JBL Options History — June 2007

In June 2007, JBL traded between $20.07 and $23.13. ATM implied volatility averaged 31.8%. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 2.8% (HV 20d: 28.9%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2007-06-22: Highest Volume — 27,195 contracts
  • 2007-06-22: Largest IV drop — 35.0% change
  • 2007-06-20: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.34$20.07$23.13$22.61$22.07
Max Pain$21.79$20.00$25.00$25.00$20.00
ATM IV31.8%24.6%41.3%28.5%25.9%
Expected Move9.3%7.0%11.8%8.2%7.4%
HV 20d28.9%22.5%41.4%22.5%41.4%
HV 60d30.1%22.1%33.0%32.3%29.2%
Term Structure1.0%-4.3%4.1%3.6%2.9%
VWIV33.0%26.2%41.6%28.9%27.7%
Skew 25d1.4%-8.4%7.9%-8.4%7.9%
Skew 10d2.0%-13.6%13.4%-13.6%13.4%
Call IV 25d33.3%21.7%43.3%33.2%21.7%
Put IV 25d34.7%24.8%43.5%24.8%29.6%
Bid-Ask Spread %10.486.0820.856.137.12
Gamma HHI0.280.220.330.270.33
Net GEX488.4K-113.0K1.7M-14.3K1.2M
Net DEX-6.8M-64.7M16.2M11.2M-27.2M
Net VEX-387.7K-468.2K-334.8K-371.8K-425.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.063.280.060.21
Total Volume6,682.4761,74127,1955,9222,453
Total OI100,204.14386,802109,69594,801105,761

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$22.61$25.0028.5%8.2%22.5%0.0%28.9%-8.4%3.6%-14.3K11.2M-371.8K0.066.135,58234054,79440,007
2007-06-04$22.25$25.0028.0%9.4%22.6%0.0%32.8%1.4%0.8%-8.6K9.8M-374.4K0.2310.313,54679958,46439,961
2007-06-05$21.62$22.5029.4%9.7%24.3%0.0%34.4%1.3%-0.3%-13.3K11.3M-368.7K0.489.972,8311,34660,59638,459
2007-06-06$21.00$25.0037.6%10.0%24.5%0.0%30.0%2.4%0.3%-113.0K16.0M-353.6K0.4316.714,2841,83261,79437,834
2007-06-07$20.45$22.5034.6%9.8%25.5%0.0%34.9%-0.7%2.3%-106.0K16.2M-349.9K1.7610.652,0213,54864,03036,550
2007-06-08$20.53$22.5033.3%9.9%23.8%0.0%34.6%0.0%1.7%41.3K12.7M-351.7K0.2520.851,43935564,94534,964
2007-06-11$20.38$22.5032.6%9.7%22.9%0.0%34.1%0.7%1.2%-4.6K12.8M-347.6K3.2819.828952,93265,59634,730
2007-06-12$20.07$22.5030.6%9.7%23.1%0.0%34.0%1.7%1.6%-32.6K13.0M-335.0K1.3910.959211,27766,27333,366
2007-06-13$20.20$22.5029.2%9.9%23.4%0.0%34.5%0.7%1.3%-84.4K11.2M-334.8K0.4811.382,2141,06966,77433,169
2007-06-14$20.28$22.5033.5%9.6%23.7%0.0%34.1%3.6%0.5%-7.2K8.1M-347.8K0.5210.751,23464768,33633,895
2007-06-15$20.58$22.5033.8%9.7%24.5%0.0%34.1%3.3%1.9%401.6K3.8M-366.3K2.148.382,5965,55369,12334,297
2007-06-18$20.33$22.5037.5%10.7%24.4%0.0%37.5%2.8%-0.6%360.6K968.6K-368.5K0.8010.842,1461,71756,71030,092
2007-06-19$20.16$20.0038.1%10.9%24.3%0.0%38.6%-0.8%-1.2%379.3K1.4M-372.6K0.188.681,47726458,12631,049
2007-06-20$20.63$20.0041.3%11.8%24.0%0.0%41.6%0.2%-3.3%495.0K-5.2M-391.1K0.1710.649,9851,67159,33830,710
2007-06-21$21.20$20.0041.1%11.8%26.1%0.0%41.4%-0.0%-4.3%923.0K-19.6M-433.4K0.358.7914,6035,04266,78531,685
2007-06-22$23.13$20.0026.7%7.7%41.2%0.0%26.2%2.7%2.7%1.7M-64.7M-468.2K0.218.3222,5524,64374,51935,176
2007-06-25$22.87$20.0026.1%7.5%41.4%0.0%27.1%1.4%2.8%1.4M-43.8M-448.4K0.3910.684,9421,93269,08036,477
2007-06-26$22.67$20.0024.6%7.0%41.3%0.0%28.9%2.8%4.1%1.3M-37.5M-436.6K0.996.083,6603,62367,98037,087
2007-06-27$22.68$20.0027.9%8.0%41.2%0.0%27.9%3.5%0.8%1.2M-36.9M-451.6K2.906.142,6217,59069,24739,055
2007-06-28$22.52$20.0026.5%7.6%41.2%0.0%30.2%2.4%2.3%1.3M-35.9M-445.3K0.716.951,25689469,47937,974
2007-06-29$22.07$20.0025.9%7.4%41.4%0.0%27.7%7.9%2.9%1.2M-27.2M-425.3K0.217.122,02243169,41436,347