JBL Options History — October 2015

In October 2015, JBL traded between $21.92 and $23.20. ATM implied volatility averaged 39.1%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 2.3% (HV 20d: 41.4%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.97.

Notable Days

  • 2015-10-06: Highest Volume — 16,438 contracts
  • 2015-10-06: Largest IV spike — 21.1% change
  • 2015-10-09: Highest IV Rank — 77.6%
  • 2015-10-28: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.70$21.92$23.20$21.95$23.04
Max Pain$21.64$19.00$22.00$19.00$22.00
ATM IV39.1%31.9%44.5%33.6%40.2%
Expected Move10.6%9.1%11.8%9.6%11.5%
HV 20d41.4%23.0%49.7%49.7%23.3%
HV 60d37.2%36.9%37.6%37.0%37.1%
IV Rank61.6%40.1%77.6%45.0%64.9%
IV Percentile87.6%67.5%97.6%74.2%90.1%
Term Structure1.2%-1.4%3.5%-1.4%0.8%
VWIV38.2%29.7%43.4%34.3%41.6%
Skew 25d6.5%3.4%9.4%5.9%6.4%
Skew 10d16.9%2.4%29.4%2.4%23.7%
Call IV 25d34.4%28.7%40.5%31.5%37.6%
Put IV 25d40.8%33.8%45.8%37.4%44.0%
Bid-Ask Spread %32.4919.7343.9522.7827.93
Gamma HHI0.500.180.660.180.52
Net GEX-1.1M-2.2M633.8K572.4K-1.4M
Net DEX-1.4M-19.1M11.1M-16.1M4.6M
Net VEX-144.6K-175.3K-80.4K-80.4K-164.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.357.110.890.65
Total Volume6,268.6822,96516,4384,1973,030
Total OI50,231.523,05867,65823,05858,851

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$21.95$19.0033.6%9.6%49.7%45.0%34.3%5.9%-1.4%572.4K-16.1M-80.4K0.8922.782,2221,97516,2756,783
2015-10-02$21.92$19.0031.9%9.1%48.9%40.1%29.7%4.1%-1.4%589.2K-15.9M-83.3K1.0419.732,2262,30817,0877,513
2015-10-05$22.50$21.0036.6%9.1%48.6%54.2%30.7%5.1%1.4%633.8K-19.1M-83.2K6.9524.735663,93117,1267,777
2015-10-06$22.17$21.0044.4%9.7%48.5%77.2%33.7%5.2%1.4%207.0K-13.3M-88.3K7.1131.572,02614,41217,14610,925
2015-10-07$22.66$22.0039.8%9.8%48.2%63.7%36.1%6.5%0.5%-923.5K-9.2M-106.4K4.1332.563,07212,68917,89621,889
2015-10-08$22.45$22.0042.0%10.1%48.6%70.2%33.6%5.2%1.7%-1.8M164.3K-136.5K1.5831.741,6572,61318,84930,979
2015-10-09$22.47$22.0044.5%10.5%48.6%77.6%37.4%5.6%0.7%-1.7M-718.7K-138.0K1.9733.661,9383,81619,02831,845
2015-10-12$22.77$22.0043.5%9.6%48.5%74.7%35.1%7.3%0.6%-1.7M-3.7M-137.2K1.4339.972,0002,86619,36333,694
2015-10-13$22.53$22.0035.9%9.9%48.6%52.0%37.3%8.0%2.2%-2.2M-3.1M-134.4K4.6435.802,25210,44019,78434,331
2015-10-14$22.88$22.0037.6%10.8%48.6%57.1%38.9%6.4%1.7%-2.2M-2.6M-159.4K1.5031.493,0364,54620,24943,218
2015-10-15$23.20$22.0036.6%10.5%48.2%54.2%38.2%8.4%1.8%-481.9K-9.1M-156.2K2.2033.892,7115,95920,65444,480
2015-10-16$23.05$22.0038.2%11.0%48.0%58.9%40.2%9.4%3.5%-894.1K-8.2M-161.4K2.6036.863,1368,15121,00546,653
2015-10-19$22.86$22.0037.7%10.8%48.2%57.3%39.8%8.1%2.7%-1.3M7.4M-175.3K0.6143.952,1501,31517,23935,799
2015-10-20$23.11$22.0038.1%10.9%44.8%58.7%37.7%7.9%3.4%-1.2M3.9M-174.3K0.7231.361,9841,42717,47835,843
2015-10-21$22.61$22.0038.1%10.9%45.8%58.6%39.6%6.6%2.2%-1.3M10.2M-174.8K0.7831.542,0631,60417,89836,089
2015-10-22$22.94$22.0039.6%11.3%45.5%62.9%42.2%7.1%1.1%-1.3M6.5M-172.8K1.3632.161,7962,44718,15536,317
2015-10-23$23.13$22.0039.7%11.4%23.0%63.3%43.4%9.0%0.9%-1.3M4.0M-172.1K0.8032.181,8021,43418,19636,845
2015-10-26$22.54$22.0041.1%11.8%24.9%67.5%42.3%3.4%0.0%-1.5M11.1M-168.8K0.3539.304,0981,43918,42337,163
2015-10-27$22.70$22.0040.6%11.6%24.4%66.0%43.2%4.6%0.8%-1.4M9.2M-172.4K0.8432.882,5732,17120,13337,909
2015-10-28$23.02$22.0041.1%11.8%24.3%67.6%41.5%7.7%0.2%-1.4M5.2M-172.2K0.5935.081,9271,13820,55338,932
2015-10-29$22.84$22.0039.8%11.4%23.2%63.6%43.0%4.5%2.4%-1.5M7.5M-168.4K0.5433.581,9261,03920,19538,526
2015-10-30$23.04$22.0040.2%11.5%23.3%64.9%41.6%6.4%0.8%-1.4M4.6M-164.9K0.6527.931,8391,19120,27538,576