Net GEX181.9K-88.5K605.9K110.5K605.9K
Net DEX-4.9M-17.8M628.1K546.9K-17.8M
Net VEX-62.7K-81.4K-54.6K-54.6K-81.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.404.040.740.79
Total Volume2,648.4291107,1722,2463,033
Total OI19,722.76215,13523,00619,48523,006

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$18.67$20.0041.7%12.0%34.9%69.4%38.1%8.4%-2.8%110.5K546.9K-54.6K0.7436.011,29295413,3746,111
2015-09-02$18.75$20.0035.5%10.2%33.5%51.0%36.6%3.0%3.2%119.7K628.1K-55.9K0.6631.261,32087513,4906,126
2015-09-03$19.36$19.0036.7%10.8%35.4%54.5%37.6%6.5%-2.6%117.2K-876.5K-58.9K0.6337.451,34784613,6766,143
2015-09-04$19.04$19.0039.5%11.0%35.7%62.6%41.5%5.1%-1.3%120.5K-365.2K-58.4K1.2334.951,1031,35913,7356,181
2015-09-08$19.64$19.0039.1%10.8%36.7%61.6%35.9%7.9%-3.9%70.3K-1.4M-60.8K0.9638.64565413,7506,631
2015-09-09$19.37$19.0040.7%11.7%36.2%66.3%40.6%4.2%-3.5%51.2K-776.8K-59.8K0.8737.671,03489813,7966,703
2015-09-10$19.61$20.0037.2%10.7%36.5%56.0%39.9%4.5%-2.0%27.1K-890.4K-60.3K0.9033.0897788313,7426,772
2015-09-11$19.77$20.0038.2%11.0%36.5%58.9%40.4%7.5%-3.4%661-1.4M-60.3K0.7227.951,16884613,8086,781
2015-09-14$19.69$20.0038.0%10.9%36.3%58.3%40.3%6.4%-3.3%-29.8K-1.4M-59.1K1.0428.4493697713,6086,788
2015-09-15$20.11$20.0038.0%10.9%37.0%58.2%40.3%7.3%-3.6%-88.5K-3.2M-59.9K4.0433.0614558613,6036,894
2015-09-16$20.47$20.0037.5%10.8%36.9%56.9%38.2%5.8%-4.2%113.9K-5.3M-60.3K0.9030.961,4901,34713,6196,458
2015-09-17$20.22$20.0037.3%10.7%37.3%56.3%38.1%4.8%-4.5%-33.1K-5.2M-62.2K1.0342.561,5081,54714,0956,457
2015-09-18$20.00$20.0038.5%11.0%36.7%59.7%38.7%6.8%-4.3%222.6K-4.1M-59.4K1.2225.471,4991,82514,1336,447
2015-09-21$20.01$20.0037.7%10.8%34.9%57.4%40.5%6.6%-5.0%248.5K-5.5M-60.5K0.6329.351,16373010,9174,218
2015-09-22$19.20$20.0042.5%12.2%36.0%71.7%42.0%3.3%-8.3%211.4K-3.7M-56.5K0.6428.141,6161,03111,0874,236
2015-09-23$19.06$19.0041.9%12.0%35.9%69.8%43.5%4.2%-7.1%228.9K-3.8M-58.2K0.7716.301,08883611,7334,523
2015-09-24$19.52$19.0043.3%12.4%34.3%74.1%45.4%6.1%-9.6%244.6K-4.3M-60.0K0.9121.502,4742,26112,0784,761
2015-09-25$21.86$19.0032.0%9.2%50.9%40.5%32.5%4.9%-1.8%406.9K-14.4M-71.5K0.4028.685,1142,05813,3986,174
2015-09-28$21.68$19.0034.8%10.0%51.2%48.8%35.8%5.7%-3.3%523.0K-14.3M-78.4K0.6816.662,4701,67715,8686,629
2015-09-29$22.05$19.0034.9%10.0%51.3%48.9%33.6%6.4%-2.7%547.5K-15.7M-80.1K0.8223.401,7551,43915,9436,686
2015-09-30$22.39$19.0033.4%9.6%48.6%44.5%32.5%5.0%-2.3%605.9K-17.8M-81.4K0.7923.181,6921,34116,3066,700