JBL Options History — May 2007

In May 2007, JBL traded between $22.48 and $24.20. ATM implied volatility averaged 27.5%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.6% (HV 20d: 21.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2007-05-23: Highest Volume — 11,922 contracts
  • 2007-05-10: Largest IV spike — 91.6% change
  • 2007-05-23: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.25$22.48$24.20$23.42$23.00
Max Pain$24.66$22.50$25.00$22.50$25.00
ATM IV27.5%14.0%34.7%26.1%28.8%
Expected Move8.0%6.7%9.9%7.5%8.3%
HV 20d21.9%16.5%24.7%16.5%23.2%
HV 60d32.4%32.0%32.9%32.3%32.5%
Term Structure1.8%-1.8%4.3%1.7%3.3%
VWIV27.8%24.5%34.3%25.6%28.8%
Skew 25d2.3%-7.5%5.5%-0.4%-3.4%
Skew 10d8.2%-7.2%17.7%-1.7%-7.2%
Call IV 25d27.2%21.6%32.6%26.5%30.1%
Put IV 25d29.5%17.3%36.1%26.1%26.8%
Bid-Ask Spread %10.334.8419.8917.664.84
Gamma HHI0.270.180.490.200.26
Net GEX-131.5K-684.5K135.1K-284.7K87.7K
Net DEX4.1M-8.9M18.4M3.8M5.6M
Net VEX-368.6K-408.3K-328.1K-365.1K-387.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.222.460.451.09
Total Volume2,748.86442311,922976797
Total OI85,639.54577,79495,39177,79494,883

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$23.42$22.5026.1%7.5%16.5%0.0%25.6%-0.4%1.7%-284.7K3.8M-365.1K0.4517.6667430242,35735,437
2007-05-02$23.74$22.5026.5%7.6%16.8%0.0%25.5%2.0%-0.1%-227.1K-539.5K-365.7K0.3016.264,1321,23942,52035,449
2007-05-03$24.20$22.5025.1%7.2%17.2%0.0%24.5%-7.5%-1.8%134.0K-8.9M-382.5K1.028.7790192345,12235,812
2007-05-04$23.87$25.0023.8%6.7%18.3%0.0%25.4%4.5%4.3%-42.7K-1.9M-373.6K2.008.2936973845,03736,227
2007-05-07$23.69$25.0027.3%7.6%18.6%0.0%26.0%3.1%2.3%-108.6K881.2K-364.3K0.497.1464631545,19136,523
2007-05-08$24.07$25.0024.7%7.2%19.0%0.0%26.7%1.0%3.1%43.3K-6.7M-372.0K0.378.9856621245,24036,543
2007-05-09$23.95$25.0014.0%7.2%19.4%0.0%26.1%5.1%3.1%-3.6K-4.9M-364.0K1.086.2922223945,25236,657
2007-05-10$23.14$25.0026.9%7.7%24.0%0.0%25.3%3.7%2.3%-283.2K9.5M-343.9K1.487.2533649845,29236,719
2007-05-11$23.40$25.0027.3%7.8%23.8%0.0%27.1%3.9%2.6%-194.9K5.2M-357.4K1.076.1582188045,05036,811
2007-05-14$23.15$25.0029.3%8.4%23.1%0.0%28.8%3.4%1.4%-289.0K8.8M-349.5K1.099.0746450645,73337,464
2007-05-15$22.84$25.0028.0%8.0%23.3%0.0%24.8%4.8%2.5%-380.0K12.7M-344.4K1.0212.6828629345,86337,658
2007-05-16$22.80$25.0027.7%7.9%23.2%0.0%27.3%5.5%1.4%-486.5K14.1M-330.6K1.4819.897131,05846,07337,705
2007-05-17$22.48$25.0027.6%7.9%23.6%0.0%27.2%3.8%2.5%-684.5K18.4M-328.1K0.7112.314,1832,97046,08538,110
2007-05-18$22.57$25.0028.0%8.0%23.1%0.0%28.4%1.6%3.4%-585.0K15.7M-345.0K0.2414.344,7601,13048,56939,471
2007-05-21$22.61$25.0027.8%8.0%22.9%0.0%29.5%0.6%1.3%-92.6K11.3M-350.0K0.556.644,1912,32245,86437,225
2007-05-22$23.18$25.0029.8%8.5%24.5%0.0%29.8%2.8%0.5%-34.7K1.9M-381.5K0.288.233,40896847,45638,467
2007-05-23$23.46$25.0034.7%9.9%24.7%0.0%34.3%3.5%-1.8%126.8K-5.7M-407.0K0.228.659,7702,15250,00039,256
2007-05-24$22.99$25.0029.8%8.6%24.1%0.0%30.1%3.6%2.5%123.3K1.8M-408.3K2.0416.361,2232,49555,25639,892
2007-05-25$23.12$25.0029.3%8.4%23.8%0.0%29.0%4.1%3.1%110.9K593.5K-405.1K1.868.1851696154,83440,252
2007-05-29$22.86$25.0031.0%8.9%23.7%0.0%31.1%4.0%0.4%43.8K6.0M-391.2K2.4612.4025262154,92240,402
2007-05-30$23.04$25.0030.7%8.8%23.8%0.0%30.3%-0.1%1.1%135.1K2.9M-392.9K0.736.7924417955,10540,286
2007-05-31$23.00$25.0028.8%8.3%23.2%0.0%28.8%-3.4%3.3%87.7K5.6M-387.7K1.094.8438141654,81240,071