JBL Options History — August 2008

In August 2008, JBL traded between $16.22 and $18.50. ATM implied volatility averaged 45.9%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 3.0% (HV 20d: 42.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2008-08-20: Highest Volume — 17,656 contracts
  • 2008-08-04: Largest IV spike — 27.7% change
  • 2008-08-18: Highest IV Rank — 60.2%
  • 2008-08-18: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.36$16.22$18.50$16.64$16.86
Max Pain$16.07$15.00$17.50$15.00$17.50
ATM IV45.9%37.5%51.8%37.5%44.3%
Expected Move13.2%10.8%14.8%10.8%12.7%
HV 20d42.9%36.1%45.3%41.4%44.6%
HV 60d51.4%49.3%53.0%50.4%50.1%
IV Rank47.0%28.4%60.2%28.4%43.5%
IV Percentile62.3%23.4%86.1%23.4%47.6%
Term Structure4.1%1.0%7.9%2.1%7.9%
VWIV46.4%39.8%52.6%39.8%44.5%
Skew 25d3.0%-1.0%9.9%9.9%2.8%
Skew 10d3.4%-6.8%16.8%16.8%-2.4%
Call IV 25d45.4%36.7%52.9%36.7%45.9%
Put IV 25d48.4%43.2%53.6%46.6%48.7%
Bid-Ask Spread %9.576.4615.0012.097.80
Gamma HHI0.300.250.360.290.31
Net GEX656.5K398.1K1.1M614.6K492.7K
Net DEX-45.5M-68.1M-28.6M-42.2M-32.1M
Net VEX-213.2K-227.1K-198.3K-203.8K-209.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.152.771.140.35
Total Volume4,756.09558117,6564,0133,496
Total OI106,283.90597,787116,64999,367109,279

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$16.64$15.0037.5%10.8%41.4%28.4%39.8%9.9%2.1%614.6K-42.2M-203.8K1.1412.091,8722,14162,60736,760
2008-08-04$16.22$15.0047.9%12.7%42.4%51.6%42.1%2.1%6.5%562.2K-36.2M-200.7K0.2310.3174616862,77337,005
2008-08-05$16.59$15.0038.3%11.5%42.5%30.2%41.9%3.9%6.0%628.7K-41.3M-202.2K0.3213.631,12635863,28736,998
2008-08-06$17.14$15.0041.2%11.8%41.9%36.6%42.3%2.3%5.5%735.6K-50.7M-198.3K0.1510.1214,9002,21664,06336,846
2008-08-07$17.16$15.0038.5%12.1%36.1%30.6%42.0%1.3%4.2%918.2K-52.5M-202.5K0.2212.283,26470867,91237,212
2008-08-08$18.28$15.0044.2%12.9%40.8%43.3%44.2%4.0%2.8%949.7K-68.1M-205.4K0.3615.0010,4083,78467,56837,414
2008-08-11$18.00$15.0048.5%13.6%41.6%52.8%47.1%2.6%1.8%1.1M-64.3M-213.9K0.489.032,3901,14674,49640,107
2008-08-12$17.37$15.0046.8%13.1%44.6%49.0%48.7%2.4%2.6%949.1K-54.6M-213.2K1.347.541,1511,54375,87940,770
2008-08-13$17.70$15.0048.2%13.5%43.0%52.2%46.6%2.0%2.0%1.0M-50.0M-215.0K0.957.9829828369,25740,704
2008-08-14$18.41$15.0048.4%13.9%44.4%52.6%48.3%2.2%1.0%819.9K-62.1M-212.7K2.4910.732,0034,99369,24040,766
2008-08-15$18.50$15.0047.9%13.7%44.3%51.6%46.8%2.3%1.8%658.0K-60.6M-219.0K0.1511.021,75526369,41244,011
2008-08-18$18.12$15.0051.8%14.8%44.8%60.2%51.6%5.5%2.0%620.1K-49.0M-218.0K2.777.191,8435,10560,68037,107
2008-08-19$17.86$17.5051.6%14.8%44.8%59.7%51.3%3.5%2.6%479.9K-43.8M-226.9K0.558.841,47780861,16440,493
2008-08-20$17.40$17.5048.0%13.8%45.3%51.9%49.2%3.4%5.3%436.9K-37.4M-225.0K0.637.0610,8366,82061,96540,799
2008-08-21$17.04$17.5047.9%13.7%45.0%51.4%49.2%0.9%4.7%420.5K-34.0M-227.1K0.399.3881931662,50843,862
2008-08-22$17.31$17.5047.1%13.5%43.2%49.8%47.4%5.1%4.6%487.1K-38.3M-225.9K0.258.401,60739862,92443,764
2008-08-25$16.98$17.5050.6%14.5%43.6%57.5%52.6%-1.0%2.9%465.3K-34.6M-219.6K0.638.491,03064563,60243,780
2008-08-26$16.62$17.5046.0%13.2%41.7%47.3%46.9%0.7%6.3%398.1K-28.6M-211.5K0.736.482,1521,57064,02744,075
2008-08-27$16.99$17.5044.7%12.8%42.3%44.4%47.5%4.2%6.9%496.8K-33.8M-213.9K0.826.461,14893764,59743,826
2008-08-28$17.47$17.5044.3%12.7%43.1%43.4%44.3%3.3%6.6%588.7K-41.2M-211.9K0.3411.071,00834764,60543,818
2008-08-29$16.86$17.5044.3%12.7%44.6%43.5%44.5%2.8%7.9%492.7K-32.1M-209.8K0.357.802,59690065,30643,973