JBL Options History — April 2016

In April 2016, JBL traded between $17.35 and $19.21. ATM implied volatility averaged 28.3%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 5.0% (HV 20d: 33.3%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2016-04-29: Highest Volume — 2,893 contracts
  • 2016-04-11: Largest IV spike — 18.8% change
  • 2016-04-12: Highest IV Rank — 28.4%
  • 2016-04-29: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.13$17.35$19.21$19.21$17.35
Max Pain$19.10$18.00$20.00$20.00$18.00
ATM IV28.3%25.9%33.3%27.0%30.4%
Expected Move7.9%7.4%8.7%7.7%8.7%
HV 20d33.3%20.8%45.5%45.5%22.1%
HV 60d37.8%35.7%40.8%40.8%35.7%
IV Rank18.8%14.3%28.4%16.3%22.9%
IV Percentile31.8%20.6%45.6%30.2%41.3%
Term Structure5.4%0.8%9.0%0.8%5.1%
VWIV27.6%26.0%30.5%27.2%30.5%
Skew 25d4.0%0.2%6.3%6.3%3.1%
Skew 10d9.8%-6.8%18.7%9.3%-2.8%
Call IV 25d26.2%23.9%28.8%23.9%28.8%
Put IV 25d30.2%27.1%32.2%30.2%31.9%
Bid-Ask Spread %23.0915.1751.1332.2937.46
Gamma HHI0.150.140.200.170.14
Net GEX15.1K-28.3K56.0K19.9K-12.7K
Net DEX3.6M1.5M6.0M2.2M4.1M
Net VEX-67.3K-74.6K-63.0K-74.6K-63.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.411.430.621.43
Total Volume1,844.1431,3532,8932,2452,893
Total OI19,733.33317,30822,01219,72019,498

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$19.21$20.0027.0%7.7%45.5%16.3%27.2%6.3%0.8%19.9K2.2M-74.6K0.6232.291,38586012,2697,451
2016-04-04$18.96$20.0028.5%8.0%45.5%19.2%27.6%4.5%5.5%9.3K3.0M-72.9K0.4628.731,19354512,4597,815
2016-04-05$18.57$20.0031.5%8.0%45.5%25.0%28.2%3.8%4.1%3.2K4.0M-71.1K0.6016.261,04563112,6597,819
2016-04-06$18.44$20.0030.4%8.5%43.9%22.8%28.6%4.1%3.6%2.0K4.3M-69.1K0.4330.971,67872912,9417,728
2016-04-07$18.19$20.0028.3%8.3%43.5%18.9%26.0%5.1%3.7%-3.0K5.4M-67.1K0.5215.171,18762213,0847,830
2016-04-08$17.97$19.0027.5%8.2%43.5%17.4%26.9%5.9%4.9%-16.6K5.9M-64.9K0.4119.651,45959613,2077,886
2016-04-11$18.10$19.0032.7%8.2%42.3%27.3%28.1%4.2%4.7%-7.6K5.4M-67.4K0.5018.511,23262013,4717,842
2016-04-12$17.87$19.0033.3%8.2%42.4%28.4%28.6%3.9%4.3%-3.8K5.7M-65.3K0.5216.721,22264113,6157,938
2016-04-13$18.42$19.0027.9%8.0%44.6%18.0%26.8%4.7%5.5%12.1K4.5M-70.0K0.5933.631,12566613,6748,078
2016-04-14$17.98$19.0027.6%7.9%43.3%17.5%27.5%4.6%4.9%-28.3K5.5M-65.9K0.5818.891,08462913,7478,105
2016-04-15$17.88$19.0027.4%7.9%25.0%17.1%27.5%4.2%5.4%40.1K6.0M-65.1K0.6917.071,39796713,8858,127
2016-04-18$18.15$19.0027.4%7.9%25.8%17.2%26.8%4.9%5.8%44.5K1.8M-67.1K0.6515.561,01966011,0616,247
2016-04-19$18.08$19.0026.7%7.7%25.4%15.9%26.5%4.1%7.0%56.0K1.5M-67.3K0.6017.5398458911,3516,350
2016-04-20$18.14$19.0027.1%7.8%25.5%16.5%26.9%3.0%6.1%55.3K1.6M-67.6K0.7524.1779559311,4066,423
2016-04-21$17.88$19.0026.9%7.7%23.8%16.2%28.4%4.9%6.6%33.4K2.4M-65.6K0.7819.7676259111,4766,507
2016-04-22$17.95$19.0026.9%7.7%23.8%16.2%27.6%5.5%6.4%34.3K2.4M-66.0K0.6918.1082357211,5356,563
2016-04-25$17.81$19.0027.6%7.9%23.8%17.4%27.1%3.8%6.4%26.8K2.4M-65.6K0.7116.7885160811,5546,634
2016-04-26$18.07$19.0027.1%7.8%21.0%16.5%26.9%2.9%6.9%31.4K2.1M-66.8K0.8016.431,01180411,5616,748
2016-04-27$18.00$18.0026.3%7.5%20.8%14.9%28.7%1.0%6.4%22.7K2.4M-67.4K0.5551.131,18665211,7556,950
2016-04-28$17.61$18.0025.9%7.4%21.8%14.3%26.9%0.2%9.0%-1.9K3.4M-64.1K0.4220.021,28453711,9727,179
2016-04-29$17.35$18.0030.4%8.7%22.1%22.9%30.5%3.1%5.1%-12.7K4.1M-63.0K1.4337.461,1921,70112,2707,228