JBL Options History — December 2016

In December 2016, JBL traded between $20.51 and $24.37. ATM implied volatility averaged 40.8%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.7% (HV 20d: 36.0%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2016-12-16: Highest Volume — 13,160 contracts
  • 2016-12-14: Largest IV drop — 62.6% change
  • 2016-12-09: Highest IV Rank — 100.0%
  • 2016-12-02: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.62$20.51$24.37$20.56$23.67
Max Pain$21.90$21.00$22.00$21.00$22.00
ATM IV40.8%23.6%89.3%46.6%24.5%
Expected Move8.8%6.8%13.5%13.4%7.0%
HV 20d36.0%24.9%45.7%29.8%41.8%
HV 60d28.7%24.5%31.1%28.5%30.8%
IV Rank36.2%2.1%100.0%50.3%3.4%
IV Percentile53.7%3.2%100.0%90.5%16.3%
Term Structure-1.0%-14.6%3.9%-13.6%2.0%
VWIV30.3%21.3%48.7%48.7%24.1%
Skew 25d2.4%-0.8%4.9%1.3%0.3%
Skew 10d6.4%-3.0%15.4%-1.1%-2.2%
Call IV 25d30.2%22.9%48.8%47.5%25.0%
Put IV 25d32.7%23.9%50.3%48.8%25.4%
Bid-Ask Spread %38.6816.9988.7976.2686.83
Gamma HHI0.230.150.310.150.26
Net GEX352.5K108.9K533.1K125.8K501.3K
Net DEX-11.7M-32.6M-771.9K-1.5M-15.2M
Net VEX-59.1K-65.2K-51.7K-63.8K-51.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.391.121.121.07
Total Volume2,6891,08613,1602,4561,586
Total OI24,554.38120,84132,96025,53121,416

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$20.56$21.0046.6%13.4%29.8%50.3%48.7%1.3%-13.6%125.8K-1.5M-63.8K1.1276.261,1591,29714,45111,080
2016-12-02$20.51$21.0047.0%13.5%29.4%51.2%48.7%1.6%-14.6%108.9K-771.9K-63.5K0.5277.843,2071,66514,71911,198
2016-12-05$21.01$22.0051.5%9.6%30.6%60.6%31.9%4.0%-1.5%153.2K-3.2M-64.0K0.4726.351,64776714,46611,622
2016-12-06$21.48$22.0054.6%9.7%29.6%67.0%31.8%4.4%-0.6%208.6K-6.0M-64.5K0.6020.561,20472514,40011,692
2016-12-07$21.33$22.0054.6%9.5%29.4%66.9%31.4%4.7%0.3%198.0K-5.3M-64.2K0.7724.0497874914,39911,813
2016-12-08$21.54$22.0058.2%9.5%29.4%92.3%31.8%4.9%-2.0%224.3K-6.6M-64.8K0.6723.871,04469714,52311,920
2016-12-09$21.63$22.0062.2%9.4%29.1%100.0%31.2%3.4%-0.3%256.4K-7.7M-65.2K0.6823.501,05971814,61212,048
2016-12-12$21.49$22.0077.2%10.0%28.5%100.0%34.4%4.5%-2.0%223.9K-6.2M-61.4K0.5621.541,37276414,71312,094
2016-12-13$21.68$22.0089.3%10.0%28.7%100.0%33.9%4.1%-3.1%252.5K-7.1M-61.5K0.3925.311,35552414,97112,246
2016-12-14$21.55$22.0033.4%9.6%28.6%16.7%33.4%2.2%-1.3%268.8K-7.3M-60.0K0.4826.301,39667015,11212,277
2016-12-15$21.66$22.0037.6%10.8%24.9%23.1%38.2%1.6%-3.7%284.5K-8.4M-60.7K0.6717.454,7063,15415,45412,488
2016-12-16$24.19$22.0025.8%7.4%45.7%5.4%26.6%2.1%3.9%468.6K-32.6M-57.0K0.4316.999,2293,93118,56514,395
2016-12-19$24.18$22.0023.9%6.9%45.4%2.6%25.5%1.2%2.1%507.3K-17.9M-56.8K0.6521.801,19978312,7048,137
2016-12-20$24.37$22.0024.4%7.0%45.2%3.3%23.7%3.2%2.4%524.2K-18.7M-55.7K0.7917.7870155112,7288,219
2016-12-21$24.25$22.0023.6%6.8%43.4%2.1%21.3%0.4%3.0%531.3K-18.6M-54.7K0.6930.7579354712,7788,384
2016-12-22$24.08$22.0024.4%7.0%43.5%3.3%24.4%1.8%2.0%510.6K-17.2M-55.0K0.6254.0490856112,5708,389
2016-12-23$24.10$22.0023.9%6.8%43.4%2.6%22.9%2.5%1.7%512.5K-16.9M-55.5K0.6665.1282154212,6258,556
2016-12-27$24.21$22.0024.0%6.9%43.0%2.7%23.4%1.1%1.8%533.1K-17.7M-53.3K0.7817.6170955312,6798,583
2016-12-28$23.77$22.0025.3%7.3%43.5%4.7%25.5%-0.8%1.6%492.1K-15.6M-53.8K0.8249.6561250012,6808,609
2016-12-29$23.79$22.0023.8%6.8%43.5%2.4%22.6%2.2%1.8%516.8K-15.5M-53.1K0.9888.7954853812,7178,610
2016-12-30$23.67$22.0024.5%7.0%41.8%3.4%24.1%0.3%2.0%501.3K-15.2M-51.7K1.0786.8376881812,7748,642