JBL Options History — August 2016

In August 2016, JBL traded between $20.00 and $21.22. ATM implied volatility averaged 24.0%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.2% (HV 20d: 18.9%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.48.

Notable Days

  • 2016-08-22: Highest Volume — 3,919 contracts
  • 2016-08-05: Largest IV drop — 10.5% change
  • 2016-08-03: Highest IV Rank — 6.8%
  • 2016-08-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.81$20.00$21.22$20.41$21.22
Max Pain$19.83$19.00$20.00$19.00$20.00
ATM IV24.0%22.2%25.4%24.5%23.6%
Expected Move6.9%6.4%7.5%7.0%6.8%
HV 20d18.9%12.9%26.4%26.4%13.0%
HV 60d31.0%30.1%31.6%31.1%30.1%
IV Rank3.9%0.0%6.8%5.1%3.0%
IV Percentile3.8%0.0%10.7%6.7%2.0%
Term Structure5.3%-0.4%8.0%1.2%8.0%
VWIV23.9%16.8%27.0%24.1%23.5%
Skew 25d3.2%-0.1%7.3%7.3%4.6%
Skew 10d9.3%0.1%17.8%7.9%6.7%
Call IV 25d23.4%19.5%25.2%19.5%24.1%
Put IV 25d26.6%24.6%28.7%26.8%28.7%
Bid-Ask Spread %35.6115.92101.7951.64101.79
Gamma HHI0.220.170.260.230.17
Net GEX352.0K262.3K491.8K278.0K278.0K
Net DEX-8.5M-10.8M-5.4M-6.8M-9.0M
Net VEX-87.2K-91.2K-83.1K-87.7K-83.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.001.000.680.16
Total Volume2,558.304283,9191,5693,535
Total OI22,107.82620,52723,33020,52722,539

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$20.41$19.0024.5%7.0%26.4%5.1%24.1%7.3%1.2%278.0K-6.8M-87.7K0.6851.6493363612,4078,120
2016-08-02$20.00$19.0024.6%7.0%25.6%5.2%25.3%3.9%1.7%262.7K-5.4M-85.4K0.7525.0190367412,5118,164
2016-08-03$20.04$19.0025.4%7.3%25.4%6.8%25.0%-0.1%-0.4%262.3K-5.4M-85.5K0.7348.461,03275712,5998,314
2016-08-04$20.32$19.0024.8%7.5%25.6%5.6%25.9%5.1%4.3%288.2K-6.6M-89.3K0.6823.2496465612,7568,382
2016-08-05$20.72$20.0022.2%7.0%24.4%0.0%24.1%4.2%5.2%309.8K-8.6M-90.4K0.6224.441,03564112,7568,409
2016-08-08$20.81$20.0024.2%7.0%24.4%4.1%24.4%4.8%4.7%316.1K-8.8M-89.1K0.5418.701,15361712,7828,429
2016-08-09$20.62$20.0025.2%7.1%24.2%6.3%27.0%2.8%5.6%311.5K-8.4M-89.2K0.1924.273,07359812,8978,468
2016-08-10$20.68$20.0024.3%7.0%24.2%4.5%25.4%3.1%5.5%404.3K-8.7M-90.9K0.1915.923,20159914,8778,453
2016-08-11$20.90$20.0024.2%6.9%24.3%4.2%24.9%1.8%5.4%416.7K-9.2M-91.2K0.1923.233,26262214,4228,455
2016-08-12$20.83$20.0024.1%6.9%14.7%3.9%25.9%3.2%5.9%439.3K-9.2M-90.0K0.2023.823,15062114,5988,477
2016-08-15$21.02$20.0025.1%7.2%15.0%6.1%23.6%2.4%4.3%491.8K-10.2M-89.7K0.1924.693,14158514,6008,476
2016-08-16$20.80$20.0025.0%7.2%15.4%5.8%25.9%1.7%4.2%471.6K-9.5M-88.6K0.2016.853,09060914,7088,474
2016-08-17$20.70$20.0024.2%6.9%15.2%4.1%25.4%2.1%6.0%453.1K-8.5M-87.2K0.0024.9452014,5958,483
2016-08-18$21.01$20.0023.8%6.8%15.3%3.3%24.3%3.2%6.2%462.9K-9.6M-87.4K0.5628.2124013514,5928,483
2016-08-19$21.08$20.0023.6%6.8%15.3%2.9%24.7%3.1%5.9%384.5K-10.8M-86.6K0.2523.412,99873614,6478,443
2016-08-22$20.93$20.0023.4%6.7%15.5%2.4%17.9%2.2%6.8%357.9K-8.4M-85.0K0.3125.722,98193814,0067,457
2016-08-23$21.05$20.0023.7%6.8%15.6%3.2%16.8%1.9%6.9%363.5K-8.9M-85.9K0.3118.982,97993013,9657,752
2016-08-24$20.93$20.0023.8%6.8%15.5%3.2%22.7%1.4%6.6%345.5K-8.4M-84.5K1.0024.37141413,9267,787
2016-08-25$21.07$20.0023.6%6.8%15.6%2.9%23.6%2.7%6.9%356.0K-8.7M-85.0K0.8719.711,4811,28213,9797,801
2016-08-26$21.11$20.0022.2%6.4%15.3%0.1%22.3%3.0%7.6%274.3K-8.4M-85.2K0.8441.321,4671,23114,0228,410
2016-08-29$21.15$20.0023.7%6.8%15.3%3.2%23.7%3.0%7.0%296.6K-8.9M-84.7K0.8295.521,4981,22714,0408,460
2016-08-30$21.19$20.0023.8%6.8%12.9%3.3%23.9%5.8%6.1%271.2K-8.6M-83.8K0.6994.771,5081,04314,0908,469
2016-08-31$21.22$20.0023.6%6.8%13.0%3.0%23.5%4.6%8.0%278.0K-9.0M-83.1K0.16101.793,04948614,0808,459