JBL Options History — March 2009

In March 2009, JBL traded between $3.16 and $5.83. ATM implied volatility averaged 87.1%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded below realized volatility by 25.2% (HV 20d: 112.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2009-03-25: Highest Volume — 6,721 contracts
  • 2009-03-05: Largest IV spike — 100.6% change
  • 2009-03-11: Highest IV Rank — 66.7%
  • 2009-03-24: Largest Expected Move — 29.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.21$3.16$5.83$3.82$5.56
Max Pain$5.45$5.00$7.50$7.50$5.00
ATM IV87.1%48.3%104.3%86.8%89.5%
Expected Move23.3%13.9%29.3%24.9%25.6%
HV 20d112.3%75.9%151.7%75.9%145.1%
HV 60d92.7%79.8%109.6%79.8%108.7%
IV Rank51.1%15.9%66.7%50.8%53.2%
IV Percentile71.0%35.7%86.5%72.6%72.2%
Term Structure-4.2%-34.5%42.0%-18.0%-3.4%
VWIV87.3%73.8%102.1%73.8%89.5%
Skew 25d-1.2%-66.7%39.4%-36.7%30.0%
Skew 10d6.0%-68.1%43.8%-36.7%39.2%
Call IV 25d76.5%45.2%123.4%105.2%59.4%
Put IV 25d75.2%15.0%92.9%68.5%89.5%
Bid-Ask Spread %8.113.3014.333.3013.78
Gamma HHI0.410.310.550.370.47
Net GEX12.6K70039.5K1.7K37.2K
Net DEX1.3M-1.4M2.7M2.7M-1.1M
Net VEX-13.5K-26.0K-6.9K-10.3K-25.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.001.230.080.60
Total Volume1,035.273406,721142331
Total OI27,082.54519,66629,18228,71226,167

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$3.82$7.5086.8%24.9%75.9%50.8%0.0%-36.7%-18.0%1.7K2.7M-10.3K0.083.301321018,7339,979
2009-03-03$3.89$7.5051.5%14.8%76.1%18.7%0.0%9.5%42.0%2.2K2.7M-10.6K0.013.451,0441518,8169,957
2009-03-04$4.20$7.5048.3%13.9%83.2%15.9%73.8%-66.7%4.6%2.8K2.3M-12.8K0.104.434014019,2179,289
2009-03-05$3.58$7.5097.0%27.8%96.0%60.0%0.0%-52.8%-34.5%1.4K2.4M-8.3K0.164.12641019,2699,289
2009-03-06$3.26$5.0087.2%23.8%97.8%51.2%0.0%-36.1%-24.7%9152.3M-6.9K0.005.6840019,3459,289
2009-03-09$3.16$5.0091.7%17.7%91.8%55.2%0.0%2.1%21.0%1.4K2.1M-7.7K0.203.891102219,3309,232
2009-03-10$3.19$5.00102.3%17.1%92.7%64.9%0.0%-1.7%19.3%1.3K2.2M-7.5K0.053.9395519,4139,239
2009-03-11$3.24$5.00104.3%14.1%92.2%66.7%0.0%-3.3%30.3%9992.1M-6.9K1.235.68263219,3858,643
2009-03-12$3.54$5.0092.3%26.4%100.0%55.7%0.0%-2.5%-22.3%7002.2M-8.1K0.004.93384019,3958,675
2009-03-13$4.03$5.0090.2%25.9%114.4%53.9%90.4%3.3%-11.6%5.4K2.1M-11.7K0.009.62872019,6988,675
2009-03-16$4.00$5.0087.3%25.0%113.4%51.3%87.7%-0.7%-9.9%6.7K2.1M-11.4K0.0410.322361020,3178,675
2009-03-17$4.17$5.0088.6%25.4%114.1%52.4%88.7%3.6%-12.1%8.4K2.1M-11.7K0.198.681492920,4978,685
2009-03-18$4.26$5.0087.1%25.0%114.9%51.1%87.1%6.1%-12.8%9.6K1.9M-12.6K0.0014.33324020,5938,300
2009-03-19$4.26$5.0087.8%25.2%114.1%51.7%87.9%3.7%-13.2%9.9K1.9M-12.4K0.228.812275020,7418,300
2009-03-20$3.97$5.0093.3%26.7%115.9%56.7%93.5%-0.7%-16.4%8.0K1.9M-11.2K0.1411.39791120,8298,251
2009-03-23$4.31$5.0087.0%24.9%119.8%51.0%87.2%3.6%-9.3%11.6K1.0M-12.4K0.139.731,80323113,2876,379
2009-03-24$4.03$5.00102.2%29.3%121.6%64.7%102.1%-3.6%-21.1%15.8K449.0K-13.8K0.0211.032,9794814,5416,592
2009-03-25$5.20$5.0077.9%22.3%147.0%42.7%77.3%19.3%6.0%36.8K-292.5K-19.3K0.218.815,5541,16715,7876,639
2009-03-26$5.83$5.0088.3%25.3%151.7%52.2%87.7%39.4%-3.3%39.5K-1.4M-24.4K0.4110.343,1901,29716,7857,560
2009-03-27$5.69$5.0088.1%25.3%147.9%52.0%81.9%28.7%-0.9%38.4K-1.3M-26.0K1.2312.2339148217,6868,157
2009-03-30$5.47$5.0088.3%25.3%145.1%52.2%87.0%28.4%-1.8%35.7K-902.6K-24.9K0.689.9852636017,7918,389
2009-03-31$5.56$5.0089.5%25.6%145.1%53.2%89.5%30.0%-3.4%37.2K-1.1M-25.5K0.6013.7820712417,7438,424