JBL Options History — November 2015

In November 2015, JBL traded between $23.00 and $25.59. ATM implied volatility averaged 43.6%, placing in the 74.0% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 15.9% (HV 20d: 27.6%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.45.

Notable Days

  • 2015-11-03: Highest Volume — 46,919 contracts
  • 2015-11-13: Largest IV spike — 14.1% change
  • 2015-11-27: Highest IV Rank — 100.0%
  • 2015-11-30: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.42$23.00$25.59$23.00$25.59
Max Pain$23.50$22.00$25.00$22.00$25.00
ATM IV43.6%35.4%55.3%40.4%55.3%
Expected Move12.8%10.8%15.8%11.6%15.8%
HV 20d27.6%21.6%29.5%21.6%27.1%
HV 60d37.0%34.5%38.4%37.0%34.5%
IV Rank74.0%50.5%100.0%65.4%100.0%
IV Percentile90.8%69.0%100.0%90.9%100.0%
Term Structure-6.4%-16.1%3.9%1.1%-16.1%
VWIV45.6%40.1%56.2%41.2%56.2%
Skew 25d6.2%4.1%8.3%6.1%5.6%
Skew 10d14.7%6.9%26.7%19.5%14.9%
Call IV 25d42.4%35.4%54.4%38.9%54.4%
Put IV 25d48.6%41.5%60.1%45.0%60.1%
Bid-Ask Spread %26.5321.1932.0028.0229.39
Gamma HHI0.490.320.720.540.32
Net GEX-1.5M-2.4M-549.7K-1.6M-1.3M
Net DEX-3.2M-17.4M9.1M4.6M-6.0M
Net VEX-162.5K-201.2K-132.4K-158.5K-141.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.450.4015.900.640.66
Total Volume6,563.5544046,9193,221620
Total OI71,697.854,98581,07658,95763,149

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$23.00$22.0040.4%11.6%21.6%65.4%41.2%6.1%1.1%-1.6M4.6M-158.5K0.6428.021,9591,26220,29638,661
2015-11-03$24.32$22.0038.8%11.1%28.2%60.6%44.9%8.3%3.9%-767.2K-13.7M-147.1K15.9023.062,77644,14320,65738,644
2015-11-04$23.94$22.0039.2%11.2%28.3%61.9%40.1%6.6%3.4%-1.9M3.7M-201.2K0.6723.452,1351,43220,63157,498
2015-11-05$23.96$23.0037.9%12.1%28.0%58.0%41.6%7.8%-5.4%-1.9M2.7M-198.3K0.6332.001,8681,18120,63757,515
2015-11-06$24.24$23.0037.7%12.2%28.1%57.3%43.8%7.5%-6.3%-1.8M-1.7M-189.9K0.6229.2827116920,95057,521
2015-11-09$24.05$23.0037.5%12.3%28.2%56.8%45.7%7.0%-6.1%-1.8M-148.2K-187.1K2.7524.5531987821,08857,463
2015-11-10$23.94$23.0035.4%11.6%27.9%50.5%42.2%4.4%-5.7%-1.9M-2.9M-179.6K2.1629.804,3369,38621,13757,017
2015-11-11$24.02$23.0037.6%10.8%27.5%57.0%40.7%4.1%-2.9%-1.6M-7.5M-162.5K2.1631.874,3509,38721,00554,140
2015-11-12$23.73$23.0040.0%11.5%27.6%64.3%40.5%6.2%-4.0%-1.9M38.2K-163.2K0.5929.381,9071,12519,26754,264
2015-11-13$23.49$23.0045.7%13.1%27.8%81.2%43.7%5.7%-5.9%-2.2M6.0M-167.4K4.2124.171,8527,79619,39154,323
2015-11-16$23.91$24.0044.1%12.6%28.2%76.4%46.3%7.5%-7.9%-2.4M9.1M-171.2K0.7021.1929620818,88760,526
2015-11-17$23.97$24.0044.4%12.7%28.0%77.3%44.5%5.9%-7.1%-1.7M2.7M-161.5K0.4522.872,6101,16519,57560,508
2015-11-18$24.77$24.0043.7%12.5%28.6%75.3%43.1%6.3%-6.4%-549.7K-10.1M-150.8K0.4030.363,1771,26719,62660,626
2015-11-19$24.60$24.0043.5%12.5%28.6%74.8%44.2%4.3%-6.2%-892.2K-8.9M-149.0K0.6631.402,0071,31720,32360,681
2015-11-20$25.20$24.0045.4%13.0%29.5%80.5%43.9%6.3%-8.2%-1.1M-17.4M-140.5K0.4226.753,2931,39320,43260,644
2015-11-23$25.42$24.0047.0%13.5%27.3%85.3%50.0%6.7%-9.5%-893.1K-10.0M-132.4K1.0225.2792795015,69139,294
2015-11-24$25.45$24.0051.3%14.7%27.3%98.0%51.7%5.7%-11.9%-891.3K-8.6M-140.5K12.2822.316938,51316,08839,821
2015-11-25$25.26$25.0052.0%14.9%27.5%99.9%54.2%5.2%-13.0%-1.4M-1.6M-155.6K1.2122.241,1611,40116,50846,406
2015-11-27$25.48$25.0054.2%15.5%27.2%100.0%53.3%6.4%-14.7%-1.4M-3.2M-152.3K0.9223.2190583616,65146,415
2015-11-30$25.59$25.0055.3%15.8%27.1%100.0%56.2%5.6%-16.1%-1.3M-6.0M-141.0K0.6629.3937424616,72946,420