JBL Options History — September 2016

In September 2016, JBL traded between $20.77 and $23.83. ATM implied volatility averaged 27.8%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.9% (HV 20d: 24.9%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2016-09-19: Highest Volume — 8,115 contracts
  • 2016-09-22: Largest IV drop — 35.4% change
  • 2016-09-20: Highest IV Rank — 31.4%
  • 2016-09-20: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.93$20.77$23.83$21.27$21.90
Max Pain$21.62$20.00$23.00$20.00$23.00
ATM IV27.8%22.4%37.4%23.2%24.3%
Expected Move8.5%6.6%10.7%6.6%7.0%
HV 20d24.9%10.3%37.8%12.3%37.8%
HV 60d29.3%24.5%32.4%30.1%27.0%
IV Rank11.5%0.5%31.4%2.0%4.4%
IV Percentile23.0%0.8%57.5%0.8%9.1%
Term Structure-0.1%-5.7%8.2%8.2%1.6%
VWIV30.0%22.9%37.6%23.8%24.3%
Skew 25d3.2%1.7%6.3%2.6%1.8%
Skew 10d5.9%-0.1%15.8%7.6%1.2%
Call IV 25d28.7%20.5%35.7%26.2%24.2%
Put IV 25d31.9%24.9%39.6%28.8%26.0%
Bid-Ask Spread %29.8715.16103.50103.5089.59
Gamma HHI0.210.160.340.160.20
Net GEX363.8K213.1K710.6K302.0K362.8K
Net DEX-10.7M-17.7M-6.1M-10.0M-6.8M
Net VEX-85.9K-89.4K-77.1K-87.2K-87.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.140.880.420.30
Total Volume3,198.5711,6358,1151,7823,373
Total OI24,513.95217,10627,76723,38727,767

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$21.27$20.0023.2%6.6%12.3%2.0%23.8%2.6%8.2%302.0K-10.0M-87.2K0.42103.501,25153114,9098,478
2016-09-02$21.42$20.0024.0%6.9%10.7%3.7%22.9%6.3%5.8%342.5K-11.0M-88.7K0.5122.281,13357315,0968,572
2016-09-06$21.55$21.0026.3%9.0%10.7%8.5%31.2%3.3%-1.2%338.8K-11.4M-87.3K0.5522.881,15163315,1448,654
2016-09-07$21.77$21.0022.4%8.9%10.3%0.5%31.5%3.3%-0.7%398.9K-12.7M-85.4K0.5220.801,07856415,1708,663
2016-09-08$21.58$21.0023.5%8.9%11.1%2.7%32.2%2.2%-0.5%333.2K-11.7M-85.2K0.5422.301,06557015,1698,715
2016-09-09$20.78$21.0025.0%9.6%17.6%5.8%34.3%3.7%-2.6%238.4K-8.1M-82.5K0.7324.541,13382915,1948,756
2016-09-12$20.92$21.0025.4%9.4%17.7%6.7%34.2%2.6%-2.0%249.8K-8.4M-82.5K0.6922.401,19982215,2999,022
2016-09-13$20.77$21.0028.8%9.7%17.6%13.8%35.5%3.3%-1.4%224.3K-7.6M-82.1K0.8821.7494182415,3549,127
2016-09-14$21.39$21.0033.8%9.7%20.1%24.0%35.6%3.6%0.4%264.9K-11.1M-84.0K0.5822.481,38480615,3619,101
2016-09-15$22.43$21.0034.0%9.7%25.7%24.4%33.7%2.9%-0.1%710.6K-16.9M-85.0K0.3329.771,94665115,7979,133
2016-09-16$22.49$21.0033.2%9.5%25.4%22.8%33.1%2.9%-0.3%215.2K-16.7M-82.2K0.2920.642,44971715,7549,224
2016-09-19$23.19$21.0035.6%10.2%27.2%27.7%34.6%5.9%-3.7%213.1K-11.6M-77.1K0.1422.957,0921,02310,1786,928
2016-09-20$23.24$22.0037.4%10.7%26.9%31.4%37.2%2.9%-5.2%487.3K-15.4M-88.4K0.2916.982,87283614,1437,296
2016-09-21$23.83$22.0036.9%10.6%27.8%30.4%37.6%3.9%-5.7%519.6K-17.7M-87.9K0.3624.675,2231,85714,4517,607
2016-09-22$22.44$23.0023.8%6.8%36.3%3.4%24.0%3.1%1.8%563.6K-11.0M-89.4K0.4224.063,8011,59516,8198,552
2016-09-23$21.99$22.0024.6%7.1%37.2%5.0%23.4%2.4%0.7%425.7K-8.2M-88.2K0.6733.512,5101,68117,1249,029
2016-09-26$21.82$23.0025.5%7.3%37.4%6.8%25.2%2.8%-0.5%349.0K-6.4M-87.9K0.2625.792,57266417,3149,583
2016-09-27$21.93$23.0025.5%7.3%37.4%6.9%24.7%2.8%0.2%381.0K-7.2M-88.2K0.2319.842,80963217,5439,680
2016-09-28$22.05$23.0024.3%7.0%37.4%4.4%26.2%1.7%1.6%388.9K-7.9M-87.5K0.3315.162,27874317,7249,664
2016-09-29$21.77$23.0025.3%7.3%37.8%6.5%25.6%2.6%0.7%329.3K-6.1M-89.0K0.2821.472,61574417,7409,959
2016-09-30$21.90$23.0024.3%7.0%37.8%4.4%24.3%1.8%1.6%362.8K-6.8M-87.9K0.3089.592,59977417,8139,954