JBL Options History — November 2016

In November 2016, JBL traded between $20.43 and $21.70. ATM implied volatility averaged 36.4%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 15.2% (HV 20d: 21.2%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-11-23: Highest Volume — 4,595 contracts
  • 2016-11-04: Largest IV spike — 24.9% change
  • 2016-11-30: Highest IV Rank — 50.5%
  • 2016-11-30: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.13$20.43$21.70$21.10$21.16
Max Pain$20.24$20.00$22.00$22.00$21.00
ATM IV36.4%27.0%46.7%28.2%46.7%
Expected Move10.3%7.8%13.4%8.1%13.4%
HV 20d21.2%13.0%28.9%13.0%28.4%
HV 60d25.8%23.7%28.0%23.7%28.0%
IV Rank29.3%10.0%50.5%12.5%50.5%
IV Percentile65.7%35.7%90.5%44.0%90.5%
Term Structure-4.8%-14.1%4.4%4.4%-14.1%
VWIV35.4%29.7%45.2%31.0%38.9%
Skew 25d3.3%0.1%9.7%3.8%0.7%
Skew 10d6.4%-9.9%20.0%18.6%-3.5%
Call IV 25d35.4%27.7%46.1%28.2%46.1%
Put IV 25d38.7%32.0%46.8%32.0%46.8%
Bid-Ask Spread %61.3423.1796.8137.5128.88
Gamma HHI0.190.150.210.190.18
Net GEX220.4K99.9K335.0K213.7K200.1K
Net DEX-4.3M-8.0M-1.2M-3.9M-4.6M
Net VEX-63.9K-69.9K-58.7K-65.9K-66.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.373.230.611.22
Total Volume2,539.5711,7624,5951,8242,181
Total OI20,999.23819,35325,29819,35325,298

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$21.10$22.0028.2%8.1%13.0%12.5%31.0%3.8%4.4%213.7K-3.9M-65.9K0.6137.511,13369111,7397,614
2016-11-02$20.79$22.0028.7%8.2%13.2%13.4%30.9%6.4%0.5%183.8K-2.7M-63.7K0.6487.601,08569011,7367,670
2016-11-03$20.52$20.0030.0%9.2%13.5%16.1%30.2%4.0%-2.7%161.3K-1.9M-62.0K0.6289.151,08667611,7337,687
2016-11-04$20.46$20.0037.4%9.4%13.4%31.5%29.7%2.5%-0.9%164.1K-1.8M-62.2K0.6388.601,10369411,7407,687
2016-11-07$21.11$20.0035.1%8.9%18.1%26.7%30.5%7.2%-1.9%202.4K-3.5M-63.8K0.6177.981,16870911,7287,681
2016-11-08$21.38$20.0035.8%9.3%18.3%28.1%30.7%6.7%-1.7%231.8K-4.7M-65.1K0.6190.931,16870711,7047,700
2016-11-09$21.58$20.0027.0%7.8%18.6%10.0%32.3%9.7%1.3%258.6K-5.1M-63.1K0.5894.931,36578511,7357,700
2016-11-10$21.33$20.0032.6%9.4%18.7%21.6%31.0%2.2%-1.3%244.8K-5.0M-63.9K0.5496.811,38474211,8327,765
2016-11-11$21.70$20.0031.5%9.0%19.7%19.3%32.1%4.6%-0.6%293.9K-6.0M-63.3K0.6593.641,36088511,7857,773
2016-11-14$21.65$20.0035.0%10.0%19.7%26.5%35.6%4.5%-5.1%282.6K-6.5M-63.7K0.7471.111,33398011,8197,854
2016-11-15$21.46$20.0036.0%10.3%18.8%28.6%36.0%3.0%-5.5%250.9K-5.3M-63.2K0.6470.381,32084011,8208,024
2016-11-16$20.67$20.0035.8%10.3%22.5%28.1%35.6%2.7%-4.4%124.2K-1.8M-58.7K0.7062.311,37096411,8218,011
2016-11-17$20.64$20.0035.7%10.2%22.4%27.9%36.4%3.6%-4.8%130.9K-1.7M-58.7K0.8164.331,8661,51911,9058,190
2016-11-18$20.46$20.0037.5%10.8%22.5%31.6%37.8%1.3%-4.3%160.7K-1.2M-59.9K1.1556.042,0242,33712,6208,956
2016-11-21$20.43$20.0037.7%10.8%22.2%32.0%37.3%1.3%-6.3%99.9K-1.2M-61.5K1.0723.851,2131,29712,2939,752
2016-11-22$21.36$20.0038.4%11.0%28.0%33.4%40.9%0.8%-8.0%203.3K-5.6M-66.3K0.7342.931,6171,17612,3539,773
2016-11-23$21.70$20.0040.7%11.7%28.6%38.3%40.6%1.3%-10.2%279.9K-7.8M-68.0K0.3732.483,3581,23713,0579,850
2016-11-25$21.62$20.0042.5%12.2%28.4%42.0%39.3%0.1%-11.0%335.0K-8.0M-69.9K0.9528.811,3431,27714,1389,962
2016-11-28$21.39$20.0045.7%13.1%28.7%48.5%40.7%2.3%-12.5%315.0K-6.8M-67.2K1.2323.171,1041,36114,15610,014
2016-11-29$21.17$20.0045.8%13.1%28.9%48.8%45.2%0.8%-12.2%291.8K-5.7M-65.6K3.2326.729903,19314,26410,045
2016-11-30$21.16$21.0046.7%13.4%28.4%50.5%38.9%0.7%-14.1%200.1K-4.6M-66.6K1.2228.889811,20014,25011,048