JBL Options History — November 2007

In November 2007, JBL traded between $16.95 and $21.41. ATM implied volatility averaged 41.1%, placing in the 84.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 5.9% (HV 20d: 35.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2007-11-20: Highest Volume — 5,622 contracts
  • 2007-11-13: Largest IV spike — 55.3% change
  • 2007-11-13: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.62$16.95$21.41$20.88$16.95
Max Pain$21.07$20.00$22.50$22.50$20.00
ATM IV41.1%28.7%48.7%35.1%47.2%
Expected Move12.2%9.6%14.0%10.1%13.5%
HV 20d35.2%26.7%39.8%26.7%34.0%
HV 60d32.6%29.7%34.5%30.5%32.7%
IV Rank84.0%45.5%100.0%70.3%95.6%
IV Percentile88.9%42.0%100.0%80.5%99.6%
Term Structure0.5%-3.4%3.6%2.2%-3.4%
VWIV42.1%26.3%47.7%26.3%47.1%
Skew 25d2.6%-0.8%6.6%3.2%-0.7%
Skew 10d3.7%-9.2%14.8%0.3%-5.7%
Call IV 25d41.9%31.8%49.8%31.8%48.6%
Put IV 25d44.4%33.2%50.7%35.0%47.9%
Bid-Ask Spread %16.248.5422.2418.4419.64
Gamma HHI0.260.190.420.390.21
Net GEX21.6K-157.5K115.5K-130.7K87.9K
Net DEX32.0M18.9M39.6M23.0M31.8M
Net VEX-150.3K-236.1K-86.8K-236.1K-86.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.142.531.390.64
Total Volume1,253.4293885,6222,562769
Total OI83,099.38177,18989,00586,13577,632

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$20.88$22.5035.1%10.1%26.7%70.3%26.3%3.2%2.2%-130.7K23.0M-236.1K1.3918.441,0731,48949,12637,009
2007-11-02$20.73$22.5034.9%10.0%26.7%69.5%34.8%-0.5%2.6%-117.9K27.2M-224.9K0.778.5437829149,18837,482
2007-11-05$21.06$22.5039.3%10.6%27.3%84.3%34.8%5.0%2.9%-132.9K21.9M-233.7K0.1520.103375149,41537,224
2007-11-06$21.41$22.5032.3%9.6%28.0%60.9%35.8%6.6%3.6%-157.5K18.9M-234.8K0.6017.7929317649,58637,246
2007-11-07$20.97$22.5035.8%10.7%28.6%72.5%37.5%3.5%2.4%-102.3K23.4M-229.5K0.6519.7433021449,72237,371
2007-11-08$19.80$22.5038.1%11.2%34.7%80.2%39.0%3.0%1.7%-40.8K35.5M-188.3K0.6111.8098860149,72937,434
2007-11-09$19.15$22.5039.0%12.5%35.8%83.3%43.4%3.9%0.7%-12.9K37.7M-173.4K0.2917.802,60276449,72037,317
2007-11-12$18.72$22.5029.8%12.9%36.2%52.5%44.6%1.2%-2.0%60.2K39.6M-161.3K1.0519.0935036651,49037,362
2007-11-13$19.15$22.5046.2%11.8%37.8%100.0%42.8%6.4%1.0%67.2K38.5M-171.1K1.0016.5528828851,50037,505
2007-11-14$18.51$20.0028.7%12.4%38.2%45.5%42.3%2.7%2.0%65.5K37.5M-143.9K2.5321.0731680151,61034,743
2007-11-15$18.21$20.0044.3%12.7%38.3%94.0%44.1%1.4%0.1%64.6K37.1M-140.4K0.3022.2435310651,70734,209
2007-11-16$17.81$20.0042.7%12.2%38.5%89.0%42.5%3.5%1.9%46.1K39.6M-120.6K1.2613.518291,04351,84733,785
2007-11-19$17.71$20.0043.4%12.4%38.5%91.2%42.6%4.7%1.4%66.3K36.4M-118.9K0.2313.3767815547,98531,954
2007-11-20$17.01$20.0045.9%13.1%39.2%98.8%45.6%0.7%-0.6%67.2K36.0M-99.5K0.6114.563,4922,13048,22230,595
2007-11-21$17.20$20.0046.8%13.4%39.7%100.0%47.7%-0.4%-1.1%101.6K30.8M-108.3K0.6910.8565545348,51828,850
2007-11-23$17.35$20.0046.5%13.3%39.8%99.0%47.0%-0.8%0.0%106.3K31.2M-105.7K0.3714.9141415348,90128,925
2007-11-26$17.00$20.0048.7%14.0%39.5%100.0%47.1%0.7%-1.5%104.2K31.6M-99.4K0.7115.3524917749,12928,646
2007-11-27$17.05$20.0046.9%13.4%39.3%94.7%47.5%1.0%-0.6%96.1K32.7M-92.6K0.7915.2749038949,13528,746
2007-11-28$17.17$20.0044.6%12.8%35.9%88.0%44.8%3.4%-0.3%100.2K31.1M-93.1K0.1419.0976710849,33327,856
2007-11-29$17.18$20.0047.0%13.5%35.5%95.2%47.1%5.9%-2.6%115.5K30.3M-93.9K2.0411.4030161549,75627,577
2007-11-30$16.95$20.0047.2%13.5%34.0%95.6%47.1%-0.7%-3.4%87.9K31.8M-86.8K0.6419.6447029949,80727,825