JBL Options History — December 2008

In December 2008, JBL traded between $5.98 and $6.91. ATM implied volatility averaged 108.5%, placing in the 70.5% IV rank vs the trailing year. The 30-day expected move averaged 30.5%. IV traded above realized volatility by 5.6% (HV 20d: 102.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2008-12-18: Highest Volume — 5,163 contracts
  • 2008-12-26: Largest IV drop — 22.2% change
  • 2008-12-03: Highest IV Rank — 100.0%
  • 2008-12-03: Largest Expected Move — 40.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.41$5.98$6.91$6.20$6.75
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV108.5%75.9%141.0%127.3%79.0%
Expected Move30.5%21.8%40.4%36.5%22.7%
HV 20d102.9%69.7%136.2%136.2%70.7%
HV 60d114.8%111.3%118.0%115.6%111.9%
IV Rank70.5%40.9%100.0%87.7%43.8%
IV Percentile87.5%72.6%100.0%96.8%73.0%
Term Structure-12.0%-22.8%4.1%-1.4%-5.8%
VWIV106.9%80.6%129.3%129.3%108.1%
Skew 25d11.8%-6.5%28.0%-6.5%28.0%
Skew 10d19.4%-12.5%46.7%-12.5%46.7%
Call IV 25d102.6%74.6%131.6%131.6%74.6%
Put IV 25d114.4%94.3%139.4%125.1%102.5%
Bid-Ask Spread %10.515.5015.0913.845.50
Gamma HHI0.370.200.680.200.55
Net GEX-25.0K-53.4K-1.4K-1.4K-24.7K
Net DEX13.4M11.1M15.9M13.0M11.1M
Net VEX-36.2K-47.3K-24.8K-46.5K-32.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.006.440.050.18
Total Volume1,201.773975,163435591
Total OI99,862.54576,334117,359109,10178,993

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$6.20$10.00127.3%36.5%136.2%87.7%129.3%-6.5%-1.4%-1.4K13.0M-46.5K0.0513.844161973,20235,899
2008-12-02$6.13$10.00135.8%38.9%135.3%95.4%129.0%8.0%-12.6%-8.7K13.6M-43.8K0.0212.17206573,23435,799
2008-12-03$6.23$10.00141.0%40.4%133.1%100.0%120.4%14.8%-22.8%-10.0K13.8M-43.4K0.1710.081462573,28435,794
2008-12-04$6.14$10.00132.0%37.9%131.6%91.9%0.0%5.8%-10.6%-17.4K14.6M-38.0K0.0014.751,051073,42335,793
2008-12-05$6.34$10.00117.6%31.8%131.6%78.8%112.2%11.4%-15.8%-14.8K14.0M-40.5K0.267.781223274,74735,082
2008-12-08$6.57$10.00124.6%30.9%131.6%85.1%104.7%6.3%-16.1%-11.6K13.4M-43.4K0.248.0986321174,69734,697
2008-12-09$6.91$10.00119.0%31.0%131.9%80.0%112.6%7.0%-14.1%-4.1K13.0M-47.3K0.628.4918111274,80834,684
2008-12-10$6.81$10.00119.8%29.7%130.2%80.8%103.6%9.3%-10.7%-10.9K13.3M-44.1K0.288.33762174,95634,369
2008-12-11$6.22$10.00122.2%35.0%120.5%82.9%114.8%5.2%-18.7%-18.1K13.6M-37.4K0.539.8690447875,00334,384
2008-12-12$6.60$10.00108.4%31.1%107.3%70.4%112.4%12.9%-16.0%-18.7K13.8M-39.9K0.158.776019375,40834,617
2008-12-15$6.32$10.00111.7%32.0%96.1%73.4%113.1%6.6%-18.4%-20.2K14.4M-35.0K1.9312.5033464675,32334,658
2008-12-16$6.72$10.00113.4%32.5%97.0%75.0%118.1%8.8%-21.4%-17.5K14.5M-38.4K1.6610.801,2372,05575,45434,682
2008-12-17$6.91$10.00109.0%31.2%97.3%70.9%109.5%19.2%-16.6%-26.4K13.8M-41.6K0.0610.261,6629976,19936,491
2008-12-18$6.46$10.00105.7%30.3%81.9%67.9%122.2%14.0%-18.7%-23.8K14.8M-35.6K2.5512.671,4563,70777,20636,502
2008-12-19$6.32$10.0090.4%25.9%82.6%54.1%91.7%6.8%-8.6%-48.1K15.9M-31.1K1.6315.098851,44177,71239,647
2008-12-22$6.33$10.0085.6%24.5%82.3%49.7%90.8%18.6%-7.2%-49.3K12.3M-28.7K0.5210.8382842944,23532,334
2008-12-23$6.05$10.00103.2%29.6%77.7%65.7%103.1%14.4%-13.3%-53.4K12.2M-27.7K6.447.492681,72744,79232,389
2008-12-24$5.98$10.0097.5%28.0%77.8%60.5%93.0%13.1%-8.5%-47.5K12.2M-25.4K0.0811.345114144,73331,739
2008-12-26$6.32$10.0075.9%21.8%70.7%40.9%80.6%16.4%-5.2%-42.1K12.4M-26.1K0.248.123217844,94031,760
2008-12-29$6.19$10.0092.0%26.4%70.9%55.5%80.7%18.5%4.1%-42.5K12.3M-24.8K0.1712.492554345,14831,825
2008-12-30$6.49$10.0076.3%21.9%69.7%41.3%96.1%20.7%-4.8%-38.9K11.9M-25.3K0.8712.081,2071,05645,23731,097
2008-12-31$6.75$10.0079.0%22.7%70.7%43.8%108.1%28.0%-5.8%-24.7K11.1M-32.0K0.185.505019046,86332,130