JBL Options History — August 2007

In August 2007, JBL traded between $21.33 and $24.08. ATM implied volatility averaged 37.1%, placing in the 80.4% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.1% (HV 20d: 37.0%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.26.

Notable Days

  • 2007-08-24: Highest Volume — 8,217 contracts
  • 2007-08-14: Largest IV spike — 16.0% change
  • 2007-08-14: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.39$21.33$24.08$22.65$22.20
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV37.1%32.5%43.5%33.9%33.9%
Expected Move10.6%9.3%12.3%9.7%9.7%
HV 20d37.0%28.8%39.3%29.8%37.9%
HV 60d35.0%31.5%36.1%31.7%35.3%
IV Rank80.4%62.5%100.0%72.8%67.3%
IV Percentile91.6%73.3%100.0%89.0%79.6%
Term Structure2.0%-1.0%5.4%1.5%5.4%
VWIV37.0%33.0%43.0%33.9%33.9%
Skew 25d1.9%-3.0%7.3%3.4%1.4%
Skew 10d1.0%-15.9%12.1%6.3%1.6%
Call IV 25d36.8%32.2%43.4%35.8%33.7%
Put IV 25d38.8%35.1%47.0%39.2%35.1%
Bid-Ask Spread %14.686.7425.5022.8414.73
Gamma HHI0.370.240.850.330.45
Net GEX1.2M249.4K6.1M973.9K1.3M
Net DEX-16.6M-49.4M4.1M-17.8M-18.2M
Net VEX-372.8K-414.1K-326.4K-401.8K-375.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.038.180.598.18
Total Volume2,359.1743008,2172,2302,792
Total OI96,01082,624103,52298,890101,080

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$22.65$22.5033.9%9.7%29.8%72.8%33.9%3.4%1.5%973.9K-17.8M-401.8K0.5922.841,40083062,69036,200
2007-08-02$22.68$22.5032.9%9.4%29.7%69.2%34.4%3.8%2.1%930.5K-17.6M-399.9K0.136.7479110262,76936,343
2007-08-03$21.89$22.5034.8%10.0%32.3%76.1%34.8%-2.5%0.7%758.8K-7.2M-383.5K1.0625.5065769963,16436,402
2007-08-06$22.03$22.5035.6%10.2%32.4%79.1%35.9%2.4%2.3%743.1K-6.8M-376.7K0.3521.5931010963,19136,710
2007-08-07$21.34$22.5033.4%10.0%28.8%70.8%35.1%1.4%2.8%501.1K4.1M-350.9K0.1420.2593513163,17836,685
2007-08-08$22.91$22.5035.7%10.2%38.4%79.4%35.9%0.1%2.3%1.0M-21.8M-392.9K0.0917.655,99453563,05436,787
2007-08-09$23.45$22.5039.7%11.4%39.3%93.9%39.4%1.9%-0.0%1.5M-39.3M-413.4K1.2019.909711,16266,62036,902
2007-08-10$24.08$22.5034.5%11.0%38.6%75.0%38.5%1.4%1.3%1.6M-49.4M-414.1K0.0820.262,08917665,75936,779
2007-08-13$23.91$22.5037.5%10.7%38.6%86.1%39.1%2.7%1.1%1.6M-43.6M-405.5K3.5712.245381,92064,81036,825
2007-08-14$23.53$22.5043.5%11.1%38.9%100.0%38.0%1.3%-0.0%1.6M-37.6M-394.4K0.6914.7918312765,03436,213
2007-08-15$23.26$22.5042.3%11.2%38.8%95.7%38.0%2.9%1.2%1.5M-31.4M-391.0K0.4216.5033414164,97636,252
2007-08-16$22.74$22.5043.0%12.3%39.2%98.3%43.0%7.3%-1.0%1.8M-20.5M-382.3K3.4218.4520469765,14236,227
2007-08-17$22.42$22.5037.3%10.7%39.3%78.7%36.6%3.1%2.2%6.1M-12.2M-365.7K1.0811.3791298365,04735,411
2007-08-20$22.44$22.5037.0%10.6%39.2%78.0%37.5%5.5%2.1%397.0K-10.6M-358.4K0.3112.3940312651,30031,831
2007-08-21$21.94$22.5036.4%10.4%39.2%75.7%36.1%2.7%3.0%344.7K-5.5M-346.1K0.3212.031,42946351,47331,772
2007-08-22$21.80$22.5033.1%9.5%39.2%64.5%33.0%3.0%4.5%303.5K-3.3M-337.0K0.948.6782978051,07031,554
2007-08-23$21.52$22.5032.5%9.3%38.9%62.5%33.7%1.8%3.9%249.4K1.1M-326.4K0.587.2019011051,25631,964
2007-08-24$21.67$22.5037.7%10.8%38.7%80.1%37.6%0.6%1.7%282.7K-1.2M-337.4K0.0315.308,00721051,34532,004
2007-08-27$21.33$22.5039.0%11.2%38.3%84.7%38.9%-1.2%2.2%721.1K-4.7M-337.6K0.137.963,27542058,25732,032
2007-08-28$21.36$22.5042.5%12.2%37.6%96.5%42.4%-3.0%1.7%1.0M-8.8M-348.2K0.1310.384,90663662,55632,127
2007-08-29$22.00$22.5038.1%10.9%39.2%81.6%37.7%3.4%3.7%1.3M-18.0M-363.4K4.9010.199614,71164,20532,164
2007-08-30$21.79$22.5038.9%11.1%39.3%84.2%38.1%1.3%2.2%1.1M-11.6M-373.1K0.5210.7071237164,77136,299
2007-08-31$22.20$22.5033.9%9.7%37.9%67.3%33.9%1.4%5.4%1.3M-18.2M-375.4K8.1814.733042,48864,70136,379