JBL Options History — May 2016

In May 2016, JBL traded between $16.88 and $19.09. ATM implied volatility averaged 35.3%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 16.6% (HV 20d: 18.7%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-05-19: Highest Volume — 3,962 contracts
  • 2016-05-11: Largest IV spike — 24.2% change
  • 2016-05-31: Highest IV Rank — 46.3%
  • 2016-05-31: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.60$16.88$19.09$17.25$19.09
Max Pain$18.62$18.00$19.00$18.00$18.00
ATM IV35.3%28.1%42.6%31.0%42.6%
Expected Move10.5%8.4%12.2%8.9%12.2%
HV 20d18.7%15.6%21.9%21.9%17.5%
HV 60d32.3%30.5%35.4%35.3%31.5%
IV Rank32.4%18.5%46.3%24.0%46.3%
IV Percentile54.5%29.8%79.8%42.9%79.8%
Term Structure-3.9%-8.2%6.2%4.9%-8.2%
VWIV36.4%29.1%42.4%29.1%42.4%
Skew 25d4.6%2.5%8.2%3.9%5.9%
Skew 10d10.8%1.1%23.8%4.6%1.2%
Call IV 25d34.8%26.0%41.7%27.1%41.7%
Put IV 25d39.4%31.0%47.6%31.0%47.6%
Bid-Ask Spread %31.2013.3093.4725.0225.32
Gamma HHI0.150.130.200.130.16
Net GEX6.0K-49.5K159.7K-38.4K159.7K
Net DEX2.8M-3.1M5.1M4.8M-3.1M
Net VEX-72.8K-89.0K-66.0K-67.3K-88.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.521.451.380.89
Total Volume3,008.9521,7833,9622,8181,783
Total OI21,774.71420,77422,93720,92922,443

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$17.25$18.0031.0%8.9%21.9%24.0%29.1%3.9%4.9%-38.4K4.8M-67.3K1.3825.021,1861,63212,5068,423
2016-05-03$17.34$18.0029.3%8.4%21.3%20.9%29.9%6.0%6.2%-34.3K4.5M-68.6K1.4321.061,1901,69712,4768,470
2016-05-04$17.17$18.0030.4%8.7%21.4%22.9%29.4%5.1%5.1%-37.8K4.9M-66.0K0.9638.861,8571,78712,6688,529
2016-05-05$17.07$19.0029.0%10.5%21.1%20.2%35.6%4.3%-4.9%-33.6K4.9M-68.1K0.9219.231,9131,76712,9448,632
2016-05-06$17.04$19.0028.1%10.3%20.8%18.5%36.1%3.8%-3.6%-38.5K5.1M-67.2K0.8615.972,0721,78713,0128,650
2016-05-09$17.16$19.0029.3%10.6%20.8%20.8%36.8%4.7%-4.7%-41.6K4.8M-67.7K1.1417.821,4831,69312,9928,807
2016-05-10$17.30$19.0030.0%10.7%20.8%22.2%36.5%4.5%-5.6%-43.4K4.7M-69.9K1.1917.191,4261,70213,0548,811
2016-05-11$17.24$19.0037.3%10.7%17.0%36.1%36.9%3.4%-6.0%-45.5K4.9M-67.1K1.1618.711,4551,68213,1068,826
2016-05-12$17.01$19.0037.6%10.8%15.6%36.6%38.3%4.0%-5.4%-48.9K5.1M-66.7K1.2116.011,3971,69413,1798,828
2016-05-13$16.88$19.0038.1%10.9%15.7%37.7%38.4%4.9%-6.2%-48.2K4.7M-66.3K1.2022.951,3951,67013,3368,498
2016-05-16$17.20$19.0036.9%10.6%16.3%35.4%39.1%3.8%-4.8%-38.0K4.0M-67.0K1.2056.451,4211,70013,3668,389
2016-05-17$17.32$19.0037.6%10.8%16.7%36.6%35.7%3.8%-6.8%-23.1K3.6M-69.6K1.1740.641,4541,70013,4738,396
2016-05-18$17.18$19.0036.8%10.5%16.7%35.1%36.2%5.0%-4.4%-28.2K3.9M-67.1K1.1948.001,6421,94613,6448,453
2016-05-19$17.22$19.0038.8%11.1%16.1%38.9%37.8%5.4%-7.5%-49.5K3.8M-67.3K1.4542.251,6202,34213,6878,463
2016-05-20$17.56$19.0035.5%10.2%17.8%32.7%35.7%2.5%-5.6%17.7K3.2M-74.6K1.0131.991,4421,45713,8889,049
2016-05-23$17.97$19.0038.5%11.0%19.5%38.5%39.3%5.1%-5.0%30.4K1.5M-77.6K0.5293.471,63785312,5528,222
2016-05-24$18.30$18.0037.8%10.8%19.9%37.1%36.9%4.0%-4.2%81.1K-75.6K-82.5K0.6236.231,43789613,0208,317
2016-05-25$18.50$18.0038.2%10.9%20.2%37.8%37.3%4.0%-3.7%108.7K-901.3K-84.7K0.7913.301,3511,06213,3078,411
2016-05-26$18.71$18.0038.1%10.9%18.4%37.6%38.9%5.1%-4.3%125.1K-1.8M-86.7K0.7431.171,3761,01713,4418,587
2016-05-27$19.05$18.0041.2%11.8%17.9%43.5%38.8%8.2%-8.2%151.9K-2.8M-89.0K0.7023.601,5091,05813,6158,799
2016-05-31$19.09$18.0042.6%12.2%17.5%46.3%42.4%5.9%-8.2%159.7K-3.1M-88.3K0.8925.3294483913,6228,821