JBL Options History — December 2015

In December 2015, JBL traded between $23.36 and $25.94. ATM implied volatility averaged 42.7%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 14.9% (HV 20d: 27.8%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2015-12-16: Highest Volume — 19,008 contracts
  • 2015-12-17: Largest IV drop — 46.0% change
  • 2015-12-01: Highest IV Rank — 100.0%
  • 2015-12-02: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.29$23.36$25.94$25.85$23.36
Max Pain$22.00$21.00$25.00$25.00$22.00
ATM IV42.7%25.5%70.6%57.5%28.8%
Expected Move11.0%7.3%16.8%16.5%8.3%
HV 20d27.8%21.1%32.5%27.0%26.6%
HV 60d32.2%25.9%36.8%34.2%25.9%
IV Rank50.9%13.4%100.0%100.0%19.8%
IV Percentile72.9%37.7%100.0%100.0%49.6%
Term Structure-4.2%-17.7%5.9%-17.7%-1.1%
VWIV41.0%27.0%59.0%58.5%37.4%
Skew 25d6.0%3.8%8.6%6.4%4.6%
Skew 10d15.7%7.6%23.1%11.7%14.4%
Call IV 25d36.6%24.6%57.6%55.7%27.3%
Put IV 25d42.6%29.9%62.1%62.1%32.0%
Bid-Ask Spread %25.0018.4634.0428.8126.46
Gamma HHI0.300.240.390.310.24
Net GEX-745.5K-2.7M681.8K-1.3M481.5K
Net DEX-2.4M-14.6M18.1M-8.5M-10.8M
Net VEX-103.9K-140.5K-69.8K-134.7K-69.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.505.021.470.77
Total Volume4,578.04584219,0088423,708
Total OI53,113.77325,48281,38563,47026,326

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$25.85$25.0057.5%16.5%27.0%100.0%58.5%6.4%-17.7%-1.3M-8.5M-134.7K1.4728.8134150116,93346,537
2015-12-02$25.22$25.0058.8%16.8%21.9%100.0%59.0%3.8%-17.6%-1.4M-2.8M-140.5K0.9426.071,0851,01616,92646,653
2015-12-03$25.11$21.0059.1%11.7%21.1%100.0%40.4%5.1%-4.2%-1.5M-356.4K-139.1K2.6827.398632,31316,83046,722
2015-12-04$25.94$21.0058.5%11.0%23.6%98.4%40.8%6.2%-3.3%-1.2M-9.9M-125.6K1.2024.9377993616,84847,610
2015-12-07$25.64$21.0066.6%11.7%24.1%100.0%42.8%5.7%-4.1%-1.3M-7.4M-123.1K1.4321.531,0051,43616,93347,674
2015-12-08$25.66$21.0070.6%12.0%23.7%100.0%42.3%6.9%-5.9%-1.3M-7.0M-125.7K2.4924.631,4883,70017,73647,559
2015-12-09$24.26$21.0046.3%13.3%31.7%53.4%48.5%6.9%-6.8%-1.7M10.1M-132.0K4.1426.109333,86617,91447,208
2015-12-10$24.37$21.0047.5%13.6%31.7%55.7%47.2%7.3%-7.7%-1.7M9.8M-131.7K1.0426.221,1871,22918,07448,283
2015-12-11$23.83$22.0049.9%14.3%32.5%60.2%50.3%7.9%-9.1%-1.8M16.8M-131.1K0.8225.351,3901,13418,52248,686
2015-12-14$23.94$22.0051.7%14.8%32.3%63.7%52.3%8.5%-10.2%-1.8M16.5M-119.1K5.0224.048954,49218,98848,889
2015-12-15$23.99$22.0052.9%15.2%31.7%66.1%53.9%7.8%-10.7%-1.8M12.7M-111.1K3.6030.953,81313,72619,09747,476
2015-12-16$23.91$22.0051.1%14.6%31.7%62.5%51.1%8.6%-9.2%-2.4M18.1M-115.1K1.2334.048,52110,48721,23358,853
2015-12-17$23.67$22.0027.6%7.9%29.3%17.5%28.5%5.6%5.9%-2.7M3.2M-86.9K0.5520.936,2713,44424,91056,475
2015-12-18$23.55$22.0027.2%7.8%29.3%16.8%30.2%5.3%4.9%581.1K1.5M-77.8K0.6018.912,1241,28424,70355,895
2015-12-21$23.61$22.0027.4%7.9%27.7%17.1%29.1%4.8%1.1%585.6K-12.7M-76.1K0.5318.461,39073216,6238,859
2015-12-22$23.62$22.0025.8%7.4%27.4%14.1%27.0%5.9%1.6%589.3K-12.4M-74.6K0.5629.031,65692716,7118,801
2015-12-23$23.89$22.0026.0%7.4%27.8%14.4%27.5%4.4%0.8%681.8K-14.6M-76.4K0.6126.941,58196916,8119,010
2015-12-24$23.90$22.0025.5%7.3%27.8%13.4%30.5%5.3%1.5%676.3K-14.5M-76.7K0.7420.851,31797616,9299,257
2015-12-28$23.68$22.0027.1%7.8%27.6%16.6%31.7%4.1%0.3%609.4K-13.2M-72.3K0.7419.721,24491616,9379,283
2015-12-29$23.91$22.0026.0%7.4%27.8%14.4%40.9%6.2%0.4%651.7K-13.8M-73.3K0.9920.931,3161,29716,9369,465
2015-12-30$23.57$22.0027.0%7.7%27.6%16.4%31.4%5.8%-0.7%608.6K-12.8M-72.5K0.5027.681,62480516,9449,444
2015-12-31$23.36$22.0028.8%8.3%26.6%19.8%37.4%4.6%-1.1%481.5K-10.8M-69.8K0.7726.462,0941,61416,9269,400