JBL Options History — January 2007

In January 2007, JBL traded between $23.82 and $25.23. ATM implied volatility averaged 27.8%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 10.4% (HV 20d: 17.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.90.

Notable Days

  • 2007-01-16: Highest Volume — 20,799 contracts
  • 2007-01-11: Largest IV spike — 18.5% change
  • 2007-01-16: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.53$23.82$25.23$24.98$23.99
Max Pain$22.75$22.50$25.00$25.00$22.50
ATM IV27.8%25.4%31.1%27.3%26.8%
Expected Move8.2%7.3%8.9%7.8%7.7%
HV 20d17.4%16.1%18.6%16.2%17.9%
Term Structure0.9%-0.8%3.6%3.1%0.9%
VWIV29.3%26.2%32.2%26.8%26.7%
Skew 25d2.9%-0.1%7.2%0.9%4.3%
Skew 10d3.5%-4.6%10.8%1.3%6.7%
Call IV 25d27.6%20.6%30.7%22.1%26.6%
Put IV 25d30.5%22.9%33.0%22.9%30.9%
Bid-Ask Spread %10.774.0716.844.0713.93
Gamma HHI0.370.190.630.360.24
Net GEX-205.4K-759.0K354.3K-442.4K174.5K
Net DEX-1.4M-13.8M8.7M4.3M-3.6M
Net VEX-269.2K-381.1K-140.3K-155.4K-381.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0512.840.060.05
Total Volume2,829.4518420,7992,905414
Total OI64,715.3555,36788,88560,62464,681

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$24.98$25.0027.3%7.8%0.0%0.0%26.8%0.9%3.1%-442.4K4.3M-155.4K0.064.072,73317239,25921,365
2007-01-04$25.23$25.0026.5%7.6%0.0%0.0%26.2%3.6%3.6%-413.4K2.0M-154.2K0.924.2940837639,21621,398
2007-01-05$25.03$22.5026.5%8.7%0.0%0.0%31.1%2.1%0.3%-441.4K2.9M-151.5K1.039.8315716239,21121,164
2007-01-08$25.04$22.5027.4%8.6%0.0%0.0%29.7%1.8%0.4%-503.5K3.1M-148.4K0.9510.8558855739,22421,264
2007-01-09$24.64$22.5028.7%8.7%0.0%0.0%30.4%0.9%-0.3%-561.5K7.3M-144.5K0.4111.4842217439,49121,263
2007-01-10$24.48$22.5025.5%8.7%0.0%0.0%30.3%2.3%-0.3%-627.2K8.1M-141.2K0.9610.59949039,63621,036
2007-01-11$24.45$22.5030.3%8.7%0.0%0.0%30.9%2.1%-0.8%-652.8K8.7M-140.3K0.4811.4733116039,66821,070
2007-01-12$24.92$22.5030.2%8.7%0.0%0.0%32.2%2.2%0.2%-654.2K3.0M-144.0K0.2912.506,7701,97139,81321,077
2007-01-16$25.08$22.5031.1%8.9%0.0%0.0%31.5%1.9%0.2%-572.1K-7.7M-185.9K0.9713.7110,53610,26345,96022,000
2007-01-17$24.81$22.5030.0%8.6%0.0%0.0%31.9%2.8%0.5%-759.0K-7.4M-372.0K3.7013.973121,15455,90032,133
2007-01-18$24.47$22.5030.0%8.6%0.0%0.0%31.2%1.9%0.1%-277.6K1.4M-362.0K1.9716.8444687956,11132,416
2007-01-19$24.21$22.5029.5%8.4%0.0%0.0%29.7%6.8%0.0%-21.1K3.7M-357.4K12.847.102322,97956,35332,532
2007-01-22$23.98$22.5026.8%7.7%0.0%0.0%26.8%7.2%2.1%151.9K-6.2M-351.7K0.118.161,61817332,28623,081
2007-01-23$24.17$22.5027.6%7.9%0.0%0.0%29.3%7.1%1.4%244.6K-8.6M-356.6K0.118.681,03311433,24423,082
2007-01-24$24.29$22.5027.4%7.8%0.0%0.0%28.2%-0.1%1.0%314.2K-10.3M-359.2K0.9511.9025824533,90223,096
2007-01-25$24.41$22.5026.4%7.6%16.2%0.0%26.5%-0.0%1.8%329.7K-11.7M-360.9K1.369.2320227534,09523,250
2007-01-26$24.61$22.5025.8%7.4%16.1%0.0%26.8%0.0%1.5%354.3K-13.8M-361.1K10.5314.787377,76334,22123,218
2007-01-29$23.95$22.5027.0%7.8%18.6%0.0%29.5%5.5%0.2%124.4K-2.4M-378.8K0.0910.227566934,60029,048
2007-01-30$23.82$22.5025.4%7.3%18.1%0.0%30.0%4.3%2.1%124.5K-1.4M-377.8K0.2111.8479816834,86029,083
2007-01-31$23.99$22.5026.8%7.7%17.9%0.0%26.7%4.3%0.9%174.5K-3.6M-381.1K0.0513.933932135,48929,192