JBL Options History — October 2008

In October 2008, JBL traded between $6.35 and $9.17. ATM implied volatility averaged 104.5%, placing in the 79.9% IV rank vs the trailing year. The 30-day expected move averaged 28.0%. IV traded below realized volatility by 4.3% (HV 20d: 108.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.42.

Notable Days

  • 2008-10-17: Highest Volume — 15,530 contracts
  • 2008-10-06: Largest IV spike — 31.9% change
  • 2008-10-02: Highest IV Rank — 100.0%
  • 2008-10-10: Largest Expected Move — 33.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.87$6.35$9.17$9.17$8.41
Max Pain$10.33$10.00$12.50$12.50$10.00
ATM IV104.5%85.7%132.1%89.8%90.8%
Expected Move28.0%24.6%33.4%25.8%26.0%
HV 20d108.8%80.5%129.5%89.0%122.2%
HV 60d79.4%64.9%92.3%64.9%92.3%
IV Rank79.9%55.2%100.0%94.4%60.1%
IV Percentile97.0%90.1%100.0%98.8%92.1%
Term Structure0.7%-8.7%9.5%-8.1%4.3%
VWIV97.8%72.1%118.2%89.8%93.4%
Skew 25d1.9%-10.4%11.6%-3.0%4.7%
Skew 10d-2.3%-22.7%21.2%-7.2%-19.1%
Call IV 25d99.8%83.7%123.5%92.9%83.7%
Put IV 25d101.7%88.1%113.3%89.9%88.3%
Bid-Ask Spread %18.879.1430.3710.6513.84
Gamma HHI0.270.250.320.260.26
Net GEX88.4K42.7K176.4K49.6K143.4K
Net DEX11.1M4.4M16.4M11.7M7.6M
Net VEX-116.6K-145.1K-88.6K-144.5K-107.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.011.290.200.54
Total Volume3,360.73949015,53011,5441,220
Total OI123,204.957111,664134,817117,750115,802

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$9.17$12.5089.8%25.8%89.0%94.4%89.8%-3.0%-8.1%49.6K11.7M-144.5K0.2010.659,6531,89172,67545,075
2008-10-02$8.52$12.5096.0%27.5%86.2%100.0%100.3%-2.8%-8.7%71.7K12.7M-139.3K0.7512.403,1822,37878,87846,483
2008-10-03$8.62$12.5086.1%24.7%86.4%86.1%91.8%-4.7%6.3%64.5K12.9M-145.1K0.719.142,3921,70780,66348,443
2008-10-06$8.28$10.00113.6%26.9%84.9%100.0%94.9%-1.3%1.9%63.3K13.3M-136.4K0.7825.081,7041,32581,71949,243
2008-10-07$7.73$10.00116.4%27.9%82.9%100.0%108.3%-4.3%0.8%55.9K14.5M-124.5K0.5924.311,58493381,59849,173
2008-10-08$7.53$10.00121.0%28.7%80.5%100.0%102.5%-2.2%2.0%58.2K14.4M-121.2K0.6120.541,55894682,35149,238
2008-10-09$6.86$10.00126.5%30.5%83.5%100.0%118.2%-2.9%2.6%50.5K15.1M-108.1K0.1330.372,88336382,45949,163
2008-10-10$6.35$10.00132.1%33.4%84.1%100.0%115.8%-10.4%-7.2%42.7K16.4M-88.6K0.3825.713,8471,45582,61947,737
2008-10-13$7.76$10.00129.8%30.6%118.5%97.8%109.2%0.1%-7.5%78.3K12.6M-123.0K0.4125.822,20089384,82148,410
2008-10-14$7.57$10.00122.6%28.9%118.3%90.9%99.8%-1.3%0.5%78.8K14.2M-114.8K0.2619.751,97451584,90148,483
2008-10-15$7.04$10.00123.5%30.6%117.2%91.7%72.1%-0.9%0.6%71.2K14.9M-105.1K0.6323.6168142785,96748,663
2008-10-16$7.42$10.00101.7%29.2%119.6%70.6%106.5%4.1%3.8%82.4K14.3M-112.1K0.3414.952,03669985,97648,377
2008-10-17$7.39$10.0099.4%28.5%119.6%68.4%103.5%5.7%1.4%63.6K15.3M-107.7K0.0118.6615,31022086,27248,545
2008-10-20$7.70$10.0089.1%25.6%121.5%58.5%90.1%4.6%6.6%89.7K8.2M-108.6K0.1724.3677513573,59638,068
2008-10-21$7.27$10.0089.5%25.7%122.3%58.8%92.7%2.5%2.9%67.2K10.2M-93.3K0.0721.621,0567974,13838,182
2008-10-22$8.05$10.0096.7%27.7%129.5%65.8%97.6%6.7%0.2%107.8K7.7M-111.9K0.1221.112,49130774,34138,248
2008-10-23$7.93$10.0096.8%27.7%129.5%65.9%96.2%10.5%2.0%102.5K8.2M-110.1K0.3519.5236312774,57238,474
2008-10-24$7.74$10.0098.9%28.4%128.5%67.9%98.3%9.9%0.8%98.9K7.8M-107.4K1.2918.8022829374,54738,497
2008-10-27$7.82$10.00103.5%29.7%112.1%72.3%103.6%9.6%-1.2%101.2K7.8M-106.0K0.1420.621,23717174,50738,516
2008-10-28$8.91$10.0085.7%24.6%121.2%55.2%85.5%11.6%9.5%169.8K4.7M-125.1K0.0711.352,86120575,08438,574
2008-10-29$8.28$10.0096.8%27.8%123.1%65.9%91.6%0.2%3.0%146.4K5.8M-116.4K0.1410.131,14615776,50038,489
2008-10-30$8.69$10.0097.7%28.0%121.7%66.8%87.6%7.5%0.0%176.4K4.4M-124.1K1.0211.7683685477,05038,597
2008-10-31$8.41$10.0090.8%26.0%122.2%60.1%93.4%4.7%4.3%143.4K7.6M-107.8K0.5413.8479442677,12038,682