JBL Options History — July 2007

In July 2007, JBL traded between $22.16 and $24.83. ATM implied volatility averaged 31.0%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 4.6% (HV 20d: 35.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2007-07-17: Highest Volume — 10,670 contracts
  • 2007-07-10: Largest IV spike — 19.6% change
  • 2007-07-11: Highest IV Rank — 78.5%
  • 2007-07-17: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.49$22.16$24.83$22.16$22.53
Max Pain$22.14$20.00$22.50$20.00$22.50
ATM IV31.0%25.7%35.5%25.7%31.8%
Expected Move8.9%7.4%9.7%7.4%9.1%
HV 20d35.5%26.5%41.1%41.1%29.9%
HV 60d30.7%29.2%31.7%29.2%31.7%
IV Rank63.9%43.5%78.5%49.4%65.3%
IV Percentile75.9%19.7%92.3%54.8%79.9%
Term Structure-0.1%-2.6%2.8%2.1%1.4%
VWIV31.7%26.6%38.4%27.0%35.5%
Skew 25d1.1%-2.8%11.6%9.3%2.4%
Skew 10d2.2%-9.5%18.6%15.0%4.1%
Call IV 25d31.1%21.2%35.1%22.0%33.5%
Put IV 25d32.2%28.3%37.2%31.2%35.8%
Bid-Ask Spread %11.295.3216.116.546.91
Gamma HHI0.430.300.720.370.32
Net GEX1.6M940.1K3.2M1.3M960.1K
Net DEX-46.1M-80.8M-15.6M-27.4M-15.6M
Net VEX-407.5K-434.0K-214.4K-415.4K-397.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.091.500.650.51
Total Volume3,430.52424510,6706122,670
Total OI103,663.09574,255115,817105,16499,199

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$22.16$20.0025.7%7.4%41.1%0.0%27.0%9.3%2.1%1.3M-27.4M-415.4K0.656.5437224069,16136,003
2007-07-03$22.37$20.0026.3%7.5%39.8%0.0%26.6%11.6%1.2%1.4M-31.6M-424.2K0.335.321846169,05136,148
2007-07-05$22.21$20.0027.5%7.9%38.2%49.4%29.2%10.8%0.8%1.3M-28.7M-410.3K0.107.941,26912668,95936,039
2007-07-06$22.31$22.5025.9%8.1%36.6%43.5%28.5%0.6%2.4%1.4M-30.8M-418.9K0.4616.1133215469,73736,018
2007-07-09$22.22$22.5027.1%8.0%36.8%48.0%28.0%3.9%2.8%1.3M-28.8M-398.8K0.5314.5057630468,68235,997
2007-07-10$23.31$22.5032.4%8.7%39.6%67.4%30.2%0.6%1.3%1.6M-52.2M-419.5K0.0916.057,59466769,07235,980
2007-07-11$23.83$22.5035.5%9.6%39.1%78.5%33.6%-0.3%-1.7%1.9M-61.9M-428.9K0.3512.076,7502,37571,62736,309
2007-07-12$24.00$22.5032.9%9.4%39.1%68.9%33.1%-0.3%-2.2%1.9M-62.0M-434.0K0.3112.843,2001,00473,32438,178
2007-07-13$24.81$22.5031.1%8.9%40.0%62.5%31.3%-2.4%-0.8%2.2M-80.8M-433.0K0.4910.102,9571,44472,81938,654
2007-07-16$24.69$22.5032.8%9.4%40.3%68.7%32.6%-2.6%-2.6%2.2M-69.5M-214.4K0.1812.531,67130350,90823,347
2007-07-17$24.83$22.5033.8%9.7%39.5%72.5%34.0%-1.8%-2.2%2.4M-79.8M-416.5K0.3210.308,0672,60371,63739,110
2007-07-18$24.52$22.5032.7%9.4%39.8%68.5%34.1%0.2%-2.0%2.5M-75.0M-431.9K0.959.8843541575,13540,682
2007-07-19$24.73$22.5032.2%9.2%39.5%66.6%31.9%-2.8%-1.4%3.2M-79.0M-423.5K1.0413.9368071074,45740,413
2007-07-20$24.47$22.5031.4%9.0%39.5%63.6%32.4%-2.2%-0.8%1.6M-69.5M-420.6K0.1612.971,66825974,47640,808
2007-07-23$24.12$22.5033.1%9.5%26.5%69.7%32.8%-2.3%-2.1%1.1M-43.1M-423.4K0.3015.621,86555561,21435,582
2007-07-24$23.61$22.5031.6%9.0%27.4%64.2%31.5%-0.8%0.3%1.1M-34.7M-420.3K0.348.417,5642,60362,33535,485
2007-07-25$23.59$22.5030.4%8.7%27.2%60.0%32.2%-2.6%0.8%1.1M-32.5M-417.2K0.129.602623161,83135,717
2007-07-26$23.12$22.5031.4%9.0%28.3%63.8%29.6%-2.3%0.8%1.1M-23.9M-408.9K1.3012.761,9412,53161,81835,607
2007-07-27$22.69$22.5031.3%9.0%29.0%63.2%32.3%-0.0%0.8%940.1K-15.9M-400.1K0.9412.7775170862,34336,288
2007-07-30$23.07$22.5033.2%9.5%28.5%70.3%38.4%4.5%-0.4%1.1M-24.6M-400.8K1.509.881,6562,48462,40534,370
2007-07-31$22.53$22.5031.8%9.1%29.9%65.3%35.5%2.4%1.4%960.1K-15.6M-397.5K0.516.911,76390762,94536,254