JBL Options History — March 2007

In March 2007, JBL traded between $21.39 and $26.54. ATM implied volatility averaged 29.7%. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.4% (HV 20d: 29.3%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.33.

Notable Days

  • 2007-03-23: Highest Volume — 16,865 contracts
  • 2007-03-12: Largest IV spike — 52.0% change
  • 2007-03-21: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.94$21.39$26.54$26.52$21.41
Max Pain$26.59$25.00$27.50$25.00$25.00
ATM IV29.7%22.4%37.5%26.0%24.6%
Expected Move8.8%7.0%10.8%7.5%7.0%
HV 20d29.3%21.1%46.2%21.1%46.2%
HV 60d25.4%20.7%32.9%20.7%32.1%
Term Structure-1.5%-5.8%4.5%4.5%1.6%
VWIV31.3%25.5%37.1%30.1%25.6%
Skew 25d3.4%-0.2%6.4%4.9%4.7%
Skew 10d6.1%-3.7%11.6%7.5%7.4%
Call IV 25d29.9%22.1%35.7%25.1%25.1%
Put IV 25d33.3%28.5%39.9%30.0%29.8%
Bid-Ask Spread %11.263.8115.0113.1311.45
Gamma HHI0.330.190.480.250.27
Net GEX-617.0K-1.0M-33.2K-193.9K-485.6K
Net DEX5.2M-26.0M50.5M-21.2M39.3M
Net VEX-393.0K-429.2K-324.6K-397.2K-330.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.047.440.430.66
Total Volume4,517.77327316,8654282,778
Total OI79,831.95569,24593,22969,24587,588

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$26.52$25.0026.0%7.5%21.1%0.0%30.1%4.9%4.5%-193.9K-21.2M-397.2K0.4313.1329912934,28434,961
2007-03-02$26.35$25.0026.4%7.6%21.4%0.0%27.1%2.4%3.7%-226.1K-19.3M-397.8K0.5714.6117610134,36635,030
2007-03-05$26.45$27.5027.6%8.8%21.3%0.0%31.6%2.4%-1.1%-202.1K-20.3M-393.4K0.0411.103,91415334,40635,061
2007-03-06$26.51$27.5025.5%8.2%21.3%0.0%30.9%3.1%-0.5%-33.2K-26.0M-400.0K7.4414.363942,93037,00235,166
2007-03-07$25.90$27.5026.1%9.3%23.1%0.0%31.8%3.5%-2.5%-342.3K-14.0M-411.7K6.3313.856854,33636,69537,719
2007-03-08$26.54$27.5026.8%8.8%22.4%0.0%33.4%3.9%-1.7%-632.6K-14.6M-412.4K6.5110.221631,06134,75741,377
2007-03-09$26.29$27.5022.4%8.9%22.6%0.0%32.0%3.0%-2.1%-664.5K-12.3M-408.2K0.7211.9315911434,77941,267
2007-03-12$25.94$27.5034.1%9.5%23.1%0.0%34.1%4.1%-1.9%-738.9K-7.4M-406.3K0.2214.3859013234,80741,338
2007-03-13$25.52$27.5031.7%9.8%23.6%0.0%34.1%3.3%-4.5%-871.1K-2.8M-399.4K4.9514.131,0715,29935,01041,237
2007-03-14$26.20$27.5036.0%10.1%25.5%0.0%34.8%3.2%-4.6%-826.7K-10.7M-410.9K3.0513.536521,98835,49244,104
2007-03-15$26.30$27.5032.5%9.3%25.1%0.0%34.1%4.3%-3.6%-695.3K-12.3M-408.6K6.5113.981,0556,86635,58644,804
2007-03-16$26.09$27.5034.3%9.8%24.2%0.0%33.9%3.6%-4.7%-954.9K-7.1M-413.9K4.0915.011,5126,19036,07447,296
2007-03-19$25.94$27.5035.8%10.3%23.7%0.0%34.1%3.6%-4.0%-1.0M-2.6M-429.2K0.438.911,44962732,57644,234
2007-03-20$25.79$27.5036.3%10.4%23.7%0.0%35.0%3.9%-5.6%-930.4K-1.3M-427.8K0.2611.0276319533,51543,684
2007-03-21$26.00$27.5037.5%10.8%22.8%0.0%36.2%3.0%-5.8%-844.7K-4.5M-428.5K0.6812.711,7881,21633,98343,785
2007-03-22$24.93$27.5037.1%10.6%25.6%0.0%37.1%4.4%-5.5%-896.6K10.7M-425.6K0.408.199,9334,01635,23344,259
2007-03-23$22.26$25.0027.0%7.7%45.7%0.0%25.5%4.1%0.8%-679.8K48.6M-341.2K2.147.785,37111,49442,54246,268
2007-03-26$22.10$25.0027.3%7.8%45.7%0.0%26.0%-0.2%1.3%-618.0K47.9M-349.4K1.064.693,0933,29143,02746,660
2007-03-27$22.24$25.0026.5%7.6%45.7%0.0%26.5%0.4%1.6%-638.9K45.9M-368.2K1.193.811,0851,29244,90048,329
2007-03-28$22.04$25.0026.3%7.5%45.5%0.0%26.5%6.4%0.7%-605.9K46.8M-361.2K0.346.351,20240545,30047,341
2007-03-29$21.39$25.0025.5%7.3%46.1%0.0%28.3%3.5%1.8%-486.4K50.5M-324.6K3.2112.692,2367,18844,84845,613
2007-03-30$21.41$25.0024.6%7.0%46.2%0.0%25.6%4.7%1.6%-485.6K39.3M-330.3K0.6611.451,6781,10045,90341,685