JBL Options History — March 2017

In March 2017, JBL traded between $25.79 and $29.02. ATM implied volatility averaged 35.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 15.6% (HV 20d: 20.0%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.58.

Notable Days

  • 2017-03-15: Highest Volume — 4,204 contracts
  • 2017-03-15: Largest IV drop — 63.5% change
  • 2017-03-14: Highest IV Rank — 95.2%
  • 2017-03-03: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.58$25.79$29.02$25.94$28.97
Max Pain$25.78$23.00$27.00$23.00$27.00
ATM IV35.5%19.4%86.0%35.6%19.4%
Expected Move7.6%5.6%12.3%10.2%5.6%
HV 20d20.0%16.2%23.5%18.8%19.4%
HV 60d22.9%18.3%28.1%28.0%18.4%
IV Rank21.7%0.0%95.2%20.2%0.0%
IV Percentile44.0%0.0%99.6%75.4%0.0%
Term Structure-1.4%-13.8%3.7%-6.0%1.4%
VWIV27.0%18.4%42.9%36.2%18.4%
Skew 25d2.4%0.4%4.4%2.6%2.2%
Skew 10d5.3%0.1%12.4%0.1%9.4%
Call IV 25d26.1%18.1%41.8%36.4%18.1%
Put IV 25d28.5%20.3%45.9%39.0%20.3%
Bid-Ask Spread %39.3519.5790.2490.2451.84
Gamma HHI0.200.160.430.240.18
Net GEX279.0K249.3K537.3K307.9K251.5K
Net DEX-12.9M-21.3M-10.7M-11.0M-12.8M
Net VEX-43.4K-45.4K-38.0K-44.1K-44.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.300.840.480.58
Total Volume1,816.4781,2314,2041,2311,320
Total OI12,122.1310,14316,42211,48311,758

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$25.94$23.0035.6%10.2%18.8%20.2%36.2%2.6%-6.0%307.9K-11.0M-44.1K0.4890.248314007,3424,141
2017-03-02$25.79$23.0041.6%11.9%18.9%29.2%42.9%4.4%-11.9%281.4K-10.7M-43.8K0.7776.509377237,3334,169
2017-03-03$25.97$24.0043.0%12.3%18.8%31.3%42.8%2.9%-13.8%266.8K-10.7M-45.0K0.5829.851,0826327,3924,474
2017-03-06$26.05$25.0046.4%8.9%18.7%36.3%30.6%2.4%-2.3%264.7K-10.8M-44.5K0.7325.457695627,4554,557
2017-03-07$26.30$25.0049.4%8.5%18.7%40.7%30.2%0.4%-2.2%265.0K-11.6M-43.4K0.5821.998304807,4844,592
2017-03-08$26.38$25.0050.9%8.8%18.6%43.0%30.4%3.2%-2.3%253.6K-11.7M-44.3K0.6230.108955517,5564,800
2017-03-09$26.25$25.0054.7%8.9%18.9%48.6%31.7%2.6%-1.9%272.5K-11.6M-44.5K0.6026.448865307,7674,847
2017-03-10$26.30$25.0056.4%8.4%17.8%51.2%30.7%2.3%-0.9%283.9K-11.8M-44.2K0.3023.201,8095357,8384,881
2017-03-13$26.44$26.0074.8%8.8%16.8%78.5%31.7%2.6%-1.7%270.2K-11.7M-43.3K0.5170.591,1866097,7995,013
2017-03-14$26.71$26.0086.0%9.2%17.0%95.2%30.8%3.2%-2.6%258.8K-12.4M-42.8K0.4473.801,6647307,8045,135
2017-03-15$26.93$26.0031.4%9.0%16.2%14.0%32.0%2.0%-2.0%276.4K-13.2M-43.0K0.4644.562,8801,3248,2655,478
2017-03-16$28.20$26.0022.9%6.6%21.5%1.5%22.0%0.8%1.1%537.3K-19.9M-41.4K0.5550.452,5181,3749,6696,753
2017-03-17$28.71$26.0020.7%5.9%21.9%0.0%20.8%1.8%3.7%279.5K-21.3M-41.3K0.5027.451,5437799,6656,731
2017-03-20$28.92$26.0019.7%5.6%21.8%0.0%21.4%2.8%1.2%258.0K-13.0M-38.0K0.5419.578934786,3263,817
2017-03-21$28.41$26.0021.4%6.1%23.1%2.4%21.5%1.2%0.9%262.9K-12.0M-40.4K0.5529.731,1076086,3143,913
2017-03-22$28.85$27.0020.7%5.9%23.5%1.4%22.5%2.9%1.1%249.3K-12.5M-44.5K0.5825.861,0115876,5534,141
2017-03-23$28.75$27.0020.5%5.9%23.4%1.2%21.2%1.8%1.6%262.6K-12.5M-45.4K0.5321.711,0205366,6914,274
2017-03-24$28.79$27.0019.8%5.7%23.4%0.2%21.5%2.7%0.9%261.4K-12.7M-43.6K0.5551.939275106,7014,336
2017-03-27$28.82$27.0020.6%5.9%23.4%1.3%21.3%4.0%1.0%263.2K-12.6M-45.1K0.6520.018795676,7454,370
2017-03-28$28.96$27.0021.4%6.1%19.8%2.5%21.4%1.3%0.4%264.3K-13.1M-43.5K0.6622.668495626,7494,375
2017-03-29$28.96$27.0020.2%5.8%19.6%0.7%20.3%2.4%0.8%264.6K-12.8M-45.1K0.7619.697926046,7844,509
2017-03-30$29.02$27.0019.7%5.6%19.2%0.0%19.8%2.3%1.3%261.0K-13.1M-43.5K0.8451.418016696,8324,681
2017-03-31$28.97$27.0019.4%5.6%19.4%0.0%18.4%2.2%1.4%251.5K-12.8M-44.1K0.5851.848384826,8544,904