JBL Options History — April 2009

In April 2009, JBL traded between $5.58 and $8.10. ATM implied volatility averaged 76.1%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 37.4% (HV 20d: 113.5%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2009-04-28: Highest Volume — 3,099 contracts
  • 2009-04-06: Largest IV spike — 55.6% change
  • 2009-04-08: Highest IV Rank — 70.8%
  • 2009-04-01: Largest Expected Move — 27.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.87$5.58$8.10$5.80$8.10
Max Pain$5.95$5.00$7.50$5.00$7.50
ATM IV76.1%63.1%108.9%94.1%74.2%
Expected Move21.5%19.2%27.0%27.0%21.3%
HV 20d113.5%77.2%143.7%143.7%77.7%
HV 60d109.3%106.6%113.5%109.0%107.1%
IV Rank41.1%29.3%70.8%57.4%39.3%
IV Percentile52.5%40.9%87.3%79.0%48.4%
Term Structure-1.5%-12.5%2.7%-7.3%-5.2%
VWIV76.6%68.8%94.1%94.1%71.8%
Skew 25d14.8%3.2%33.2%33.2%20.7%
Skew 10d27.2%10.1%49.0%49.0%32.1%
Call IV 25d60.4%49.0%75.3%54.3%49.0%
Put IV 25d75.2%57.9%90.0%87.4%69.7%
Bid-Ask Spread %11.125.2118.7015.4712.50
Gamma HHI0.670.490.780.530.75
Net GEX59.5K34.4K123.6K37.7K121.4K
Net DEX-2.9M-6.1M-935.6K-1.4M-6.1M
Net VEX-27.0K-31.4K-23.3K-25.0K-31.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.002.740.000.59
Total Volume717.952123,09912519
Total OI25,974.42924,25627,72826,12127,728

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$5.80$5.0094.1%27.0%143.7%57.4%94.1%33.2%-7.3%37.7K-1.4M-25.0K0.0015.4712017,6528,469
2009-04-02$6.30$5.0066.8%19.2%129.4%32.6%74.2%14.7%-1.6%40.9K-2.3M-26.8K0.185.2181914917,6558,469
2009-04-03$6.30$5.0063.1%20.6%121.8%29.3%89.9%24.1%0.6%39.8K-2.1M-26.1K0.1412.323825217,5348,605
2009-04-06$6.08$5.0098.2%26.0%122.1%61.1%83.6%11.8%-12.5%38.0K-1.7M-25.6K0.1418.671912717,4028,638
2009-04-07$5.58$5.0091.7%24.6%129.0%55.2%80.8%13.5%-0.4%36.3K-935.6K-23.3K1.238.4710412817,3308,632
2009-04-08$6.01$5.00108.9%25.6%129.9%70.8%91.4%14.0%-4.1%37.5K-1.6M-24.9K0.1618.70691117,3318,607
2009-04-09$6.63$5.0071.8%20.6%130.5%37.1%73.9%19.8%-0.2%38.1K-2.6M-25.5K0.7214.5749535517,3378,616
2009-04-13$6.62$5.0073.7%21.1%125.6%38.9%74.4%19.2%-0.6%37.3K-2.7M-26.5K2.7411.4517648317,5228,913
2009-04-14$6.53$5.0071.8%20.6%125.9%37.2%71.9%16.6%-0.2%34.4K-2.4M-26.1K0.0012.53244017,6469,206
2009-04-15$6.75$5.0070.4%20.2%125.8%35.9%71.8%20.0%-0.7%38.9K-2.7M-26.3K0.2917.722828317,7739,206
2009-04-16$7.13$5.0069.6%19.9%126.2%35.2%69.5%3.2%2.7%47.6K-3.7M-26.8K0.057.821,7568117,5288,763
2009-04-17$7.28$5.0070.1%20.1%125.9%35.7%72.4%7.3%0.4%70.6K-4.3M-28.3K0.228.013898718,7358,822
2009-04-20$6.77$5.0071.7%20.6%126.1%37.1%71.6%19.0%-0.7%58.8K-1.9M-25.9K1.669.556711,11616,5647,692
2009-04-21$7.18$7.5073.3%21.0%125.0%38.6%89.5%5.1%-1.4%67.7K-2.8M-27.0K0.507.5930415116,8467,586
2009-04-22$7.28$7.5074.0%21.2%120.2%39.2%72.0%9.6%-1.4%70.1K-3.1M-28.2K0.267.853228516,9547,730
2009-04-23$7.40$7.5070.9%20.3%85.9%36.3%70.9%8.0%2.2%73.3K-3.2M-27.9K2.127.245712116,8967,796
2009-04-24$7.71$7.5072.9%20.9%78.5%38.2%73.4%17.1%-1.8%77.6K-3.9M-29.4K0.777.0546736016,9497,916
2009-04-27$7.42$7.5072.5%20.8%79.6%37.8%73.2%8.7%-1.1%78.7K-3.4M-27.4K1.598.7031850517,1358,009
2009-04-28$7.47$7.5068.8%19.7%77.2%34.5%68.8%8.9%1.9%82.2K-3.5M-28.0K0.128.402,77432517,1988,345
2009-04-29$7.84$7.5070.0%20.1%78.1%35.6%69.1%17.1%0.5%123.6K-5.2M-30.4K0.2113.6150010719,2158,513
2009-04-30$8.10$7.5074.2%21.3%77.7%39.3%71.8%20.7%-5.2%121.4K-6.1M-31.4K0.5912.5032619319,3268,402