JBL Options History — March 2008

In March 2008, JBL traded between $9.03 and $13.00. ATM implied volatility averaged 52.7%, placing in the 73.5% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 4.6% (HV 20d: 57.3%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2008-03-26: Highest Volume — 16,916 contracts
  • 2008-03-26: Largest IV drop — 22.4% change
  • 2008-03-25: Highest IV Rank — 94.6%
  • 2008-03-25: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.69$9.03$13.00$12.59$9.46
Max Pain$13.38$10.00$15.00$15.00$10.00
ATM IV52.7%44.9%63.8%48.1%44.9%
Expected Move15.5%12.9%18.3%13.8%12.9%
HV 20d57.3%48.3%83.9%54.0%82.1%
HV 60d65.6%49.1%70.8%70.8%64.1%
IV Rank73.5%58.6%94.6%64.7%58.6%
IV Percentile92.5%74.6%99.6%90.5%74.6%
Term Structure-0.8%-10.5%6.1%4.9%5.2%
VWIV54.2%45.0%69.4%48.5%45.0%
Skew 25d5.1%-9.7%15.7%-9.7%-5.0%
Skew 10d9.2%-15.4%26.7%-15.4%-4.4%
Call IV 25d52.5%37.2%66.4%53.8%44.0%
Put IV 25d57.6%39.0%75.1%44.1%39.0%
Bid-Ask Spread %10.784.3418.034.347.66
Gamma HHI0.380.300.440.440.37
Net GEX31.7K-99.3K164.9K115.4K155.3K
Net DEX5.2M809.2K14.0M1.5M8.5M
Net VEX-133.4K-155.1K-94.4K-126.8K-104.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.083.923.920.08
Total Volume3,816.130716,9165,386917
Total OI71,266.9558,47583,23161,64683,231

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$12.59$15.0048.1%13.8%54.0%64.7%48.5%-9.7%4.9%115.4K1.5M-126.8K3.924.341,0944,29241,47720,169
2008-03-04$12.63$15.0045.9%13.1%53.9%60.4%45.5%3.7%6.1%70.5K3.0M-143.2K3.675.133781,38841,86723,953
2008-03-05$13.00$15.0049.0%14.1%52.4%66.5%49.5%-4.3%4.9%114.5K809.2K-151.2K1.836.002,2074,04641,94224,833
2008-03-06$12.37$15.0047.9%13.7%51.6%64.4%47.9%2.1%6.0%-2.4K4.7M-145.7K2.796.098122642,55726,230
2008-03-07$12.12$15.0046.5%15.8%51.7%61.7%56.7%8.2%-2.5%-27.1K6.1M-145.5K1.849.391,0621,95242,48026,375
2008-03-10$12.14$15.0054.2%16.6%51.8%76.3%57.8%5.6%-1.2%-7.5K5.0M-145.4K2.2114.541,0902,41443,03026,457
2008-03-11$12.72$12.5050.4%16.1%50.2%69.2%54.7%7.1%-2.4%24.4K2.2M-152.1K0.6512.021,09971743,85626,563
2008-03-12$12.48$12.5048.4%16.1%50.2%65.3%56.0%7.7%-3.1%-5.0K2.9M-149.1K0.0815.715714744,64926,612
2008-03-13$12.74$12.5055.0%15.8%48.7%77.9%56.6%8.7%-1.7%3.9K1.3M-155.1K1.7114.9819232844,95126,637
2008-03-14$12.44$12.5055.2%15.8%48.6%78.2%51.7%7.1%-0.4%-22.1K2.9M-149.0K1.9716.7129057244,89326,602
2008-03-17$12.40$15.0058.6%16.8%48.3%84.6%58.4%4.1%-3.7%-53.0K3.9M-146.4K0.2213.4662013445,01026,924
2008-03-18$12.63$15.0055.4%15.9%49.2%78.7%54.5%10.3%-1.7%-69.8K3.3M-143.4K0.5616.7628415844,96626,988
2008-03-19$12.23$15.0058.8%16.9%49.9%85.1%58.1%3.8%-5.7%-99.3K5.4M-137.5K0.3016.5756016745,10626,986
2008-03-20$11.58$15.0058.3%16.7%52.5%84.1%59.6%4.7%-4.2%16.8K9.2M-128.6K0.3118.032,26270845,24927,022
2008-03-24$11.38$12.5063.4%18.2%52.0%93.9%63.9%0.3%-10.5%36.4K6.2M-122.6K0.1910.479,4301,75034,75523,720
2008-03-25$11.38$12.5063.8%18.3%50.7%94.6%69.4%8.7%-9.3%164.9K2.2M-132.1K0.876.707,4876,48842,32925,234
2008-03-26$9.29$12.5049.5%14.2%83.9%67.4%50.0%15.7%1.8%-13.8K14.0M-95.0K0.697.0510,0286,88846,10329,779
2008-03-27$9.03$10.0052.1%14.9%83.1%72.3%51.7%9.7%0.2%99.9K11.6M-94.4K0.435.882,5201,09453,43729,449
2008-03-28$9.21$10.0049.1%14.1%81.8%66.5%49.0%14.6%1.0%132.3K9.6M-100.4K0.198.0365512654,92227,996
2008-03-31$9.46$10.0044.9%12.9%82.1%58.6%45.0%-5.0%5.2%155.3K8.5M-104.7K0.087.668496855,31227,919