JBL Options History — March 2016

In March 2016, JBL traded between $18.90 and $21.95. ATM implied volatility averaged 37.2%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 1.2% (HV 20d: 38.4%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2016-03-17: Highest Volume — 11,826 contracts
  • 2016-03-09: Largest IV drop — 34.8% change
  • 2016-03-08: Highest IV Rank — 82.0%
  • 2016-03-01: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.56$18.90$21.95$21.36$19.30
Max Pain$20.59$20.00$22.00$21.00$20.00
ATM IV37.2%26.5%61.2%47.5%28.0%
Expected Move9.8%7.6%13.6%13.6%8.0%
HV 20d38.4%22.3%47.2%36.9%46.1%
HV 60d36.9%33.2%41.0%34.9%40.9%
IV Rank36.0%15.4%82.0%55.6%18.3%
IV Percentile60.6%30.6%99.2%92.9%33.7%
Term Structure-1.8%-9.7%4.3%-9.7%-0.1%
VWIV34.7%26.1%46.1%45.1%26.1%
Skew 25d4.5%1.4%9.2%5.1%4.9%
Skew 10d9.0%-10.9%16.6%8.8%8.7%
Call IV 25d32.3%22.8%45.0%42.0%25.6%
Put IV 25d36.8%29.2%48.7%47.1%30.5%
Bid-Ask Spread %31.4417.6995.9592.5819.82
Gamma HHI0.220.160.320.240.18
Net GEX83.4K-214.8K377.5K318.6K4.3K
Net DEX608.8K-6.1M12.9M-4.5M2.1M
Net VEX-69.9K-87.3K-52.7K-52.7K-74.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.352.850.540.43
Total Volume3,689.51,75711,8262,0641,991
Total OI19,296.31814,55826,91314,55819,326

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$21.36$21.0047.5%13.6%36.9%55.6%45.1%5.1%-9.7%318.6K-4.5M-52.7K0.5492.581,33972511,0353,523
2016-03-02$21.51$21.0042.6%12.2%34.3%46.2%46.1%3.7%-7.5%347.4K-5.1M-54.6K0.5395.951,43875911,3913,719
2016-03-03$21.85$20.0047.6%10.2%34.3%55.8%37.7%4.3%-1.9%377.5K-6.1M-56.0K0.3726.421,98473311,3923,834
2016-03-04$21.75$20.0049.3%10.4%33.8%59.1%38.0%4.9%-1.5%361.3K-5.9M-57.2K1.2724.061,7722,24811,2843,872
2016-03-07$21.88$21.0054.9%10.5%33.6%69.7%39.0%5.4%-1.5%229.5K-4.7M-59.3K0.3518.491,91867111,3155,577
2016-03-08$21.02$21.0061.2%11.3%36.8%82.0%40.9%4.8%-2.5%163.8K-1.8M-56.3K2.8523.651,7795,06211,4595,650
2016-03-09$21.24$21.0039.9%11.4%35.8%41.1%41.3%5.0%-3.5%31.0K1.3M-79.7K0.5720.301,7961,02011,4949,363
2016-03-10$21.21$21.0039.6%11.4%35.8%40.5%40.4%5.3%-3.0%23.6K1.3M-80.2K0.5721.391,74899711,6229,417
2016-03-11$21.70$21.0037.8%10.8%31.6%37.0%39.1%4.6%-3.0%70.4K-759.5K-81.9K0.4819.072,05799011,6339,453
2016-03-14$21.49$21.0039.0%11.2%31.7%39.3%39.8%5.5%-2.9%51.4K-205.4K-81.3K0.5317.691,9841,05511,9369,493
2016-03-15$21.42$21.0040.0%11.5%22.3%41.3%39.4%3.6%-4.1%44.3K183.1K-82.4K0.3923.664,9581,91812,2579,638
2016-03-16$21.95$21.0039.3%11.3%23.4%39.9%39.5%4.0%-3.7%116.3K-3.1M-87.3K0.8759.594,3453,77412,99610,171
2016-03-17$19.77$22.0028.2%8.1%44.8%18.6%28.6%2.4%4.3%-214.8K12.9M-72.0K2.6340.213,2598,56714,28912,624
2016-03-18$19.54$21.0026.8%7.7%44.8%16.0%28.6%3.0%3.7%-61.2K10.5M-65.7K0.5423.462,9821,60615,46411,213
2016-03-21$19.72$20.0026.5%7.6%44.5%15.4%27.3%4.2%-0.4%-7.6K1.9M-68.3K0.6526.871,48296110,1616,937
2016-03-22$19.73$20.0027.1%7.8%44.5%16.6%27.2%3.5%-0.4%-15.8K1.8M-69.3K0.3922.322,25987210,2457,079
2016-03-23$19.13$20.0028.7%8.2%45.3%19.6%28.5%1.4%0.3%-9.8K2.9M-72.3K0.4626.361,52470511,1557,180
2016-03-24$18.93$20.0028.2%8.1%45.3%18.7%27.5%3.1%0.0%-7.2K3.6M-70.1K0.4319.671,37958911,4387,298
2016-03-28$18.90$20.0029.7%8.5%45.4%21.5%28.8%4.1%-0.9%-5.8K3.6M-68.9K0.4620.421,34762111,5037,355
2016-03-29$19.52$20.0026.8%7.7%47.2%16.0%28.9%9.2%0.3%2.0K1.5M-74.9K0.6025.181,37082811,4437,267
2016-03-30$19.30$20.0030.3%8.7%46.3%22.8%26.5%6.8%-1.5%15.5K2.1M-72.8K0.5424.501,14061711,7077,311
2016-03-31$19.30$20.0028.0%8.0%46.1%18.3%26.1%4.9%-0.1%4.3K2.1M-74.4K0.4319.821,39359811,8557,471