JBL Options History — January 2009

In January 2009, JBL traded between $5.46 and $7.59. ATM implied volatility averaged 79.3%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded above realized volatility by 1.7% (HV 20d: 77.6%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 4.89.

Notable Days

2009-01-28: Highest Volume — 2,928 contracts
2009-01-14: Largest IV spike — 74.4% change
2009-01-14: Highest IV Rank — 73.1%
2009-01-27: Largest Expected Move — 26.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.44	$5.46	$7.59	$7.09	$5.82
Max Pain	$7.38	$5.00	$10.00	$10.00	$7.50
ATM IV	79.3%	51.5%	111.3%	72.7%	81.0%
Expected Move	22.2%	14.8%	26.6%	20.8%	23.2%
HV 20d	77.6%	64.5%	90.9%	72.4%	90.2%
HV 60d	103.6%	99.5%	111.6%	111.6%	101.7%
IV Rank	44.0%	18.7%	73.1%	38.0%	45.6%
IV Percentile	71.0%	48.0%	88.1%	70.6%	69.0%
Term Structure	0.7%	-12.7%	4.6%	-1.0%	-3.0%
VWIV	68.2%	45.1%	87.0%	72.8%	74.4%
Skew 25d	12.1%	-0.6%	30.4%	6.0%	30.4%
Skew 10d	24.5%	1.1%	43.4%	12.8%	42.1%
Call IV 25d	67.4%	47.8%	83.0%	66.4%	47.8%
Put IV 25d	79.4%	72.4%	87.1%	72.4%	78.3%
Bid-Ask Spread %	15.53	6.67	26.39	6.91	16.02
Gamma HHI	0.39	0.20	0.56	0.46	0.52
Net GEX	10.9K	-14.9K	34.9K	-14.9K	26.1K
Net DEX	7.9M	3.9M	12.1M	10.9M	4.4M
Net VEX	-27.9K	-37.1K	-21.3K	-32.3K	-23.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.89	0.02	37.67	0.12	7.68
Total Volume	820	83	2,928	1,949	521
Total OI	59,398.2	32,397	81,180	78,856	35,910

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2009-01-02	$7.09	$10.00	72.7%	20.8%	72.4%	38.0%	72.8%	6.0%	-1.0%	-14.9K	10.9M	-32.3K	0.12	6.91	1,741	208	46,805	32,051
2009-01-05	$7.27	$5.00	77.3%	21.1%	72.2%	42.2%	73.6%	11.8%	1.2%	1.4K	10.0M	-36.1K	2.04	17.74	264	538	47,777	32,152
2009-01-06	$7.59	$5.00	71.5%	21.1%	72.8%	36.9%	76.7%	9.8%	-0.0%	-2.9K	9.7M	-37.1K	0.95	12.27	359	341	47,811	32,501
2009-01-07	$7.32	$7.50	74.8%	21.2%	73.8%	39.9%	64.3%	12.4%	0.7%	212	10.1M	-36.2K	0.57	18.83	262	150	47,954	32,466
2009-01-08	$7.00	$7.50	76.8%	20.2%	73.8%	41.7%	70.7%	25.7%	4.5%	951	10.8M	-32.3K	0.54	12.17	405	220	47,974	32,496
2009-01-09	$6.98	$7.50	66.0%	19.2%	73.6%	31.9%	60.5%	19.9%	4.6%	-2.6K	11.1M	-31.9K	19.24	20.66	21	404	48,203	32,668
2009-01-12	$6.63	$7.50	86.5%	20.2%	68.2%	50.5%	70.8%	17.6%	3.4%	11.7K	12.1M	-27.6K	0.08	13.27	539	43	48,223	32,790
2009-01-13	$6.56	$7.50	63.9%	20.4%	65.0%	30.0%	71.2%	18.4%	1.0%	14.9K	11.7M	-27.7K	0.47	15.20	129	60	48,706	32,441
2009-01-14	$6.07	$7.50	111.3%	24.8%	69.0%	73.1%	75.6%	10.6%	-1.3%	12.3K	11.4M	-25.0K	0.70	16.12	60	42	48,670	32,481
2009-01-15	$6.11	$7.50	84.4%	24.2%	65.0%	48.6%	45.1%	10.8%	4.3%	12.0K	11.4M	-25.0K	15.55	16.99	97	1,508	48,673	32,498
2009-01-16	$5.92	$7.50	82.9%	23.8%	64.5%	47.2%	67.3%	13.9%	1.8%	9.4K	11.2M	-24.2K	0.13	20.23	1,164	146	48,703	32,477
2009-01-20	$5.46	$7.50	82.5%	23.7%	66.3%	46.9%	78.7%	-0.6%	3.6%	10.4K	4.3M	-21.3K	1.60	6.67	104	166	18,419	13,978
2009-01-21	$6.37	$7.50	70.1%	20.1%	87.6%	35.7%	71.4%	9.1%	4.1%	20.4K	3.9M	-27.2K	0.24	17.54	1,896	448	18,502	14,052
2009-01-22	$6.06	$7.50	86.7%	24.9%	89.4%	50.7%	65.9%	9.2%	0.7%	16.4K	4.0M	-25.3K	6.74	19.77	27	182	18,501	14,064
2009-01-23	$6.10	$7.50	84.5%	24.2%	87.9%	48.7%	0.0%	6.9%	1.4%	16.7K	4.1M	-25.6K	1.18	26.39	38	45	18,514	14,237
2009-01-26	$5.78	$7.50	86.9%	24.9%	89.9%	50.9%	87.0%	4.9%	-1.4%	12.4K	4.4M	-22.6K	2.29	8.27	262	599	18,541	14,272
2009-01-27	$6.12	$7.50	92.8%	26.6%	90.1%	56.2%	61.1%	8.9%	-12.7%	16.8K	4.3M	-25.2K	0.08	15.28	232	19	18,794	14,500
2009-01-28	$6.36	$7.50	51.5%	14.8%	90.9%	18.7%	62.3%	12.3%	4.6%	21.0K	4.2M	-26.1K	0.02	19.59	2,865	63	18,850	14,492
2009-01-29	$6.09	$7.50	82.9%	23.8%	90.5%	47.2%	47.0%	3.1%	-1.4%	34.9K	4.2M	-25.3K	37.67	10.70	6	226	21,345	14,473
2009-01-30	$5.82	$7.50	81.0%	23.2%	90.2%	45.6%	74.4%	30.4%	-3.0%	26.1K	4.4M	-23.4K	7.68	16.02	60	461	21,350	14,560