JBL Options History — February 2016

In February 2016, JBL traded between $18.65 and $20.98. ATM implied volatility averaged 41.5%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 2.9% (HV 20d: 38.6%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-02-11: Highest Volume — 5,752 contracts
  • 2016-02-08: Largest IV spike — 19.6% change
  • 2016-02-11: Highest IV Rank — 55.5%
  • 2016-02-11: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.09$18.65$20.98$19.86$20.90
Max Pain$20.85$20.00$21.00$20.00$21.00
ATM IV41.5%33.6%47.4%33.7%45.7%
Expected Move12.0%9.6%13.6%9.6%13.1%
HV 20d38.6%32.6%43.6%38.9%36.9%
HV 60d33.2%30.2%35.7%30.2%34.8%
IV Rank44.1%29.1%55.5%29.1%52.2%
IV Percentile79.0%54.8%92.9%55.6%90.5%
Term Structure-4.2%-8.7%5.0%4.8%-8.7%
VWIV41.1%33.7%47.0%33.7%44.7%
Skew 25d6.8%2.1%15.1%6.0%5.5%
Skew 10d15.8%-4.6%32.2%14.8%5.9%
Call IV 25d39.0%30.1%43.8%30.1%43.4%
Put IV 25d45.8%36.2%52.3%36.2%48.9%
Bid-Ask Spread %51.8223.4693.4735.3547.35
Gamma HHI0.210.150.440.150.21
Net GEX82.6K-253.3K273.5K94.4K273.5K
Net DEX-379.0K-3.7M4.7M602.6K-3.7M
Net VEX-48.7K-53.1K-41.8K-48.8K-52.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.152.000.480.55
Total Volume2,883.051,5505,7522,2911,550
Total OI16,687.213,70119,94816,41814,456

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$19.86$20.0033.7%9.6%38.9%29.1%33.7%6.0%4.8%94.4K602.6K-48.8K0.4835.351,54874311,2625,156
2016-02-02$19.21$20.0035.6%10.2%39.8%32.8%33.9%2.1%4.9%48.1K2.2M-45.8K0.4823.461,49172211,3075,227
2016-02-03$19.52$20.0033.6%9.6%40.6%29.1%34.5%6.1%5.0%68.0K1.7M-46.8K0.5227.511,49577211,3635,234
2016-02-04$19.98$21.0033.9%11.3%36.9%29.6%38.6%5.9%-3.3%102.8K366.6K-48.9K0.4925.271,47872011,3835,210
2016-02-05$19.87$21.0035.7%11.3%33.9%33.0%38.1%8.4%-2.6%90.9K722.0K-48.5K0.5229.471,33569211,4095,221
2016-02-08$19.65$21.0042.6%12.3%32.6%46.4%42.3%5.7%-3.5%78.5K1.3M-46.6K0.4638.311,51469311,4255,195
2016-02-09$19.26$21.0043.3%12.7%33.3%47.5%42.6%6.8%-4.8%44.8K2.4M-43.4K0.5540.001,27570211,4155,197
2016-02-10$19.48$21.0043.9%12.6%33.6%48.8%41.3%9.8%-5.4%64.7K1.5M-45.2K0.9842.921,7301,69311,4255,169
2016-02-11$18.65$21.0047.4%13.6%36.9%55.5%47.0%9.3%-7.2%-44.6K4.7M-41.8K1.7636.072,0813,67111,3796,128
2016-02-12$19.05$21.0046.8%13.4%37.6%54.3%46.5%5.8%-7.5%-213.0K4.2M-45.8K1.7443.542,0823,62111,5757,879
2016-02-16$20.36$21.0044.4%12.7%43.6%49.8%40.9%15.1%-5.8%-19.6K-1.2M-49.7K2.0039.681,5753,15111,5777,810
2016-02-17$20.24$21.0043.8%12.6%43.1%48.6%45.1%7.4%-5.2%-253.3K-467.1K-49.0K1.6729.541,5592,61011,6088,290
2016-02-18$20.53$21.0042.1%12.1%42.5%45.3%42.2%7.6%-6.0%-46.5K-1.8M-49.0K1.8838.641,3912,60911,6158,291
2016-02-19$20.69$21.0040.1%11.5%42.5%41.4%41.0%4.4%-3.4%99.0K-3.2M-49.1K0.1588.353,94459611,6218,327
2016-02-22$20.98$21.0043.3%12.4%41.6%47.7%41.9%5.5%-6.8%236.1K-3.4M-53.1K0.5386.681,12759510,3143,387
2016-02-23$20.76$21.0043.1%12.4%41.4%47.3%41.2%5.0%-5.1%232.1K-3.1M-52.0K0.3291.631,51148210,3973,461
2016-02-24$20.96$21.0042.8%12.3%40.3%46.6%42.6%8.4%-7.4%259.0K-3.4M-52.8K0.4390.131,15649610,7293,497
2016-02-25$20.96$21.0043.7%12.5%37.7%48.4%41.5%5.9%-7.8%267.8K-3.5M-53.0K0.5188.971,07655110,8793,520
2016-02-26$20.87$21.0043.6%12.5%37.9%48.1%42.8%5.3%-7.4%269.6K-3.5M-52.7K0.5193.471,07355110,8933,513
2016-02-29$20.90$21.0045.7%13.1%36.9%52.2%44.7%5.5%-8.7%273.5K-3.7M-52.1K0.5547.3599955110,9433,513