JBL Options History — October 2016

In October 2016, JBL traded between $21.27 and $21.98. ATM implied volatility averaged 25.6%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.1% (HV 20d: 25.7%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2016-10-03: Highest Volume — 3,349 contracts
  • 2016-10-28: Largest IV spike — 19.6% change
  • 2016-10-28: Highest IV Rank — 15.7%
  • 2016-10-28: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.66$21.27$21.98$21.61$21.40
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV25.6%23.8%29.8%25.9%27.7%
Expected Move7.4%6.8%8.5%7.4%7.9%
HV 20d25.7%12.3%38.1%38.1%12.3%
HV 60d24.6%23.6%26.6%26.6%23.6%
IV Rank7.1%3.4%15.7%7.6%11.4%
IV Percentile20.8%6.3%48.4%21.4%41.7%
Term Structure2.9%-1.8%5.5%0.2%1.9%
VWIV25.9%24.0%29.6%27.0%26.4%
Skew 25d3.3%0.9%6.0%2.5%4.6%
Skew 10d10.2%2.5%16.8%5.4%12.3%
Call IV 25d24.9%23.1%27.4%26.2%25.9%
Put IV 25d28.2%26.2%32.1%28.6%30.5%
Bid-Ask Spread %42.6515.8895.5485.2183.14
Gamma HHI0.200.170.220.190.19
Net GEX238.7K123.5K366.9K287.1K242.7K
Net DEX-5.0M-7.2M-1.7M-4.8M-5.2M
Net VEX-76.2K-85.2K-68.2K-83.6K-68.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.240.550.360.48
Total Volume2,245.7621,5433,3493,3491,656
Total OI25,748.90519,16628,78427,76319,430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$21.61$22.0025.9%7.4%38.1%7.6%27.0%2.5%0.2%287.1K-4.8M-83.6K0.3685.212,46288717,8399,924
2016-10-04$21.73$22.0027.3%7.8%38.1%10.7%29.6%2.5%-0.5%318.6K-5.8M-85.1K0.3381.302,38879717,85210,047
2016-10-05$21.93$22.0026.5%7.6%38.1%8.9%27.0%0.9%0.3%357.0K-7.0M-85.2K0.3535.772,30780517,87110,074
2016-10-06$21.98$22.0025.9%7.4%37.9%7.8%24.5%3.1%3.3%366.9K-7.2M-84.6K0.2924.242,19964317,86010,091
2016-10-07$21.80$22.0024.4%7.4%35.3%4.6%24.0%3.7%3.5%303.3K-5.8M-82.3K0.2423.422,28755117,83210,185
2016-10-10$21.85$22.0024.4%7.2%35.2%4.5%25.0%3.9%5.3%307.2K-6.0M-81.1K0.2722.072,21960417,80710,325
2016-10-11$21.57$22.0024.5%7.5%35.5%4.8%26.7%5.1%2.6%192.0K-3.4M-77.6K0.4015.881,55362517,79210,323
2016-10-12$21.52$22.0025.5%7.3%34.0%6.8%27.3%4.4%3.4%209.9K-3.7M-78.7K0.4026.811,54662418,02910,329
2016-10-13$21.31$22.0027.0%7.7%29.2%10.0%27.3%3.5%3.5%140.3K-1.9M-76.9K0.5521.941,50582618,08810,356
2016-10-14$21.27$22.0026.0%7.5%29.1%7.9%25.1%4.0%3.5%123.5K-1.7M-74.6K0.4816.161,70581817,99310,348
2016-10-17$21.35$22.0026.9%7.7%26.5%9.7%26.7%3.2%2.9%150.7K-2.0M-73.6K0.4319.091,43561018,21610,354
2016-10-18$21.75$22.0024.5%7.0%27.6%4.8%26.5%4.1%4.1%180.3K-4.0M-74.2K0.4016.681,36454518,33010,380
2016-10-19$21.94$22.0024.3%7.0%25.9%4.3%25.1%2.9%5.5%181.0K-5.7M-74.5K0.3817.891,34751718,33910,425
2016-10-20$21.76$22.0023.8%6.8%15.5%3.4%24.8%3.2%4.1%157.0K-4.7M-73.8K0.4719.961,31762018,33010,454
2016-10-21$21.71$22.0024.6%7.0%13.9%5.0%24.7%2.0%4.6%222.8K-3.6M-72.3K0.3821.301,68463218,33310,413
2016-10-24$21.86$22.0025.3%7.3%13.9%6.5%25.4%2.6%4.1%249.2K-7.0M-71.7K0.3980.771,26749911,5817,585
2016-10-25$21.77$22.0024.5%7.0%13.8%4.9%24.0%3.8%3.3%264.9K-6.7M-71.2K0.4423.221,08547511,7357,629
2016-10-26$21.74$22.0024.3%7.0%13.6%4.3%25.4%1.3%4.8%261.9K-6.7M-71.0K0.4295.541,11846811,7337,644
2016-10-27$21.54$22.0024.9%7.1%13.3%5.6%25.0%2.0%2.2%249.8K-5.8M-69.8K0.4087.391,16046811,7587,655
2016-10-28$21.49$22.0029.8%8.5%13.1%15.7%27.0%6.0%-1.8%246.6K-5.9M-69.3K0.4477.931,07446911,7827,656
2016-10-31$21.40$22.0027.7%7.9%12.3%11.4%26.4%4.6%1.9%242.7K-5.2M-68.2K0.4883.141,12153511,7727,658