JBL Options History — May 2008

In May 2008, JBL traded between $10.90 and $12.72. ATM implied volatility averaged 38.6%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.9% (HV 20d: 30.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2008-05-12: Highest Volume — 10,113 contracts
  • 2008-05-06: Largest IV spike — 34.1% change
  • 2008-05-01: Highest IV Rank — 60.2%
  • 2008-05-06: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.47$10.90$12.72$11.13$12.72
Max Pain$10.95$10.00$12.50$10.00$10.00
ATM IV38.6%30.9%45.7%45.7%37.6%
Expected Move11.8%10.5%13.6%13.1%10.8%
HV 20d30.7%27.0%35.4%31.9%35.4%
HV 60d57.9%55.4%60.4%60.4%56.8%
IV Rank37.1%14.9%60.2%60.2%30.9%
IV Percentile46.2%18.7%72.6%72.6%39.7%
Term Structure3.9%-3.5%9.8%0.0%9.8%
VWIV41.4%37.0%46.1%45.3%37.7%
Skew 25d3.9%-24.7%19.7%-3.1%9.4%
Skew 10d4.9%-15.6%31.1%-1.5%13.8%
Call IV 25d40.0%28.4%50.7%48.9%28.4%
Put IV 25d43.9%26.0%53.8%45.8%37.8%
Bid-Ask Spread %9.274.8617.234.868.01
Gamma HHI0.360.310.420.390.32
Net GEX168.8K126.9K287.6K184.1K287.6K
Net DEX-4.2M-20.8M565.3K-1.1M-20.8M
Net VEX-112.8K-142.8K-98.4K-110.1K-142.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.023.480.680.25
Total Volume1,739.57119310,1133994,639
Total OI68,953.52464,87375,82269,77875,822

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$11.13$10.0045.7%13.1%31.9%60.2%45.3%-3.1%0.0%184.1K-1.1M-110.1K0.684.8623816144,25925,519
2008-05-02$11.14$10.0037.9%10.9%31.1%45.4%41.9%-24.7%-3.5%188.3K-1.3M-110.4K1.715.8111820244,40425,421
2008-05-05$11.13$12.5033.0%13.5%31.1%36.0%41.3%6.1%-0.1%185.3K-1.1M-110.0K0.429.8642317944,43125,567
2008-05-06$11.08$12.5044.2%13.6%29.2%57.3%46.1%6.8%-0.8%186.7K-610.1K-105.6K0.548.0626514244,42725,674
2008-05-07$10.90$12.5041.3%13.0%30.3%51.9%44.2%1.1%3.5%192.4K565.3K-102.0K1.597.2115224244,36825,685
2008-05-08$11.02$12.5033.9%13.3%30.0%37.8%44.6%3.0%1.8%156.4K-602.1K-101.1K0.848.4318615744,39725,608
2008-05-09$10.91$12.5030.9%12.7%28.5%14.9%45.4%-0.6%4.4%160.6K-8.0K-98.4K1.087.569310044,47425,698
2008-05-12$11.40$12.5032.1%12.3%31.5%18.0%46.1%2.8%2.9%133.6K-3.2M-106.3K0.0510.169,66544844,49525,692
2008-05-13$11.29$12.5043.1%11.9%32.0%43.9%43.2%4.1%3.8%141.9K-700.2K-113.0K3.489.0312242543,40625,815
2008-05-14$11.43$10.0041.1%11.6%31.6%39.2%40.5%0.5%3.5%141.8K-2.4M-112.6K0.329.552798843,49625,281
2008-05-15$11.68$12.5041.0%11.7%31.8%39.0%40.3%7.6%3.2%143.5K-4.2M-116.5K0.468.8440418743,44424,814
2008-05-16$11.65$10.0038.2%11.0%31.4%32.4%38.8%8.8%5.1%134.0K-4.1M-115.4K1.069.9915816843,42924,676
2008-05-19$11.83$10.0038.8%11.1%31.6%33.7%38.8%10.9%5.0%126.9K-5.4M-113.7K0.1513.652,04630942,48722,386
2008-05-20$11.84$10.0038.1%10.9%27.0%32.2%38.1%8.5%6.4%151.5K-5.8M-118.7K1.125.7436841343,35322,549
2008-05-21$11.44$10.0036.6%10.5%30.6%28.6%37.0%2.3%8.2%146.1K-3.4M-109.4K0.159.954967343,57722,237
2008-05-22$11.63$10.0037.4%10.7%27.6%30.4%37.4%5.8%7.0%154.6K-5.0M-113.7K0.438.491456244,00522,258
2008-05-23$11.34$10.0039.2%11.2%29.3%34.7%40.3%2.4%6.0%159.4K-3.1M-109.6K0.4517.2360827643,81322,300
2008-05-27$11.36$10.0042.4%12.2%29.3%42.3%42.6%3.0%3.6%161.8K-3.2M-107.9K0.0216.265,0119044,29122,561
2008-05-28$11.60$10.0037.9%10.9%29.5%31.6%37.9%7.7%6.4%207.8K-7.8M-121.5K0.689.7252135448,09622,531
2008-05-29$12.26$10.0040.8%11.7%34.1%38.5%41.1%19.7%6.3%200.0K-13.9M-130.2K0.236.165,3121,20648,48522,793
2008-05-30$12.72$10.0037.6%10.8%35.4%30.9%37.7%9.4%9.8%287.6K-20.8M-142.8K0.258.013,70193852,23823,584