JBL Options History — September 2007

In September 2007, JBL traded between $21.82 and $25.32. ATM implied volatility averaged 35.3%, placing in the 71.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 6.9% (HV 20d: 28.4%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.67.

Notable Days

2007-09-28: Highest Volume — 15,825 contracts
2007-09-13: Largest IV spike — 38.5% change
2007-09-25: Highest IV Rank — 100.0%
2007-09-25: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.59	$21.82	$25.32	$22.56	$22.84
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	35.3%	27.7%	44.0%	31.9%	28.7%
Expected Move	10.8%	7.9%	12.6%	9.1%	8.2%
HV 20d	28.4%	24.5%	38.4%	38.2%	38.2%
HV 60d	34.1%	31.1%	36.1%	35.4%	35.5%
IV Rank	71.7%	46.2%	100.0%	60.6%	49.0%
IV Percentile	77.4%	45.3%	100.0%	69.0%	48.9%
Term Structure	-0.3%	-6.2%	11.1%	6.7%	4.1%
VWIV	37.7%	27.3%	44.1%	31.9%	27.3%
Skew 25d	3.9%	0.8%	7.3%	2.9%	5.1%
Skew 10d	8.4%	-6.6%	18.4%	5.2%	10.2%
Call IV 25d	36.2%	23.1%	42.9%	33.2%	27.6%
Put IV 25d	40.2%	23.9%	47.5%	36.2%	32.8%
Bid-Ask Spread %	14.32	7.45	22.22	7.60	7.45
Gamma HHI	0.37	0.26	0.61	0.42	0.43
Net GEX	810.2K	-347.5K	2.2M	1.3M	-347.5K
Net DEX	-29.4M	-68.1M	49.7K	-20.8M	49.7K
Net VEX	-348.0K	-377.6K	-331.2K	-377.6K	-331.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.03	3.22	0.03	1.01
Total Volume	3,820.474	305	15,825	2,653	15,825
Total OI	95,659.789	82,196	103,046	103,046	93,612

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-09-04	$22.56	$22.50	31.9%	9.1%	38.2%	60.6%	31.9%	2.9%	6.7%	1.3M	-20.8M	-377.6K	0.03	7.60	2,569	84	64,554	38,492
2007-09-05	$21.82	$22.50	29.0%	8.3%	38.4%	50.8%	29.1%	7.3%	11.1%	1.1M	-4.6M	-351.9K	0.06	16.95	7,764	489	64,166	38,494
2007-09-06	$22.26	$22.50	27.7%	7.9%	29.3%	46.2%	27.7%	0.8%	11.0%	911.9K	-11.4M	-355.2K	0.42	9.77	2,384	1,006	61,261	38,264
2007-09-07	$22.32	$22.50	28.7%	11.5%	27.8%	49.7%	40.8%	5.4%	-2.0%	825.9K	-12.0M	-353.7K	0.09	21.38	2,278	208	60,241	37,970
2007-09-10	$22.51	$22.50	29.1%	11.5%	26.0%	51.0%	39.9%	4.6%	-1.7%	839.3K	-15.8M	-353.5K	0.22	22.22	250	55	59,611	37,959
2007-09-11	$22.89	$22.50	30.1%	11.4%	26.9%	54.4%	40.0%	5.9%	-2.4%	813.9K	-21.5M	-351.8K	0.62	21.93	1,045	644	59,154	37,982
2007-09-12	$22.83	$22.50	29.6%	11.8%	26.4%	52.8%	40.6%	2.8%	-2.9%	796.5K	-20.7M	-348.0K	0.84	16.92	412	348	59,232	38,015
2007-09-13	$23.01	$22.50	41.0%	11.8%	26.3%	91.4%	42.5%	4.0%	-2.7%	802.7K	-24.3M	-350.8K	2.22	14.60	184	408	59,191	38,168
2007-09-14	$23.39	$22.50	39.3%	11.3%	25.6%	85.6%	37.7%	4.8%	-1.6%	803.7K	-32.7M	-345.3K	0.19	15.19	1,209	225	59,141	38,134
2007-09-17	$23.78	$22.50	37.0%	10.6%	25.5%	77.8%	37.3%	4.2%	-1.3%	712.5K	-39.8M	-339.4K	0.04	15.57	852	31	59,202	38,271
2007-09-18	$24.27	$22.50	35.8%	10.3%	26.2%	73.7%	36.1%	4.4%	-0.4%	929.8K	-47.4M	-338.3K	0.08	14.69	1,172	99	59,402	38,271
2007-09-19	$24.63	$22.50	37.0%	10.6%	24.5%	77.8%	37.6%	3.3%	-1.9%	1.3M	-53.9M	-336.5K	0.44	11.75	1,621	713	59,923	38,336
2007-09-20	$25.32	$22.50	37.3%	10.7%	25.2%	78.7%	38.1%	5.3%	-2.0%	1.7M	-68.1M	-338.1K	0.15	13.64	2,443	368	60,440	38,757
2007-09-21	$24.74	$22.50	38.8%	11.1%	26.5%	83.9%	38.9%	1.0%	-4.0%	2.2M	-55.0M	-338.5K	3.22	9.87	1,321	4,257	61,526	38,941
2007-09-24	$24.87	$22.50	42.3%	12.1%	26.5%	95.8%	42.4%	1.5%	-4.0%	145.8K	-34.0M	-344.0K	0.28	8.82	1,979	551	45,649	36,547
2007-09-25	$25.20	$22.50	44.0%	12.6%	25.2%	100.0%	44.1%	6.9%	-6.2%	237.0K	-39.2M	-345.2K	1.11	9.00	1,405	1,557	46,574	36,907
2007-09-26	$24.43	$22.50	42.2%	12.1%	28.8%	94.0%	42.5%	2.3%	-3.9%	136.1K	-28.0M	-352.5K	0.79	18.47	3,443	2,705	47,444	38,124
2007-09-27	$24.50	$22.50	40.7%	11.7%	27.5%	88.9%	41.4%	2.2%	-1.7%	207.7K	-29.4M	-361.4K	0.87	16.16	5,712	4,973	49,410	40,171
2007-09-28	$22.84	$22.50	28.7%	8.2%	38.2%	49.0%	27.3%	5.1%	4.1%	-347.5K	49.7K	-331.2K	1.01	7.45	7,863	7,962	52,227	41,385