JBL Options History — February 2008

In February 2008, JBL traded between $12.92 and $14.83. ATM implied volatility averaged 48.9%, placing in the 71.0% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 1.0% (HV 20d: 49.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2008-02-29: Highest Volume — 8,887 contracts
  • 2008-02-11: Largest IV spike — 25.9% change
  • 2008-02-12: Highest IV Rank — 100.0%
  • 2008-02-07: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.11$12.92$14.83$13.91$12.92
Max Pain$14.88$12.50$15.00$12.50$15.00
ATM IV48.9%36.6%66.7%45.9%47.9%
Expected Move13.4%10.5%15.3%13.2%13.7%
HV 20d49.8%42.6%56.6%53.0%56.6%
HV 60d68.2%66.9%70.7%67.0%70.7%
IV Rank71.0%42.9%100.0%72.1%64.4%
IV Percentile87.6%58.7%100.0%89.7%90.5%
Term Structure2.7%-1.9%7.6%1.7%3.7%
VWIV47.0%33.6%52.9%48.3%51.2%
Skew 25d4.7%-8.0%12.3%7.6%-8.0%
Skew 10d4.0%-16.0%20.0%9.0%-16.0%
Call IV 25d44.9%28.5%51.9%46.8%51.9%
Put IV 25d49.6%31.5%55.2%54.4%44.0%
Bid-Ask Spread %11.375.5019.3515.718.52
Gamma HHI0.580.470.670.640.47
Net GEX326.5K184.0K498.5K299.5K184.0K
Net DEX-6.1M-11.5M-367.9K-4.4M-367.9K
Net VEX-137.2K-150.0K-122.6K-122.6K-127.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.159.790.180.78
Total Volume2,282.72228,8871,8858,887
Total OI53,408.9548,71657,36749,41557,326

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$13.91$12.5045.9%13.2%53.0%72.1%48.3%7.6%1.7%299.5K-4.4M-122.6K0.1815.711,59129435,16714,248
2008-02-04$13.99$15.0051.6%13.5%48.8%84.9%47.5%4.6%0.2%326.5K-5.6M-127.7K0.2514.032,22554736,15014,352
2008-02-05$13.30$15.0057.9%15.1%50.4%99.2%52.7%3.9%-1.9%254.1K-2.9M-123.1K2.3912.3531675437,15514,680
2008-02-06$13.96$15.0054.7%14.1%53.4%91.8%50.3%2.1%-1.4%321.8K-5.8M-132.3K0.269.1482921637,15715,113
2008-02-07$13.71$15.0058.1%15.3%51.7%99.6%52.9%5.7%-0.3%291.0K-4.6M-128.8K4.0919.356762,76337,43315,133
2008-02-08$13.56$15.0044.7%14.8%49.1%69.2%50.5%4.6%0.9%253.3K-3.3M-130.3K1.3412.871,2791,71737,40917,392
2008-02-11$14.36$15.0056.3%14.3%51.8%95.4%49.8%3.9%0.8%371.8K-7.6M-142.0K0.259.891,70242937,54618,841
2008-02-12$14.13$15.0066.7%14.2%52.0%100.0%50.3%4.5%1.2%309.7K-4.4M-140.5K0.5814.2586650036,56419,089
2008-02-13$14.66$15.0054.2%13.4%53.5%76.2%46.9%10.4%3.1%498.5K-7.4M-145.5K0.1614.554877736,89319,322
2008-02-14$14.29$15.0049.7%14.2%54.1%67.7%49.4%3.3%0.0%388.5K-5.7M-142.4K9.797.693383,30936,40918,937
2008-02-15$14.40$15.0048.7%14.0%52.3%65.9%49.1%7.8%2.0%328.9K-5.1M-140.8K0.7713.0025619736,47919,065
2008-02-19$14.37$15.0047.6%13.7%52.1%63.8%49.3%4.3%1.8%249.9K-6.0M-137.0K0.4513.5733015033,39416,456
2008-02-20$14.39$15.0042.2%12.1%47.4%53.5%44.0%10.6%5.6%271.9K-7.8M-139.9K0.9811.4565464133,50915,207
2008-02-21$14.14$15.0044.4%12.7%46.4%57.6%45.3%2.5%5.3%256.8K-6.7M-135.1K0.639.361,8621,17933,95215,296
2008-02-22$14.30$15.0041.5%11.9%43.4%52.3%41.7%8.2%6.4%280.5K-7.2M-144.8K0.208.333,71775934,89516,370
2008-02-25$14.61$15.0042.5%12.2%42.8%54.2%43.6%1.1%5.5%392.1K-10.3M-147.3K1.7712.676211,09937,01516,658
2008-02-26$14.71$15.0039.7%11.4%42.8%48.8%39.7%12.3%7.6%436.4K-10.6M-148.8K0.315.611695337,55817,515
2008-02-27$14.83$15.0036.6%10.5%42.6%42.9%33.6%3.0%7.2%484.4K-11.5M-150.0K0.155.502,61238137,59617,531
2008-02-28$13.68$15.0046.1%13.2%52.6%60.9%43.9%2.2%5.2%329.4K-4.2M-138.2K0.589.5674143139,65317,714
2008-02-29$12.92$15.0047.9%13.7%56.6%64.4%51.2%-8.0%3.7%184.0K-367.9K-127.8K0.788.524,9973,89039,55717,769