JBL Options History — July 2009

In July 2009, JBL traded between $6.73 and $9.16. ATM implied volatility averaged 47.7%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 7.4% (HV 20d: 55.1%). 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 19 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2009-07-17: Highest Volume — 2,133 contracts
  • 2009-07-14: Largest IV spike — 72.7% change
  • 2009-07-15: Highest IV Rank — 26.0%
  • 2009-07-06: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.02$6.73$9.16$7.67$9.16
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV47.7%32.7%60.8%50.5%39.8%
Expected Move14.2%11.4%16.4%14.5%11.4%
HV 20d55.1%45.8%60.4%57.4%45.8%
HV 60d64.6%60.7%70.0%70.0%60.7%
IV Rank13.1%0.0%26.0%12.6%6.5%
IV Percentile11.8%0.0%23.0%17.1%2.4%
Term Structure1.8%-1.6%7.0%2.8%5.3%
VWIV52.5%34.6%69.5%50.5%39.9%
Skew 25d11.5%-10.1%22.8%10.7%15.5%
Skew 10d18.7%-8.4%37.6%18.7%28.5%
Call IV 25d43.6%26.2%50.5%45.4%47.5%
Put IV 25d55.1%35.2%67.4%56.1%63.0%
Bid-Ask Spread %10.365.2222.0512.126.49
Gamma HHI0.370.270.510.300.51
Net GEX31.1K12.8K48.7K28.1K39.5K
Net DEX-2.2M-6.1M2.8M-1.5M-6.1M
Net VEX-32.1K-37.2K-28.2K-37.2K-31.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.085.000.590.74
Total Volume614.0911502,133479476
Total OI31,306.63627,94834,02033,27229,088

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$7.67$7.5050.5%14.5%57.4%12.6%50.5%10.7%2.8%28.1K-1.5M-37.2K0.5912.1230117819,24214,030
2009-07-02$7.22$7.5047.4%13.6%58.8%9.6%47.4%6.8%7.0%17.7K523.3K-34.2K5.0010.672512519,14214,037
2009-07-06$7.13$7.5056.7%16.4%57.6%18.6%57.1%22.4%-0.7%16.4K879.1K-32.9K0.286.7839311019,15214,086
2009-07-07$6.81$7.5058.6%15.9%58.7%20.4%55.6%15.3%0.0%16.7K1.9M-30.5K0.155.771422219,42614,073
2009-07-08$6.73$7.5032.8%15.5%53.1%0.0%54.0%16.4%0.7%12.8K2.8M-28.2K4.0018.973313219,54414,058
2009-07-09$6.97$7.5055.4%15.7%53.4%20.9%69.0%19.3%0.9%22.9K1.6M-30.7K0.499.7824312019,56514,086
2009-07-10$6.82$7.5032.7%14.8%52.5%0.0%62.4%16.9%3.7%13.8K2.5M-28.5K4.347.539139519,52514,078
2009-07-13$7.03$7.5033.3%15.5%54.0%0.5%69.5%-0.1%0.4%19.9K2.1M-28.9K0.198.502675219,50614,321
2009-07-14$7.24$7.5057.5%14.8%53.8%22.9%51.5%5.0%1.1%34.9K970.9K-30.4K1.148.0423226419,52514,305
2009-07-15$7.77$7.5060.8%15.5%57.5%26.0%54.1%13.1%-1.2%48.7K-2.2M-32.6K0.556.9849527419,57214,249
2009-07-16$8.20$7.5052.0%14.9%59.6%17.9%52.1%18.9%1.2%23.4K-4.7M-32.8K0.2610.201,09327919,61114,409
2009-07-17$8.16$7.5051.1%14.6%59.6%17.0%51.1%17.0%0.5%25.8K-4.4M-32.7K0.2010.231,78434919,71214,071
2009-07-20$8.51$7.5053.8%15.4%60.4%19.5%53.5%5.9%-1.6%33.2K-3.6M-33.4K1.207.8455666816,02211,928
2009-07-21$8.45$7.5051.1%14.7%58.3%17.0%49.6%22.8%1.2%34.2K-3.4M-32.9K0.5414.2541022116,06111,887
2009-07-22$8.74$7.5054.5%15.6%54.2%20.1%43.8%10.1%0.1%36.9K-4.4M-33.0K0.7711.4035227016,22511,911
2009-07-23$8.90$7.5042.2%12.1%53.9%8.8%51.7%13.4%4.8%40.1K-4.8M-33.4K1.0522.0548150716,29311,838
2009-07-24$9.05$7.5043.0%12.3%53.2%9.5%54.8%8.2%3.0%43.3K-5.4M-32.7K1.289.5730539116,58912,088
2009-07-27$9.07$7.5044.5%12.7%52.8%10.9%34.6%-10.1%2.1%44.5K-5.6M-32.6K1.0910.5914615916,81012,106
2009-07-28$8.99$7.5039.9%11.4%52.1%6.7%51.0%11.0%6.9%43.3K-5.2M-33.0K1.195.2213516016,71412,136
2009-07-29$8.81$7.5045.5%13.1%53.0%11.9%44.6%3.6%1.8%42.0K-4.7M-32.6K0.935.4525323616,68612,061
2009-07-30$9.02$7.5045.4%13.0%52.5%11.7%57.5%10.1%0.4%46.0K-5.4M-32.6K0.0819.583582716,92912,049
2009-07-31$9.16$7.5039.8%11.4%45.8%6.5%39.9%15.5%5.3%39.5K-6.1M-31.2K0.746.4927420217,01712,071