JBL Options History — May 2009

In May 2009, JBL traded between $7.00 and $8.94. ATM implied volatility averaged 71.0%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 3.9% (HV 20d: 74.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2009-05-12: Highest Volume — 4,800 contracts
  • 2009-05-07: Largest IV spike — 56.7% change
  • 2009-05-11: Highest IV Rank — 52.2%
  • 2009-05-04: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.98$7.00$8.94$8.03$7.83
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV71.0%52.5%88.4%68.0%66.0%
Expected Move20.2%18.6%21.9%19.5%18.9%
HV 20d74.9%66.1%81.5%74.1%73.7%
HV 60d107.5%102.6%110.5%107.1%102.6%
IV Rank34.1%15.6%52.2%33.7%27.5%
IV Percentile42.4%29.4%68.3%39.7%32.1%
Term Structure3.9%-0.8%8.6%3.4%6.9%
VWIV69.0%65.9%75.7%68.0%66.0%
Skew 25d5.0%-9.6%20.6%15.1%18.7%
Skew 10d10.0%-17.1%40.9%39.4%24.1%
Call IV 25d65.3%45.3%76.4%62.9%45.3%
Put IV 25d70.3%60.0%90.8%78.0%64.0%
Bid-Ask Spread %8.664.9515.137.8810.72
Gamma HHI0.600.430.880.760.54
Net GEX103.0K55.7K315.2K127.6K70.9K
Net DEX-4.1M-9.0M-372.2K-6.0M-2.3M
Net VEX-32.4K-34.7K-30.5K-31.2K-32.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.054.440.892.76
Total Volume1,008.8504,8001,105537
Total OI28,571.325,78832,02928,00428,202

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$8.03$7.5068.0%19.5%74.1%33.7%68.0%15.1%3.4%127.6K-6.0M-31.2K0.897.8858552019,4668,538
2009-05-04$8.68$7.5086.8%21.9%77.5%50.8%73.6%17.6%0.1%113.6K-7.9M-32.3K0.867.7038332819,6948,931
2009-05-05$8.53$7.5086.7%21.5%76.2%50.7%66.1%10.9%-0.8%118.6K-7.5M-31.7K0.649.6522514419,8769,211
2009-05-06$8.94$7.5052.5%18.6%66.4%19.6%66.4%20.6%1.0%100.9K-9.0M-31.7K0.059.173,07416220,0059,257
2009-05-07$8.26$7.5082.2%21.0%72.8%46.6%72.2%1.5%0.9%108.6K-6.1M-31.3K0.657.7776549519,1159,409
2009-05-08$8.41$7.5080.4%21.2%66.1%45.0%73.8%7.7%0.1%97.2K-6.4M-31.9K1.258.0919224018,9309,765
2009-05-11$8.09$7.5088.4%21.4%68.4%52.2%69.3%0.1%0.8%107.9K-5.5M-30.7K0.638.2552332819,0169,945
2009-05-12$7.78$7.5065.7%21.3%70.1%30.8%68.2%-5.6%3.5%139.9K-4.6M-30.5K2.349.111,4363,36419,3229,949
2009-05-13$7.00$7.5052.9%21.5%80.3%15.6%75.7%6.7%0.5%65.3K-372.2K-31.8K0.2315.131,50034719,14712,387
2009-05-14$7.49$7.5071.0%20.4%81.5%33.0%69.7%-6.7%4.6%189.3K-2.8M-33.2K0.894.9532328720,12311,906
2009-05-15$7.49$7.5069.3%19.9%81.2%31.4%69.4%-7.3%3.5%315.2K-2.1M-32.6K0.376.8929911118,70412,085
2009-05-18$7.75$7.5067.5%19.4%77.1%29.6%66.5%-5.0%7.0%55.7K-2.4M-32.5K0.867.5360352016,0759,713
2009-05-19$8.02$7.5067.5%19.4%75.3%29.6%66.3%2.7%8.6%60.0K-3.1M-34.0K0.297.9059817216,44310,196
2009-05-20$8.18$7.5070.3%20.2%75.4%32.3%65.9%2.9%5.7%63.9K-3.6M-34.7K0.2212.2367714616,90610,270
2009-05-21$7.83$7.5069.6%19.9%77.3%31.6%69.5%-2.5%6.5%62.3K-2.6M-34.0K1.097.399210017,11110,394
2009-05-22$7.63$7.5067.3%19.3%76.6%28.9%66.4%-9.6%7.2%61.3K-2.2M-33.0K1.788.30183217,12710,431
2009-05-26$7.93$7.5069.8%20.0%76.4%31.2%68.4%-2.6%5.6%65.9K-2.7M-32.9K4.446.7912655917,13510,461
2009-05-27$7.83$7.5068.5%19.6%76.6%29.9%68.8%17.0%6.9%68.3K-2.4M-32.6K0.798.97957517,22310,811
2009-05-28$7.84$7.5069.8%20.0%74.7%31.2%70.0%17.3%4.9%68.6K-2.3M-32.4K0.708.761158017,27610,871
2009-05-29$7.83$7.5066.0%18.9%73.7%27.5%66.0%18.7%6.9%70.9K-2.3M-32.0K2.7610.7214339417,36010,842