JBL Options History — March 2020

In March 2020, JBL traded between $18.43 and $34.58. ATM implied volatility averaged 85.6%, placing in the 80.3% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded below realized volatility by 0.8% (HV 20d: 86.3%). Max pain ranged from $30.00 to $38.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.44.

Notable Days

  • 2020-03-02: Highest Volume — 2,478 contracts
  • 2020-03-24: Largest IV drop — 31.2% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 38.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.70$18.43$34.58$33.15$24.39
Max Pain$32.57$30.00$38.00$38.00$30.00
ATM IV85.6%50.6%134.3%54.1%70.7%
Expected Move24.7%16.5%38.5%16.8%21.6%
HV 20d86.3%40.1%133.1%42.3%131.5%
HV 60d57.3%34.5%79.9%35.0%79.9%
IV Rank80.3%43.2%100.0%89.0%43.7%
IV Percentile98.5%94.4%100.0%99.6%94.4%
Term Structure-3.2%-16.4%13.3%-3.5%-1.5%
VWIV83.3%55.3%132.1%57.7%72.2%
Skew 25d24.0%7.0%50.3%7.5%29.5%
Skew 10d35.7%-45.4%82.0%5.4%38.1%
Call IV 25d72.3%48.8%108.9%49.3%51.4%
Put IV 25d96.3%56.7%148.1%56.8%80.9%
Bid-Ask Spread %65.5031.8894.4266.4089.32
Gamma HHI0.210.100.370.130.28
Net GEX-51.0K-306.3K86.1K-172.9K60.1K
Net DEX1.5M-12.4M11.7M-7.5M-635.0K
Net VEX-103.5K-136.4K-67.3K-126.9K-92.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.2612.378.830.81
Total Volume577572,4782,478147
Total OI21,638.54517,40624,54721,43617,794

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$33.15$38.0054.1%16.8%42.3%89.0%57.7%7.5%-3.5%-172.9K-7.5M-126.9K8.8366.402522,22612,8018,635
2020-03-03$33.45$37.5053.6%18.1%40.1%87.8%61.1%9.4%-3.7%-214.9K-8.1M-133.2K2.5463.5614236113,0219,840
2020-03-04$34.58$37.0050.6%17.3%42.1%79.7%58.9%7.0%-1.0%-221.2K-12.4M-132.9K0.9362.0713312413,12310,231
2020-03-05$32.93$35.0061.0%16.5%44.5%100.0%55.3%10.5%-2.9%-214.8K-6.2M-136.2K0.7833.9854242413,22610,310
2020-03-06$32.17$35.0063.7%18.0%44.7%100.0%64.2%7.6%1.0%-306.3K-3.5M-136.4K3.8231.8811845113,62710,602
2020-03-09$29.44$35.0077.6%21.0%52.1%100.0%71.7%15.8%-1.8%-173.0K2.0M-129.8K2.7153.3112032513,35510,039
2020-03-10$31.06$35.0069.8%19.1%57.4%86.4%65.1%18.3%-2.8%-210.1K-1.5M-133.7K1.0042.0811811813,32210,069
2020-03-11$27.23$35.0083.8%24.1%70.3%100.0%77.7%18.8%2.1%-100.2K6.3M-118.3K12.3747.671221,50913,38510,134
2020-03-12$24.01$35.00108.7%29.7%78.4%100.0%97.4%50.3%-7.3%-48.8K9.8M-101.9K1.2060.0322627213,47410,458
2020-03-13$23.29$34.00106.9%30.6%78.4%98.0%88.1%33.4%1.2%-30.4K11.7M-96.0K0.5066.9272336213,53711,010
2020-03-16$22.11$30.00116.8%33.2%79.0%100.0%112.8%34.8%-5.3%3.5K8.3M-93.0K0.4661.1326111913,4439,739
2020-03-17$21.65$30.00113.7%32.4%78.9%96.8%114.8%37.1%-8.6%24.2K9.4M-87.3K2.8462.195515613,6369,752
2020-03-18$18.43$30.00134.3%38.5%90.5%100.0%132.1%39.3%-16.4%39.5K9.5M-70.2K6.2170.878150313,6779,646
2020-03-19$20.54$30.00117.9%34.0%103.4%85.6%118.0%37.1%0.9%33.3K8.2M-82.5K0.7368.9121315613,7389,421
2020-03-20$18.64$30.00110.6%31.6%105.9%79.2%95.7%33.7%-15.4%49.1K9.5M-67.7K1.0480.2816216913,7819,374
2020-03-23$18.95$30.00111.0%29.6%107.5%79.4%97.6%38.2%-10.6%55.2K3.4M-67.3K0.6864.341419611,5275,879
2020-03-24$21.70$30.0076.3%19.8%122.8%48.7%71.4%7.0%2.8%86.1K2.7M-77.5K0.2673.043348711,6195,862
2020-03-25$24.32$30.0070.2%23.2%132.3%43.2%90.1%30.6%13.3%84.3K-2.7M-99.4K2.6382.8221556512,0715,873
2020-03-26$25.16$30.0078.5%21.4%132.6%50.6%75.5%10.8%0.3%47.9K-3.3M-101.6K1.2374.1512014812,1006,407
2020-03-27$23.82$30.0075.9%22.4%133.1%48.3%81.0%26.2%-3.1%47.6K-1.3M-95.6K1.1394.4211312812,1796,541
2020-03-30$24.38$30.0077.0%25.1%131.7%49.3%75.4%25.3%-8.9%39.2K-1.3M-96.3K0.9091.70302711,5726,218
2020-03-31$24.39$30.0070.7%21.6%131.5%43.7%72.2%29.5%-1.5%60.1K-635.0K-92.9K0.8189.32816611,5726,222