JBL Options History — September 2017

In September 2017, JBL traded between $27.86 and $31.46. ATM implied volatility averaged 32.9%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 11.1% (HV 20d: 21.8%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2017-09-27: Highest Volume — 11,830 contracts
  • 2017-09-28: Largest IV drop — 28.2% change
  • 2017-09-25: Highest IV Rank — 25.5%
  • 2017-09-25: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.18$27.86$31.46$31.38$28.52
Max Pain$30.70$29.00$31.00$29.00$29.00
ATM IV32.9%24.8%37.1%31.9%24.8%
Expected Move9.0%5.8%11.0%5.8%7.1%
HV 20d21.8%16.1%35.8%19.1%35.8%
HV 60d21.5%19.7%25.5%22.4%25.5%
IV Rank19.4%7.7%25.5%18.0%7.7%
IV Percentile76.1%46.4%88.5%72.2%46.4%
Term Structure-1.5%-3.7%0.7%-0.7%0.7%
VWIV31.4%20.7%38.0%20.7%24.1%
Skew 25d4.1%2.1%6.6%4.9%2.6%
Skew 10d8.9%5.3%11.1%10.6%6.8%
Call IV 25d31.4%23.7%34.5%30.6%23.7%
Put IV 25d35.5%26.3%40.3%35.4%26.3%
Bid-Ask Spread %23.9213.4544.5013.4515.68
Gamma HHI0.210.170.260.200.26
Net GEX-349.1K-1.6M544.3K-187.8K197.3K
Net DEX1.3M-13.9M22.5M-7.5M13.5M
Net VEX-141.9K-165.8K-124.5K-126.2K-143.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.204.620.472.31
Total Volume5,134.52,21811,8302,8485,880
Total OI37,674.331,07645,72031,34342,595

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$31.38$29.0031.9%5.8%19.1%18.0%20.7%4.9%-0.7%-187.8K-7.5M-126.2K0.4713.451,93291611,06120,282
2017-09-05$30.86$31.0033.7%8.6%19.7%20.5%30.4%6.6%-2.1%-323.4K-2.9M-127.6K0.5624.851,56987110,93320,143
2017-09-06$30.42$31.0033.7%8.9%20.1%20.5%31.0%3.7%-2.8%-421.0K-357.5K-127.4K0.8519.751,3561,14911,15620,239
2017-09-07$30.36$31.0033.6%8.9%19.8%20.4%31.8%4.9%-1.7%-526.8K1.1M-128.6K1.0222.241,3411,36611,20220,654
2017-09-08$30.42$31.0034.4%9.2%16.1%21.5%31.1%5.4%-1.9%-559.9K1.2M-129.1K0.7721.191,9111,46411,39521,068
2017-09-11$31.25$31.0033.9%9.1%18.1%20.8%31.6%3.0%-2.3%-57.1K-5.8M-124.5K0.2021.336,9061,36811,54921,116
2017-09-12$31.14$31.0034.3%9.2%18.0%21.4%32.0%2.4%-1.7%288.8K-11.0M-142.7K0.3930.822,48395715,22821,443
2017-09-13$30.99$31.0032.1%8.9%18.1%18.2%31.1%4.2%-0.9%272.0K-10.2M-146.1K0.6720.512,1741,45915,68821,547
2017-09-14$30.71$31.0031.9%8.7%18.0%17.9%30.5%2.7%-2.2%78.2K-7.1M-149.1K1.0322.042,9052,97816,41822,097
2017-09-15$30.72$31.0032.5%8.9%17.0%18.7%31.5%3.0%-1.8%-531.3K-5.3M-151.0K1.8123.283,9377,11117,00023,944
2017-09-18$30.78$31.0032.5%9.1%16.9%18.8%31.8%4.5%-1.3%-130.0K-3.4M-149.4K3.5023.241,7316,06114,60226,893
2017-09-19$31.46$31.0032.4%9.2%17.8%18.6%31.9%3.7%-1.3%544.3K-13.9M-147.1K0.8522.951,1961,02215,46727,030
2017-09-20$30.42$31.0035.2%10.1%21.1%22.6%33.9%5.3%-3.7%-710.0K3.1M-151.5K0.6927.181,5891,09115,51727,083
2017-09-21$29.75$31.0034.5%9.9%22.6%21.6%34.0%3.3%-1.2%-1.6M10.3M-147.2K0.8424.641,7651,48116,10727,202
2017-09-22$29.45$31.0034.2%9.9%22.7%21.3%34.7%4.3%-1.5%-585.9K14.1M-145.2K0.7822.271,4601,13215,76127,703
2017-09-25$28.32$31.0037.1%11.0%26.3%25.5%38.0%5.8%-1.6%-644.8K14.7M-134.4K4.6235.951,1615,36412,71620,099
2017-09-26$27.86$31.0035.2%10.5%26.6%22.6%36.0%5.2%-0.6%-944.5K22.5M-144.3K2.2322.372,1844,87512,99423,833
2017-09-27$28.82$31.0035.1%10.7%29.7%22.5%36.8%5.1%-1.0%-847.3K14.0M-157.1K1.0544.505,7666,06413,87224,129
2017-09-28$29.91$29.0025.2%7.1%32.7%8.3%26.2%2.1%-0.2%-309.3K-836.6K-165.8K1.5220.072,6604,05517,00928,711
2017-09-29$28.52$29.0024.8%7.1%35.8%7.7%24.1%2.6%0.7%197.3K13.5M-143.5K2.3115.681,7754,10516,62925,966