JBL Options History — September 2008

In September 2008, JBL traded between $9.12 and $16.15. ATM implied volatility averaged 74.2%, placing in the 87.8% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 12.3% (HV 20d: 61.8%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2008-09-04: Highest Volume — 27,527 contracts
  • 2008-09-29: Largest IV spike — 44.0% change
  • 2008-09-11: Highest IV Rank — 100.0%
  • 2008-09-22: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.11$9.12$16.15$16.15$9.54
Max Pain$15.00$12.50$17.50$17.50$12.50
ATM IV74.2%50.0%93.7%51.7%82.4%
Expected Move21.5%14.3%26.9%14.8%23.6%
HV 20d61.8%46.4%88.9%46.4%88.9%
HV 60d56.2%50.4%64.9%50.4%64.9%
IV Rank87.8%56.2%100.0%60.1%83.6%
IV Percentile97.4%82.9%100.0%85.7%97.2%
Term Structure-8.9%-21.2%8.5%5.7%-5.0%
VWIV74.5%49.1%95.1%49.1%82.9%
Skew 25d4.4%-4.7%10.2%4.8%-4.0%
Skew 10d5.8%-10.9%30.2%6.4%-7.6%
Call IV 25d74.3%46.7%95.8%46.7%87.2%
Put IV 25d78.7%44.8%98.5%51.6%83.2%
Bid-Ask Spread %13.317.3020.937.3015.78
Gamma HHI0.390.240.600.390.32
Net GEX-75.3K-253.4K414.2K414.2K-43.3K
Net DEX15.2M-21.4M29.3M-21.4M14.3M
Net VEX-151.5K-198.6K-117.0K-198.6K-128.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.184.400.750.18
Total Volume6,577.33396427,5274,48023,763
Total OI113,534.33382,049129,684111,821103,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$16.15$17.5051.7%14.8%46.4%60.1%49.1%4.8%5.7%414.2K-21.4M-198.6K0.757.302,5561,92467,46244,359
2008-09-03$15.59$17.5050.0%14.3%47.1%56.2%49.7%-4.7%8.5%288.9K-12.9M-190.7K1.6810.352,2453,78068,07345,082
2008-09-04$14.07$17.5056.9%16.3%57.0%71.7%55.4%1.5%4.9%15.1K7.4M-172.9K4.407.875,09522,43268,86648,245
2008-09-05$13.31$17.5059.1%19.2%59.0%76.6%66.8%6.1%-7.2%-253.4K19.3M-175.4K0.9510.182,5652,43569,31455,621
2008-09-08$13.62$17.5067.2%19.8%53.6%94.6%64.1%7.5%-8.0%-222.3K14.1M-182.3K0.6610.751,5241,00170,39255,235
2008-09-09$12.43$15.0066.5%20.3%60.2%93.0%71.3%4.3%-9.1%-185.1K24.0M-161.6K1.0610.983,0153,18270,43655,608
2008-09-10$12.81$15.0064.2%20.2%62.2%87.9%70.0%4.5%-8.0%-202.8K20.6M-170.3K0.5713.311,23070071,88156,603
2008-09-11$12.70$15.0071.9%20.6%60.9%100.0%70.8%5.7%-11.3%-195.0K22.0M-167.8K0.5611.5361734772,39757,042
2008-09-12$12.73$15.0071.0%20.4%57.8%98.2%71.4%6.3%-9.8%-190.6K21.9M-166.7K0.3511.692,54688472,61257,072
2008-09-15$12.27$15.0074.8%21.4%57.4%100.0%75.5%1.6%-9.7%-211.0K25.0M-157.1K1.3511.3266089172,07756,947
2008-09-16$12.18$15.0072.5%20.8%57.6%95.3%73.4%10.2%-9.7%-224.4K26.0M-151.8K1.8516.577271,34772,24456,575
2008-09-17$11.13$15.0085.0%24.4%62.7%100.0%82.4%4.6%-12.7%-73.5K28.8M-132.1K1.0616.881,2781,35272,57254,592
2008-09-18$11.28$15.0079.0%22.6%64.1%90.0%81.3%7.0%-13.0%-54.8K29.3M-131.9K0.6620.932,8421,88172,79654,742
2008-09-19$11.24$15.0086.4%24.8%64.4%100.0%85.2%7.1%-17.8%-42.1K28.1M-135.9K1.2718.301,1191,42073,71255,826
2008-09-22$10.88$15.0093.7%26.9%63.0%100.0%93.4%4.5%-21.2%-42.7K10.4M-128.8K0.9910.731,6121,60245,79936,250
2008-09-23$10.74$15.0091.8%26.3%63.1%97.2%90.9%4.1%-18.8%-55.2K11.6M-128.5K1.9316.151,1512,21647,09838,136
2008-09-24$10.81$12.5088.8%25.5%64.0%92.9%89.5%5.7%-15.2%-53.0K11.2M-129.4K2.2316.641,3332,97947,80938,437
2008-09-25$10.69$12.5087.7%25.2%62.0%91.4%85.7%8.8%-16.8%-93.5K13.1M-127.4K1.6014.553,5695,72048,86941,069
2008-09-26$10.99$12.5064.3%18.4%62.0%57.3%61.4%3.8%-4.2%-114.8K12.5M-128.2K0.277.718,7392,33350,23541,883
2008-09-29$9.12$12.5092.6%26.5%84.9%98.4%95.1%2.7%-8.7%-41.2K14.7M-117.0K0.5520.017,4264,08655,89441,359
2008-09-30$9.54$12.5082.4%23.6%88.9%83.6%82.9%-4.0%-5.0%-43.3K14.3M-128.0K0.1815.7820,0673,69659,64943,351