JBL Options History — July 2016

In July 2016, JBL traded between $18.07 and $20.66. ATM implied volatility averaged 26.1%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 16.0% (HV 20d: 42.1%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2016-07-15: Highest Volume — 5,068 contracts
  • 2016-07-05: Largest IV spike — 29.5% change
  • 2016-07-05: Highest IV Rank — 21.7%
  • 2016-07-05: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.68$18.07$20.66$18.62$20.36
Max Pain$18.55$18.00$19.00$19.00$19.00
ATM IV26.1%23.7%32.1%24.8%24.3%
Expected Move7.5%6.8%8.6%7.1%7.0%
HV 20d42.1%26.4%48.8%43.5%26.4%
HV 60d30.9%29.8%31.9%30.0%31.1%
IV Rank9.1%4.6%21.7%6.9%4.7%
IV Percentile14.9%4.8%37.3%10.3%5.6%
Term Structure0.8%-0.9%2.8%2.5%1.6%
VWIV27.2%22.4%31.7%25.8%25.2%
Skew 25d4.7%1.9%6.3%1.9%5.4%
Skew 10d9.7%0.9%19.3%7.6%7.5%
Call IV 25d24.2%20.0%27.8%27.1%20.0%
Put IV 25d28.9%25.4%33.3%29.0%25.4%
Bid-Ask Spread %42.5415.6194.3130.9442.70
Gamma HHI0.200.150.230.190.23
Net GEX177.4K15.1K270.7K80.6K270.7K
Net DEX-4.8M-9.6M1.2M-994.1K-6.7M
Net VEX-86.1K-92.7K-76.2K-82.6K-89.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.451.590.950.71
Total Volume2,228.951,4915,0682,5001,491
Total OI20,733.8519,91121,57620,74720,478

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$18.62$19.0024.8%7.1%43.5%6.9%25.8%1.9%2.5%80.6K-994.1K-82.6K0.9530.941,2831,21712,1398,608
2016-07-05$18.15$18.0032.1%8.6%44.1%21.7%31.7%5.5%-0.8%16.8K984.5K-78.1K1.0529.101,1901,24712,2528,636
2016-07-06$18.07$18.0029.7%8.6%43.6%16.8%28.9%6.2%-0.2%15.1K1.2M-76.2K1.0123.461,3891,40812,2438,655
2016-07-07$18.18$18.0030.7%8.5%43.8%18.9%30.4%5.8%-0.3%26.3K837.2K-77.3K1.1220.231,1931,33812,3718,797
2016-07-08$18.75$18.0024.4%7.7%45.3%6.1%29.2%5.8%0.0%81.4K-1.4M-82.1K1.2520.171,0851,35612,3788,837
2016-07-11$18.86$18.0026.0%7.8%45.2%9.4%31.1%4.1%0.4%105.4K-2.2M-81.8K1.5919.218561,35912,4468,935
2016-07-12$19.25$18.0027.3%7.9%45.4%12.0%30.0%5.1%-0.9%152.9K-3.9M-83.5K1.5633.447931,23412,4938,935
2016-07-13$19.31$18.0026.2%7.5%45.3%9.7%27.2%4.1%0.5%148.3K-4.3M-83.6K1.3789.689031,23512,5008,954
2016-07-14$19.45$18.0027.1%7.8%45.3%11.6%26.8%4.1%0.0%179.4K-5.0M-83.7K0.7324.191,20387412,5348,981
2016-07-15$20.56$18.0024.4%7.0%48.8%6.0%26.1%4.9%2.8%165.7K-9.6M-88.2K0.4538.693,4871,58112,5579,019
2016-07-18$20.57$19.0024.1%6.9%48.8%5.4%27.4%5.8%1.1%241.6K-7.5M-92.7K1.3894.311,0691,47512,1277,784
2016-07-19$20.47$19.0026.6%7.6%48.8%10.6%28.4%3.3%-0.0%231.7K-7.0M-90.9K1.3361.661,0261,36211,9797,932
2016-07-20$20.66$19.0023.7%6.8%48.3%4.6%23.5%6.2%1.1%254.4K-7.8M-90.9K1.3089.411,0231,32712,1217,951
2016-07-21$20.41$19.0024.8%7.1%48.2%5.7%27.5%2.2%2.5%253.1K-7.0M-90.6K0.6892.5198866712,2087,968
2016-07-22$20.36$19.0025.0%7.2%47.1%6.1%22.4%2.9%0.3%260.8K-6.9M-90.9K0.6849.2497266312,3517,993
2016-07-25$20.32$19.0025.3%7.2%39.7%6.6%26.6%6.3%1.2%262.3K-6.9M-90.1K0.6715.6195363612,3537,995
2016-07-26$20.33$19.0025.7%7.4%28.2%7.4%25.0%4.7%0.6%265.1K-6.5M-89.4K0.7520.7693069712,3397,994
2016-07-27$20.53$19.0024.6%7.1%28.1%5.4%25.1%3.5%2.8%266.8K-7.3M-90.6K0.8833.5582272112,3458,037
2016-07-28$20.47$19.0025.2%7.2%28.3%6.5%25.9%6.1%0.7%269.8K-7.2M-89.5K0.9422.0078873812,3788,074
2016-07-29$20.36$19.0024.3%7.0%26.4%4.7%25.2%5.4%1.6%270.7K-6.7M-89.2K0.7142.7087261912,3858,093