JBL Options History — October 2007

In October 2007, JBL traded between $20.50 and $23.19. ATM implied volatility averaged 32.0%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 0.4% (HV 20d: 31.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2007-10-08: Highest Volume — 3,894 contracts
  • 2007-10-11: Largest IV spike — 27.1% change
  • 2007-10-29: Highest IV Rank — 81.2%
  • 2007-10-29: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.82$20.50$23.19$23.17$21.73
Max Pain$22.93$22.50$25.00$22.50$22.50
ATM IV32.0%24.8%38.4%30.7%29.8%
Expected Move9.5%8.5%11.0%8.8%8.5%
HV 20d31.6%18.5%38.0%38.0%24.1%
HV 60d33.6%32.6%35.6%35.6%32.9%
IV Rank60.1%36.0%81.2%55.7%52.7%
IV Percentile63.4%4.7%92.3%61.0%52.6%
Term Structure0.4%-3.0%3.0%3.0%1.3%
VWIV32.8%29.7%35.7%31.3%32.2%
Skew 25d3.6%-2.9%9.9%-2.9%3.8%
Skew 10d5.7%-7.2%24.8%-3.6%8.3%
Call IV 25d31.4%21.6%35.3%32.1%28.4%
Put IV 25d35.1%24.8%41.9%29.2%32.2%
Bid-Ask Spread %13.107.7722.5113.0218.14
Gamma HHI0.520.360.720.440.43
Net GEX-607.9K-1.4M-99.0K-358.8K-207.5K
Net DEX16.9M-4.9M30.8M-4.4M14.2M
Net VEX-287.3K-353.7K-230.3K-353.7K-261.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.033.031.330.26
Total Volume1,155.4782253,8942,162680
Total OI94,910.04384,917103,59598,62285,801

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$23.17$22.5030.7%8.8%38.0%55.7%31.3%-2.9%3.0%-358.8K-4.4M-353.7K1.3313.029261,23653,89644,726
2007-10-02$23.19$22.5032.0%9.2%37.6%59.8%31.3%-1.7%2.0%-455.7K-4.9M-347.4K0.6611.4323815752,31044,429
2007-10-03$23.06$22.5030.7%8.8%35.5%55.6%30.7%-2.8%2.0%-568.6K-3.0M-345.7K3.0316.573891,17752,47544,227
2007-10-04$22.57$22.5029.7%8.5%35.8%52.1%29.7%3.1%2.8%-841.1K6.3M-333.0K0.928.4034431552,61644,331
2007-10-05$22.58$25.0028.7%9.3%35.8%49.1%32.1%2.0%0.9%-954.5K8.8M-325.2K1.2711.9753468052,70244,151
2007-10-08$22.26$25.0024.8%9.4%36.1%36.0%32.8%0.9%-0.3%-1.3M13.4M-307.5K0.5013.042,5881,30652,63144,390
2007-10-09$22.03$25.0027.7%9.2%35.6%45.5%32.2%2.2%1.2%-1.2M15.5M-309.6K0.4413.6857925754,87045,394
2007-10-10$21.77$25.0025.1%8.9%35.8%36.9%31.4%1.8%0.8%-1.1M22.5M-294.3K1.2612.269551,20355,61845,181
2007-10-11$21.71$22.5031.9%9.1%35.6%59.6%32.0%2.7%1.0%-1.1M21.5M-300.0K1.3018.3844557855,88745,483
2007-10-12$21.89$22.5031.5%9.0%35.1%58.3%31.8%1.0%0.8%-1.4M21.9M-298.7K0.0311.779882655,52445,696
2007-10-15$21.77$22.5032.6%9.3%34.3%61.8%32.6%4.1%-0.1%-905.7K24.9M-281.5K0.2316.9758913756,28745,680
2007-10-16$21.58$22.5033.6%9.6%33.1%65.2%34.0%0.5%0.0%-471.7K26.9M-284.8K1.9411.4325449356,55845,678
2007-10-17$21.90$22.5032.9%9.4%33.1%63.1%33.7%6.1%-0.1%-1.4M21.5M-290.3K0.187.775179556,72845,925
2007-10-18$21.72$22.5033.1%9.5%30.6%63.7%33.2%1.6%-0.5%-572.8K27.4M-275.9K1.609.9742267556,97345,953
2007-10-19$21.37$22.5034.9%10.0%30.3%69.8%35.3%2.7%-0.5%-271.8K30.8M-266.2K0.7411.451,7141,26557,20446,391
2007-10-22$21.33$22.5032.5%9.3%30.0%61.7%33.7%8.9%0.2%-149.1K18.3M-260.7K0.098.473983448,00636,911
2007-10-23$21.56$22.5031.6%9.1%29.8%58.7%31.7%9.0%1.3%-147.4K14.7M-270.0K0.2210.5774716148,01636,918
2007-10-24$21.03$22.5037.8%10.8%29.2%79.4%35.1%6.9%-1.7%-131.4K22.6M-245.0K0.7911.7055043248,37636,988
2007-10-25$20.50$22.5038.1%10.9%29.6%80.3%31.7%9.5%-3.0%-99.0K26.4M-232.6K0.1722.515128748,45536,744
2007-10-26$20.65$22.5035.6%10.2%19.3%72.1%35.0%7.7%-0.7%-102.0K26.0M-230.3K0.3315.801695648,74136,756
2007-10-29$20.80$22.5038.4%11.0%18.5%81.2%35.7%9.9%-2.5%-116.2K24.7M-230.8K0.6715.3736424348,73436,766
2007-10-30$21.58$22.5033.1%9.5%23.8%63.6%34.3%6.8%0.5%-147.3K13.3M-264.4K0.5310.6969436748,88036,925
2007-10-31$21.73$22.5029.8%8.5%24.1%52.7%32.2%3.8%1.3%-207.5K14.2M-261.2K0.2618.1453814248,85736,944