JBL Options History — December 2007

In December 2007, JBL traded between $14.43 and $18.42. ATM implied volatility averaged 45.3%, placing in the 79.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 12.6% (HV 20d: 57.9%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2007-12-21: Highest Volume — 35,549 contracts
  • 2007-12-13: Largest IV drop — 20.2% change
  • 2007-12-03: Highest IV Rank — 100.0%
  • 2007-12-03: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.66$14.43$18.42$16.35$15.27
Max Pain$24.00$20.00$25.00$20.00$25.00
ATM IV45.3%36.6%55.0%50.6%38.9%
Expected Move12.4%10.5%14.5%14.5%11.2%
HV 20d57.9%33.8%98.9%35.1%98.9%
HV 60d43.9%33.2%62.2%33.3%61.4%
IV Rank79.2%55.1%100.0%100.0%60.7%
IV Percentile91.6%74.2%100.0%100.0%82.4%
Term Structure-1.7%-7.4%3.4%-6.8%-0.3%
VWIV43.6%36.8%50.0%49.4%39.6%
Skew 25d1.3%-12.8%5.0%-1.4%-7.6%
Skew 10d-2.1%-20.0%10.9%-13.9%-13.1%
Call IV 25d44.7%40.5%51.9%51.9%42.7%
Put IV 25d46.0%30.7%52.1%50.6%35.1%
Bid-Ask Spread %9.564.4422.108.415.43
Gamma HHI0.310.170.590.180.59
Net GEX126.0K55.1K293.5K72.8K293.5K
Net DEX22.5M9.7M35.2M32.7M9.7M
Net VEX-109.4K-132.2K-73.5K-75.5K-120.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.193.422.390.28
Total Volume4,011.754635,5499641,264
Total OI81,594.3571,58890,84677,50975,228

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$16.35$20.0050.6%14.5%35.1%100.0%49.4%-1.4%-6.8%72.8K32.7M-75.5K2.398.4128468049,91827,591
2007-12-04$16.31$20.0047.6%13.7%33.8%92.0%50.0%3.0%-3.3%69.9K32.6M-73.5K2.229.7020946550,09127,393
2007-12-05$17.09$20.0049.2%14.1%38.6%96.3%49.7%-0.5%-7.4%98.5K30.9M-82.5K1.2515.101,1871,48050,17527,280
2007-12-06$17.24$20.0046.0%13.2%39.1%87.5%46.5%0.6%-4.2%120.9K28.8M-91.0K1.6722.101,4622,43551,13627,176
2007-12-07$17.85$25.0050.5%12.3%37.9%99.8%43.0%3.6%-1.4%69.8K25.2M-109.4K0.2614.333,17180952,45129,007
2007-12-10$18.39$25.0053.0%12.5%38.3%100.0%41.2%4.5%-2.9%178.9K18.8M-132.2K0.4012.991,11844855,47729,217
2007-12-11$17.24$25.0054.4%12.5%43.8%100.0%43.7%3.4%-2.6%71.2K25.7M-113.6K0.358.7648816955,48628,685
2007-12-12$17.56$25.0055.0%12.6%43.4%100.0%43.7%1.8%-1.9%84.6K24.0M-121.4K0.8313.051,03586155,82728,726
2007-12-13$17.49$25.0043.9%12.6%42.0%72.9%43.8%4.0%-1.4%61.7K24.8M-116.8K0.298.011,39240056,58329,465
2007-12-14$16.99$25.0043.9%12.6%42.8%72.8%45.1%1.2%-1.7%55.1K25.9M-117.8K0.219.382,11444657,58829,626
2007-12-17$17.29$25.0044.2%12.7%42.8%73.7%47.0%2.1%-1.6%85.5K23.3M-127.1K0.4310.1296841259,25629,914
2007-12-18$17.28$25.0044.9%12.9%42.8%75.4%45.4%2.9%-1.9%84.9K23.0M-124.2K0.889.5229025659,32730,130
2007-12-19$18.02$25.0044.6%12.8%42.7%74.6%44.2%3.4%-2.3%119.8K18.4M-131.0K0.438.313,5471,53359,44430,198
2007-12-20$18.42$25.0045.6%13.1%43.2%77.2%46.1%2.8%-1.1%160.5K13.8M-130.9K0.5210.063,0291,57359,70231,051
2007-12-21$14.43$25.0041.3%11.8%97.8%66.5%41.1%2.5%2.0%124.5K35.2M-81.7K3.426.398,03827,51159,51531,331
2007-12-24$14.69$25.0040.4%11.6%98.2%64.5%40.4%-12.8%0.5%148.7K18.1M-105.1K0.264.901,69344048,01823,570
2007-12-26$15.03$25.0038.1%10.9%98.7%58.8%37.8%4.5%1.3%192.2K14.4M-111.3K0.664.441,8831,24849,24922,543
2007-12-27$14.98$25.0036.6%10.5%98.6%55.1%36.8%3.8%3.4%209.7K13.4M-109.9K0.725.1644632149,98222,150
2007-12-28$15.18$25.0036.8%10.5%98.8%55.5%37.0%5.0%0.0%216.8K12.2M-112.4K0.195.114,31581450,11122,270
2007-12-31$15.27$25.0038.9%11.2%98.9%60.7%39.6%-7.6%-0.3%293.5K9.7M-120.3K0.285.4398727752,77322,455