JBL Options History — June 2016

In June 2016, JBL traded between $17.32 and $19.88. ATM implied volatility averaged 36.0%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 11.8% (HV 20d: 24.2%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2016-06-15: Highest Volume — 9,320 contracts
  • 2016-06-16: Largest IV drop — 42.2% change
  • 2016-06-07: Highest IV Rank — 72.0%
  • 2016-06-01: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.84$17.32$19.88$19.38$18.43
Max Pain$18.91$18.00$19.00$18.00$19.00
ATM IV36.0%24.1%56.0%44.3%28.5%
Expected Move9.5%6.9%12.7%12.7%8.2%
HV 20d24.2%17.0%43.3%17.8%43.3%
HV 60d26.3%20.5%31.6%31.6%30.0%
IV Rank32.8%9.0%72.0%49.5%14.4%
IV Percentile51.3%9.5%97.2%85.7%28.6%
Term Structure-2.9%-9.0%3.8%-9.0%0.1%
VWIV33.6%23.9%44.9%44.9%27.9%
Skew 25d4.8%2.0%8.5%4.6%8.5%
Skew 10d10.9%-4.7%25.5%25.5%17.2%
Call IV 25d31.2%22.1%42.4%42.4%24.2%
Put IV 25d36.0%27.1%47.0%47.0%32.7%
Bid-Ask Spread %27.3016.2349.3127.9049.31
Gamma HHI0.180.140.310.170.18
Net GEX96.0K-179.0K216.0K190.3K50.2K
Net DEX-1.7M-5.1M2.7M-4.2M40.0K
Net VEX-84.4K-91.6K-73.4K-89.0K-79.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.392.211.120.97
Total Volume2,941.7271,9359,3201,9352,519
Total OI22,958.519,48131,75422,53320,488

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$19.38$18.0044.3%12.7%17.8%49.5%44.9%4.6%-9.0%190.3K-4.2M-89.0K1.1227.909121,02313,6918,842
2016-06-02$19.60$18.0046.4%9.4%17.0%53.6%34.7%4.9%-3.4%204.6K-4.9M-89.6K0.9719.731,1311,09713,6938,965
2016-06-03$19.43$19.0047.9%10.0%17.3%56.3%34.7%6.0%-4.8%191.4K-4.3M-89.0K1.0520.801,0541,10313,7419,106
2016-06-06$19.61$19.0050.6%9.7%17.0%61.6%34.3%3.5%-3.7%216.0K-5.1M-88.7K0.7020.871,36995613,8139,070
2016-06-07$19.21$19.0056.0%10.2%19.7%72.0%35.8%3.2%-5.0%192.5K-3.9M-86.7K0.8122.181,2811,04413,9699,217
2016-06-08$19.15$19.0035.0%10.0%19.9%31.7%36.1%3.4%-5.0%178.1K-3.1M-85.3K0.8516.771,2401,05214,1759,405
2016-06-09$19.11$19.0035.0%10.0%19.8%31.7%35.2%5.0%-4.9%165.5K-2.8M-85.0K0.8417.871,17698314,1689,525
2016-06-10$18.89$19.0036.8%10.5%19.6%35.1%36.6%5.0%-5.2%144.3K-2.1M-83.6K0.8827.401,3641,20414,2639,577
2016-06-13$18.60$19.0039.3%11.3%20.4%39.9%39.8%4.3%-7.2%98.6K-810.5K-80.9K1.3516.911,1651,57614,4709,935
2016-06-14$18.50$19.0042.6%12.2%20.1%46.3%43.7%6.0%-8.7%60.8K175.9K-80.8K2.2116.231,0262,26714,67510,437
2016-06-15$18.44$19.0044.2%12.7%20.2%49.3%43.8%4.6%-8.8%6.9K855.0K-81.1K1.4329.333,8325,48814,87211,698
2016-06-16$18.76$19.0025.5%7.3%20.3%13.6%28.0%4.3%1.9%37.7K1.2M-85.7K1.2037.952,7723,34016,81814,936
2016-06-17$18.95$19.0026.2%7.5%20.4%14.8%28.6%5.7%1.6%-179.0K-2.0M-87.9K0.9323.311,8151,68716,79414,476
2016-06-20$19.18$19.0025.1%7.2%19.8%12.7%23.9%5.5%3.8%109.6K-2.7M-88.6K0.3920.101,43055111,2118,270
2016-06-21$18.87$19.0025.7%7.4%19.8%13.8%26.8%2.0%2.1%87.5K-1.5M-85.3K0.5626.491,32674611,3258,292
2016-06-22$19.29$19.0026.8%7.7%20.3%16.0%27.1%4.6%-0.0%115.1K-2.8M-88.7K0.6533.751,52699111,4078,496
2016-06-23$19.88$19.0024.1%6.9%22.3%9.0%25.4%5.0%0.9%168.2K-4.8M-91.6K0.6147.631,48790711,5328,518
2016-06-24$18.59$19.0030.1%8.6%33.4%20.7%33.4%6.1%-0.9%85.6K-1.0M-84.8K1.1145.491,2731,41511,8318,167
2016-06-27$17.32$19.0041.0%11.7%40.9%42.0%35.4%6.4%-7.0%-6.7K2.7M-73.4K0.8636.551,3681,17111,9038,426
2016-06-28$17.56$19.0031.5%9.0%41.4%20.4%31.7%2.3%-0.3%-6.3K2.4M-74.9K1.0917.571,2291,33811,9578,466
2016-06-29$17.78$19.0029.6%8.5%41.2%16.6%32.0%4.0%-0.4%2.0K1.9M-75.8K1.1126.551,1791,30512,0228,445
2016-06-30$18.43$19.0028.5%8.2%43.3%14.4%27.9%8.5%0.1%50.2K40.0K-79.8K0.9749.311,2811,23812,0148,474