JBL Options History — September 2020

In September 2020, JBL traded between $30.66 and $35.25. ATM implied volatility averaged 47.6%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 9.1% (HV 20d: 38.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2020-09-23: Highest Volume — 22,662 contracts
  • 2020-09-08: Largest IV spike — 13.4% change
  • 2020-09-08: Highest IV Rank — 27.1%
  • 2020-09-23: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.97$30.66$35.25$34.29$34.09
Max Pain$32.69$30.00$35.00$35.00$30.00
ATM IV47.6%40.7%52.6%44.4%41.4%
Expected Move13.6%11.0%16.5%11.0%11.5%
HV 20d38.5%23.9%47.3%23.9%46.8%
HV 60d35.3%33.1%38.6%37.8%34.5%
IV Rank22.6%16.5%27.1%19.9%17.1%
IV Percentile59.5%46.4%69.8%59.9%48.0%
Term Structure-1.0%-14.8%3.5%-0.9%3.5%
VWIV47.3%35.9%58.8%35.9%41.0%
Skew 25d6.1%-0.3%10.0%4.9%6.4%
Skew 10d11.4%-6.5%29.2%0.6%13.6%
Call IV 25d45.6%39.3%53.6%44.5%39.3%
Put IV 25d51.8%45.6%56.8%49.5%45.8%
Bid-Ask Spread %38.3126.1860.6138.1043.48
Gamma HHI0.200.120.550.200.14
Net GEX550.3K87.0K2.6M447.7K615.3K
Net DEX-22.0M-43.2M-11.3M-22.4M-26.9M
Net VEX-100.4K-109.2K-81.6K-84.6K-105.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.022.980.190.18
Total Volume2,443.52429422,6622942,331
Total OI22,206.04817,06642,34917,06621,932

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$34.29$35.0044.4%11.0%23.9%19.9%35.9%4.9%-0.9%447.7K-22.4M-84.6K0.1938.102484612,5664,500
2020-09-02$35.25$34.5046.9%11.2%25.6%22.0%40.0%10.0%-0.1%393.4K-25.6M-81.6K0.1142.674374812,6674,543
2020-09-03$33.39$35.0049.7%13.9%32.0%24.5%46.3%4.7%-1.6%582.3K-19.7M-86.7K0.0248.861,2502613,0154,584
2020-09-04$33.00$35.0046.4%14.1%32.0%21.6%49.2%6.6%-14.8%1.4M-20.2M-100.8K0.9760.6159057414,1964,651
2020-09-08$31.28$35.0052.6%15.0%36.7%27.1%53.5%7.8%-0.4%215.9K-14.5M-100.1K2.1135.5737679513,6284,922
2020-09-09$31.30$35.0050.1%14.7%36.4%24.9%50.2%-0.3%0.7%191.7K-14.4M-100.6K1.8841.3434765213,8105,594
2020-09-10$30.87$34.0050.9%14.5%36.4%25.6%50.3%3.9%-1.0%126.8K-12.0M-101.4K2.0236.7532665914,0526,224
2020-09-11$30.66$34.0051.7%14.2%36.3%26.4%49.1%7.6%-4.4%87.0K-11.3M-102.1K1.0229.7339540214,2766,730
2020-09-14$31.86$34.0050.3%14.4%39.6%25.1%48.6%7.5%-3.4%128.3K-15.4M-102.9K0.2042.853206514,1436,765
2020-09-15$32.74$33.0048.3%13.8%41.0%23.3%47.0%8.8%0.4%232.9K-19.1M-101.8K0.0945.715094414,3636,782
2020-09-16$32.92$32.0048.4%13.9%40.2%23.4%47.5%7.4%-2.5%253.3K-20.2M-102.8K0.0544.715122514,5996,780
2020-09-17$32.85$32.0049.0%14.0%39.0%23.9%50.1%8.6%-0.8%275.6K-20.5M-103.1K0.1631.1363510014,8196,756
2020-09-18$33.66$32.0046.7%13.4%38.3%21.8%48.2%6.2%-0.3%398.1K-24.6M-102.1K0.6339.421,6551,03515,3336,844
2020-09-21$33.00$32.0050.8%15.2%38.7%25.5%51.5%4.2%0.1%372.3K-22.6M-101.9K0.2128.091,12523314,0025,440
2020-09-22$33.43$32.0050.8%15.4%39.0%25.5%54.2%4.1%-1.5%475.3K-25.4M-103.8K2.9826.344931,46714,9955,647
2020-09-23$32.43$32.0051.2%16.5%40.3%25.9%58.8%5.4%0.5%320.1K-21.1M-106.4K0.5236.3914,8947,76815,2266,665
2020-09-24$34.53$30.0045.2%13.1%46.4%20.5%46.2%8.2%-2.2%2.6M-43.2M-109.2K0.2840.174,3681,23329,01013,339
2020-09-25$33.65$30.0043.0%12.5%47.3%18.5%44.2%4.7%1.6%1.3M-32.8M-104.2K0.6628.131,6531,08328,11113,230
2020-09-28$33.86$30.0040.8%11.7%46.5%16.6%40.9%5.9%3.3%533.7K-25.2M-103.3K0.5738.3593053114,3816,208
2020-09-29$33.41$30.0040.7%11.7%46.1%16.5%40.8%6.5%2.9%613.2K-24.3M-103.3K1.5426.1844668814,8636,136
2020-09-30$34.09$30.0041.4%11.5%46.8%17.1%41.0%6.4%3.5%615.3K-26.9M-105.0K0.1843.481,97036115,1386,794