JBL Options History — July 2008

In July 2008, JBL traded between $14.95 and $16.65. ATM implied volatility averaged 44.8%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 12.4% (HV 20d: 57.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2008-07-10: Highest Volume — 14,334 contracts
  • 2008-07-30: Largest IV drop — 15.6% change
  • 2008-07-11: Highest IV Rank — 52.8%
  • 2008-07-11: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.92$14.95$16.65$16.49$16.26
Max Pain$14.66$12.50$15.00$12.50$15.00
ATM IV44.8%38.6%48.5%43.0%40.4%
Expected Move13.0%11.1%13.9%12.3%11.6%
HV 20d57.2%37.1%66.0%62.9%40.7%
HV 60d49.0%47.1%50.5%47.6%50.5%
IV Rank44.6%30.7%52.8%40.6%34.7%
IV Percentile61.1%29.4%79.8%52.8%35.3%
Term Structure-0.3%-2.7%2.9%1.6%-0.4%
VWIV45.3%39.3%49.1%43.5%39.4%
Skew 25d3.7%-4.3%11.2%4.8%2.3%
Skew 10d14.7%-5.8%53.3%10.8%53.3%
Call IV 25d43.3%35.6%48.6%40.8%39.5%
Put IV 25d47.0%41.8%50.7%45.5%41.8%
Bid-Ask Spread %11.987.0218.1213.4313.50
Gamma HHI0.280.220.410.260.27
Net GEX520.6K359.0K787.1K521.2K556.3K
Net DEX-36.9M-52.3M-12.8M-46.0M-36.0M
Net VEX-207.6K-224.8K-119.5K-199.3K-208.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.134.753.950.24
Total Volume3,877.63633114,33410,961360
Total OI100,442.40973,870120,15993,18599,347

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$16.49$12.5043.0%12.3%62.9%40.6%43.5%4.8%1.6%521.2K-46.0M-199.3K3.9513.432,2168,74558,41434,771
2008-07-02$16.14$12.5047.8%13.7%63.7%51.2%44.3%1.1%-1.9%514.4K-41.6M-202.8K0.3812.664,6971,78859,39835,754
2008-07-03$16.29$12.5040.8%11.7%63.5%35.6%0.0%3.5%2.9%644.1K-46.0M-211.4K0.6511.3620113062,84035,427
2008-07-07$16.15$15.0044.4%13.8%62.2%43.8%47.2%2.5%-1.5%651.5K-45.5M-200.0K0.4010.541,33453262,86435,332
2008-07-08$16.48$15.0040.0%12.8%62.4%34.0%49.1%4.7%-0.1%707.5K-49.8M-202.5K0.1614.9175112063,62335,378
2008-07-09$15.92$15.0046.2%13.6%64.1%47.6%46.8%6.5%-1.5%656.9K-42.2M-202.4K0.568.531,49683863,65335,345
2008-07-10$15.09$15.0045.7%13.1%66.0%46.7%45.8%3.9%0.0%595.4K-28.5M-195.0K1.2514.306,3687,96663,68635,801
2008-07-11$14.96$15.0048.5%13.9%64.5%52.8%48.0%4.2%-2.1%506.2K-26.3M-215.8K1.4018.128151,13768,08041,598
2008-07-14$14.95$15.0047.1%13.5%64.2%49.9%47.3%3.6%-0.4%416.6K-12.8M-119.5K0.3216.435,0471,60941,69732,173
2008-07-15$15.05$15.0047.8%13.7%64.0%51.3%48.6%1.7%-1.2%730.3K-30.3M-215.3K0.9211.9955550872,11541,082
2008-07-16$15.69$15.0046.8%13.4%65.5%49.1%46.8%5.9%0.2%787.1K-44.5M-214.5K4.7515.904232,00972,23040,540
2008-07-17$15.99$15.0048.5%13.9%64.8%52.8%48.5%5.1%-0.4%408.9K-50.2M-209.6K0.609.967,5274,50072,20141,730
2008-07-18$15.99$15.0045.1%12.9%64.8%45.3%45.3%4.9%1.8%428.1K-52.3M-224.8K0.1310.1393911975,19144,968
2008-07-21$15.78$15.0043.4%12.4%64.9%41.5%43.4%5.9%1.8%373.7K-28.7M-221.4K1.098.6062267758,70936,620
2008-07-22$16.20$15.0045.1%12.9%62.4%45.3%44.4%3.4%0.0%426.9K-34.0M-218.6K0.2210.181,03522558,92036,831
2008-07-23$16.65$15.0040.6%11.6%62.8%35.2%44.3%11.2%-0.6%485.7K-40.1M-217.9K2.438.789812,38459,50236,795
2008-07-24$16.24$15.0046.6%13.4%37.1%48.6%43.8%3.3%-1.9%445.9K-35.7M-220.0K1.637.028061,31559,68937,828
2008-07-25$15.72$15.0045.4%13.0%37.8%46.0%45.4%-1.7%-0.3%360.8K-26.6M-218.9K0.5712.802,4211,38059,89738,152
2008-07-28$15.52$15.0048.2%13.8%37.9%52.2%48.2%-4.3%-2.7%359.0K-25.1M-214.6K0.3110.0288527161,62338,439
2008-07-29$16.25$15.0045.7%13.1%41.4%46.7%41.9%3.6%-1.2%447.3K-34.7M-217.6K2.5311.475921,49761,79738,503
2008-07-30$16.36$15.0038.6%11.1%41.4%30.7%39.3%6.3%0.7%429.0K-35.2M-216.1K4.7313.011,3076,18061,96939,221
2008-07-31$16.26$15.0040.4%11.6%40.7%34.7%39.4%2.3%-0.4%556.3K-36.0M-208.6K0.2413.502916962,59236,755