JBL Options History — February 2007 In February 2007, JBL traded between $24.24 and $27.64. ATM implied volatility averaged 26.3%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.8% (HV 20d: 19.5%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.89.
Notable Days 2007-02-26 : Highest Volume — 4,267 contracts2007-02-14 : Largest IV drop — 9.8% change2007-02-13 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $26.10 $24.24 $27.64 $24.24 $26.72 Max Pain $24.87 $22.50 $25.00 $22.50 $25.00 ATM IV 26.3% 24.6% 28.1% 26.6% 25.8% Expected Move 7.5% 7.1% 8.1% 7.6% 7.4% HV 20d 19.5% 17.8% 20.9% 18.0% 20.6% Term Structure 3.5% -0.1% 4.8% -0.1% 4.6% VWIV 27.1% 23.5% 32.0% 26.6% 26.8% Skew 25d 3.7% -4.5% 7.9% 4.5% 7.0% Skew 10d 5.9% -8.2% 17.7% 9.0% 10.0% Call IV 25d 24.8% 22.1% 27.2% 25.3% 23.4% Put IV 25d 28.5% 20.7% 31.8% 29.9% 30.4% Bid-Ask Spread % 12.03 7.17 28.04 17.16 13.10 Gamma HHI 0.20 0.14 0.26 0.25 0.23 Net GEX 135.4K -190.7K 311.3K 199.9K -190.7K Net DEX -24.1M -36.6M -6.6M -6.6M -23.2M Net VEX -382.7K -397.5K -362.6K -382.6K -397.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.89 0.20 14.46 0.37 0.58 Total Volume 1,646.053 314 4,267 314 581 Total OI 65,254.526 61,801 68,927 64,784 68,927
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-02-01 $24.24 $22.50 26.6% 7.6% 18.0% 0.0% 26.6% 4.5% -0.1% 199.9K -6.6M -382.6K 0.37 17.16 229 85 35,616 29,168 2007-02-02 $24.47 $25.00 26.3% 7.5% 18.0% 0.0% 26.2% 2.0% 3.6% 220.9K -9.5M -381.9K 0.68 10.35 489 334 35,782 29,193 2007-02-05 $24.47 $25.00 27.5% 7.7% 17.8% 0.0% 23.5% 2.9% 3.8% 208.2K -9.0M -381.7K 0.36 16.02 374 136 35,805 29,414 2007-02-06 $24.77 $25.00 26.0% 7.3% 18.4% 0.0% 25.7% 3.1% 4.8% 252.0K -12.6M -387.3K 0.93 11.46 701 651 36,049 29,345 2007-02-07 $25.51 $25.00 27.3% 7.4% 20.3% 0.0% 27.8% 3.0% 4.4% 285.4K -22.3M -391.6K 0.30 17.04 1,134 338 36,435 29,655 2007-02-08 $25.70 $25.00 25.5% 7.3% 20.2% 0.0% 26.3% 4.1% 4.4% 276.9K -25.0M -388.5K 0.29 9.83 376 110 36,493 29,629 2007-02-09 $25.87 $25.00 27.4% 7.9% 20.2% 0.0% 27.5% 2.5% 3.4% 271.0K -27.1M -389.3K 2.77 8.34 1,065 2,954 36,493 29,695 2007-02-12 $26.08 $25.00 28.0% 8.0% 19.3% 0.0% 28.0% 2.0% 2.8% 125.0K -27.8M -389.5K 0.86 7.21 303 262 36,759 31,135 2007-02-13 $26.03 $25.00 28.1% 8.1% 19.3% 0.0% 26.7% 2.9% 2.1% 111.1K -24.0M -385.4K 1.16 7.19 345 401 35,025 30,981 2007-02-14 $26.39 $25.00 25.4% 7.3% 19.2% 0.0% 29.3% 6.5% 3.6% -2.7K -28.1M -387.7K 3.93 7.17 742 2,914 35,208 31,168 2007-02-15 $26.89 $25.00 25.5% 7.3% 18.8% 0.0% 27.2% 2.0% 4.0% 311.3K -34.2M -381.2K 1.35 10.39 1,086 1,470 35,618 30,599 2007-02-16 $26.49 $25.00 25.0% 7.2% 19.4% 0.0% 26.6% 5.1% 3.8% 30.1K -29.2M -378.9K 0.50 8.99 686 343 35,507 30,563 2007-02-20 $26.34 $25.00 24.7% 7.1% 19.0% 0.0% 27.3% 6.0% 4.7% -27.8K -22.3M -375.7K 1.03 8.00 754 778 32,561 29,240 2007-02-21 $26.84 $25.00 26.0% 7.4% 19.7% 0.0% 29.7% 7.9% 3.5% 45.5K -27.5M -379.5K 2.23 10.73 320 714 33,021 29,691 2007-02-22 $27.35 $25.00 25.8% 7.4% 20.2% 0.0% 26.9% 3.6% 3.3% 133.6K -33.1M -373.7K 0.78 9.16 270 211 33,244 29,502 2007-02-23 $27.64 $25.00 24.6% 7.1% 20.3% 0.0% 24.0% -4.5% 4.3% 181.7K -36.6M -362.6K 0.20 14.59 1,726 339 33,333 29,600 2007-02-26 $27.45 $25.00 26.4% 7.6% 20.8% 0.0% 27.7% 3.0% 3.8% 155.3K -33.9M -367.4K 3.16 13.77 1,026 3,241 33,273 29,709 2007-02-27 $26.70 $25.00 27.4% 7.8% 20.9% 0.0% 32.0% 6.6% 2.0% -13.9K -25.9M -388.6K 14.46 28.04 245 3,542 33,950 32,450 2007-02-28 $26.72 $25.00 25.8% 7.4% 20.6% 0.0% 26.8% 7.0% 4.6% -190.7K -23.2M -397.5K 0.58 13.10 368 213 34,043 34,884
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