JBL Options History — January 2017

In January 2017, JBL traded between $23.00 and $24.03. ATM implied volatility averaged 24.1%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 5.4% (HV 20d: 29.5%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2017-01-11: Highest Volume — 2,039 contracts
2017-01-19: Largest IV drop — 6.6% change
2017-01-18: Highest IV Rank — 6.1%
2017-01-09: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.52	$23.00	$24.03	$23.91	$23.97
Max Pain	$23.80	$22.00	$24.00	$22.00	$24.00
ATM IV	24.1%	22.6%	26.3%	24.7%	23.5%
Expected Move	7.1%	6.5%	7.8%	7.1%	6.7%
HV 20d	29.5%	16.5%	43.2%	41.6%	16.9%
HV 60d	31.2%	30.8%	31.5%	30.8%	31.1%
IV Rank	2.9%	0.7%	6.1%	3.7%	1.9%
IV Percentile	13.5%	1.2%	36.5%	19.8%	4.4%
Term Structure	4.3%	1.9%	6.4%	1.9%	5.6%
VWIV	24.2%	22.1%	26.9%	26.9%	24.7%
Skew 25d	2.8%	0.8%	4.5%	0.8%	4.5%
Skew 10d	8.0%	0.5%	16.1%	5.0%	16.1%
Call IV 25d	23.5%	21.9%	25.1%	25.1%	21.9%
Put IV 25d	26.3%	24.2%	28.4%	25.9%	26.3%
Bid-Ask Spread %	40.61	16.16	92.16	92.16	31.15
Gamma HHI	0.30	0.24	0.61	0.28	0.31
Net GEX	426.0K	182.6K	866.5K	524.6K	315.3K
Net DEX	-11.2M	-17.1M	-5.2M	-16.0M	-7.3M
Net VEX	-44.7K	-50.2K	-40.5K	-50.2K	-42.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.36	1.31	1.03	0.47
Total Volume	1,334.35	984	2,039	1,245	992
Total OI	18,201.2	9,499	23,107	21,647	10,653

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-01-03	$23.91	$22.00	24.7%	7.1%	41.6%	3.7%	26.9%	0.8%	1.9%	524.6K	-16.0M	-50.2K	1.03	92.16	612	633	12,790	8,857
2017-01-04	$24.03	$22.00	23.6%	6.8%	41.2%	2.1%	22.1%	2.0%	2.4%	580.2K	-17.1M	-48.9K	1.11	73.87	599	663	12,882	8,928
2017-01-05	$23.49	$24.00	24.5%	7.7%	42.0%	3.4%	25.1%	2.6%	3.2%	503.4K	-14.5M	-48.6K	1.14	16.16	689	783	12,950	9,028
2017-01-06	$23.39	$24.00	23.2%	7.6%	41.9%	1.6%	25.4%	4.4%	3.4%	461.6K	-13.2M	-48.7K	1.31	19.35	647	850	12,877	9,096
2017-01-09	$23.26	$24.00	24.2%	7.8%	42.0%	3.0%	25.8%	3.4%	2.6%	418.2K	-11.8M	-48.4K	1.17	19.70	667	778	13,029	9,185
2017-01-10	$23.39	$24.00	24.7%	7.5%	42.0%	3.8%	24.6%	3.3%	2.7%	436.7K	-12.3M	-47.5K	0.84	33.01	928	776	13,083	9,226
2017-01-11	$23.22	$24.00	25.4%	7.3%	42.1%	4.7%	24.6%	2.3%	3.9%	440.6K	-11.7M	-47.3K	0.61	18.04	1,265	774	13,440	9,232
2017-01-12	$23.34	$24.00	25.4%	7.3%	42.0%	4.7%	25.3%	4.3%	5.7%	506.0K	-13.1M	-46.4K	0.93	27.22	875	815	13,549	9,262
2017-01-13	$23.59	$24.00	24.6%	7.1%	41.9%	3.6%	24.3%	3.5%	4.0%	606.4K	-15.2M	-44.9K	0.63	17.13	801	503	13,583	9,330
2017-01-17	$23.00	$24.00	25.6%	7.3%	43.2%	5.1%	24.6%	3.0%	4.4%	511.5K	-11.8M	-42.7K	0.85	20.17	689	585	13,653	9,371
2017-01-18	$23.24	$24.00	26.3%	7.5%	16.7%	6.1%	24.5%	2.1%	3.4%	664.6K	-13.3M	-41.8K	0.79	28.48	726	575	13,718	9,346
2017-01-19	$23.10	$24.00	24.5%	7.0%	16.8%	3.5%	23.3%	3.3%	5.3%	866.5K	-12.8M	-41.5K	0.79	62.76	767	605	13,710	9,343
2017-01-20	$23.18	$24.00	23.3%	6.7%	16.5%	1.7%	22.7%	2.1%	6.4%	182.6K	-14.3M	-40.8K	0.63	54.36	991	623	13,754	9,353
2017-01-23	$23.24	$24.00	24.1%	6.9%	16.5%	2.8%	24.1%	2.7%	4.7%	188.7K	-5.2M	-40.5K	0.79	27.94	636	503	6,231	3,268
2017-01-24	$23.61	$24.00	22.8%	6.5%	17.6%	0.9%	23.8%	2.4%	6.3%	213.1K	-5.9M	-42.2K	0.50	46.65	677	339	6,391	3,481
2017-01-25	$23.87	$24.00	22.6%	6.5%	18.1%	0.7%	23.3%	1.7%	5.5%	238.0K	-6.7M	-42.2K	0.43	90.69	771	332	6,513	3,529
2017-01-26	$23.82	$24.00	23.1%	6.6%	18.0%	1.4%	22.7%	1.7%	4.6%	272.1K	-7.0M	-42.7K	0.39	21.03	763	301	6,774	3,550
2017-01-27	$23.88	$24.00	22.7%	6.5%	16.8%	0.7%	22.2%	2.0%	5.5%	293.0K	-7.3M	-42.9K	0.36	80.24	860	310	6,889	3,560
2017-01-30	$23.79	$24.00	23.6%	6.8%	16.9%	2.2%	24.4%	4.3%	5.5%	296.1K	-7.0M	-43.3K	0.46	32.07	674	310	7,032	3,578
2017-01-31	$23.97	$24.00	23.5%	6.7%	16.9%	1.9%	24.7%	4.5%	5.6%	315.3K	-7.3M	-42.9K	0.47	31.15	677	315	7,058	3,595