JBL Options History — June 2009

In June 2009, JBL traded between $6.61 and $8.58. ATM implied volatility averaged 70.0%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 6.3% (HV 20d: 63.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.36.

Notable Days

  • 2009-06-24: Highest Volume — 6,987 contracts
  • 2009-06-24: Largest IV drop — 31.6% change
  • 2009-06-23: Highest IV Rank — 44.2%
  • 2009-06-23: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.53$6.61$8.58$8.40$7.42
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV70.0%49.5%83.3%69.1%50.8%
Expected Move20.2%14.2%23.9%19.8%14.6%
HV 20d63.7%54.7%77.9%77.9%57.5%
HV 60d85.6%70.2%97.0%97.0%70.2%
IV Rank31.3%11.6%44.2%30.5%12.9%
IV Percentile40.2%17.1%57.9%35.7%18.3%
Term Structure-1.9%-12.6%8.5%7.1%2.9%
VWIV68.0%42.1%82.6%61.0%50.9%
Skew 25d9.4%-0.2%31.2%3.1%7.9%
Skew 10d19.9%-13.9%86.5%7.1%12.5%
Call IV 25d65.4%39.7%83.3%64.5%47.9%
Put IV 25d74.8%50.9%96.0%67.7%55.7%
Bid-Ask Spread %9.075.2713.658.8211.08
Gamma HHI0.460.290.730.470.29
Net GEX60.1K20.6K152.6K70.7K24.8K
Net DEX-1.2M-4.6M4.4M-4.0M-497.8K
Net VEX-30.4K-36.6K-23.5K-32.9K-36.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0522.921.200.81
Total Volume1,977.955296,98789329
Total OI30,530.68222,20838,41828,44233,263

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$8.40$7.5069.1%19.8%77.9%30.5%61.0%3.1%7.1%70.7K-4.0M-32.9K1.208.8240548817,47210,970
2009-06-02$8.41$7.5069.8%20.0%72.6%31.2%69.7%-0.2%2.0%75.0K-4.1M-33.0K3.077.9416550617,50611,000
2009-06-03$8.06$7.5066.7%19.1%73.8%28.2%66.7%31.2%8.5%73.0K-3.0M-32.6K2.407.7027566017,53311,420
2009-06-04$8.38$7.5070.4%20.2%73.2%31.8%42.1%27.8%4.8%62.4K-3.8M-33.1K4.8612.7011857317,66411,886
2009-06-05$8.58$7.5074.1%21.9%67.9%35.4%69.6%12.8%-3.1%64.8K-4.6M-33.4K0.5510.3719810817,70611,635
2009-06-08$8.34$7.5071.6%22.1%68.5%33.0%71.1%3.4%-3.5%68.0K-4.0M-32.1K0.088.783232617,61911,512
2009-06-09$7.72$7.5076.9%21.9%72.6%38.1%74.0%11.0%-3.3%72.7K-2.1M-30.7K0.3313.651,42147217,92511,507
2009-06-10$7.40$7.5072.9%22.0%72.8%34.2%77.5%5.5%-4.5%73.1K-1.2M-29.3K0.309.801,09833118,08111,455
2009-06-11$7.61$7.5078.2%22.4%62.4%39.3%75.0%11.3%-6.5%91.5K-2.2M-30.3K0.0511.072,48412718,77611,582
2009-06-12$7.55$7.5077.0%22.1%57.8%38.1%77.0%10.0%-5.6%152.6K-2.6M-31.2K22.9210.801092,49820,84311,689
2009-06-15$7.29$7.5078.5%22.5%59.2%39.6%76.2%11.0%-7.0%111.1K-841.5K-29.9K0.057.077784220,91813,181
2009-06-16$7.02$7.5078.4%22.5%58.9%39.5%78.4%3.6%-7.1%85.9K556.6K-27.6K0.226.9865414720,82313,130
2009-06-17$6.94$7.5078.5%22.5%57.1%39.6%80.0%1.5%-6.9%77.3K546.6K-26.8K3.997.304271,70521,30113,023
2009-06-18$6.90$7.5077.8%22.3%56.2%39.0%79.0%1.5%-6.6%21.6K2.8M-25.3K15.576.651692,63221,58914,318
2009-06-19$6.85$7.5075.0%21.5%54.7%36.2%76.4%1.9%-5.5%21.8K4.4M-24.8K11.566.502943,39821,69416,724
2009-06-22$6.61$7.5081.0%23.2%55.2%42.0%81.1%14.1%-9.5%20.6K195.2K-23.5K0.096.552,25519714,0938,115
2009-06-23$7.12$7.5083.3%23.9%60.4%44.2%82.6%31.1%-12.6%41.4K-908.6K-27.0K1.005.272,0632,06415,3938,214
2009-06-24$7.32$7.5057.0%16.3%61.4%18.8%57.0%4.8%3.4%32.1K-562.8K-28.1K1.278.393,0743,91316,02810,044
2009-06-25$7.21$7.5051.7%14.8%61.5%13.7%51.7%2.6%3.4%23.7K125.2K-31.0K0.9112.222,3042,09517,40911,898
2009-06-26$7.16$7.5050.7%14.5%61.5%12.7%50.7%2.5%3.6%23.9K392.3K-33.7K0.5910.151,19270018,53213,256
2009-06-29$7.46$7.5049.5%14.2%57.6%11.6%49.5%8.3%3.7%34.5K-826.8K-36.4K2.059.8432767119,32913,619
2009-06-30$7.42$7.5050.8%14.6%57.5%12.9%50.9%7.9%2.9%24.8K-497.8K-36.6K0.8111.08161319,24014,023