JBL Options History — August 2009

In August 2009, JBL traded between $9.33 and $11.16. ATM implied volatility averaged 54.1%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 6.2% (HV 20d: 47.9%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2009-08-03: Highest Volume — 12,389 contracts
  • 2009-08-21: Largest IV spike — 12.0% change
  • 2009-08-04: Highest IV Rank — 24.4%
  • 2009-08-04: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.11$9.33$11.16$9.56$10.95
Max Pain$7.98$7.50$10.00$7.50$10.00
ATM IV54.1%49.6%59.1%54.4%57.5%
Expected Move15.5%14.3%17.0%15.6%16.5%
HV 20d47.9%39.4%58.0%46.1%57.4%
HV 60d55.5%52.9%59.3%59.0%55.4%
IV Rank19.8%15.7%24.4%20.0%22.9%
IV Percentile16.7%9.9%22.2%19.0%20.6%
Term Structure5.3%-5.0%10.8%-1.5%10.1%
VWIV53.6%43.5%59.1%54.4%57.5%
Skew 25d8.6%-7.1%23.1%-6.3%6.7%
Skew 10d14.6%-5.2%38.4%-3.9%8.6%
Call IV 25d46.8%38.3%56.6%49.2%49.8%
Put IV 25d55.5%43.0%61.8%43.0%56.5%
Bid-Ask Spread %9.375.3018.636.4212.15
Gamma HHI0.740.510.910.510.54
Net GEX354.6K48.3K549.4K48.3K301.9K
Net DEX-13.4M-20.6M-7.0M-7.0M-16.0M
Net VEX-59.8K-67.5K-32.9K-32.9K-65.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.023.700.030.43
Total Volume2,671.61927312,38912,389273
Total OI44,483.57129,16349,25829,16344,612

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$9.56$7.5054.4%15.6%46.1%20.0%54.4%-6.3%-1.5%48.3K-7.0M-32.9K0.036.4212,03335616,93412,229
2009-08-04$9.89$7.5059.1%17.0%40.6%24.4%59.1%3.0%-5.0%205.2K-11.9M-47.4K0.028.9310,00520525,04312,463
2009-08-05$9.90$7.5054.9%15.8%39.5%20.5%55.1%2.7%0.7%325.4K-14.7M-56.4K0.089.571,66712630,41312,590
2009-08-06$9.51$7.5054.8%15.7%44.3%20.5%54.8%-7.1%1.5%321.3K-12.5M-56.2K1.106.6024927331,34512,649
2009-08-07$9.79$7.5049.6%15.2%42.2%15.7%52.9%8.2%5.3%371.7K-14.1M-56.8K0.428.781,73873531,38712,873
2009-08-10$9.64$7.5055.3%15.1%43.6%20.9%52.8%23.1%3.9%349.4K-12.7M-55.1K0.0510.275,43229231,48713,465
2009-08-11$9.75$7.5055.8%15.1%43.3%21.3%55.7%16.4%3.7%402.4K-14.4M-59.0K1.285.3037748133,57313,519
2009-08-12$10.27$7.5050.3%14.7%40.5%16.3%51.4%10.0%6.0%475.8K-18.5M-59.1K0.315.334,5951,42233,72113,808
2009-08-13$10.06$7.5050.0%14.3%39.4%16.0%50.4%8.5%7.8%483.5K-13.9M-67.5K1.536.4924737733,22814,716
2009-08-14$9.87$7.5051.1%14.6%40.4%17.0%51.1%20.6%6.7%486.6K-12.1M-67.2K3.706.597728533,40214,727
2009-08-17$9.33$7.5052.1%14.9%44.8%17.9%52.8%14.2%5.3%366.1K-7.6M-60.0K0.5016.7286343033,38914,970
2009-08-18$9.74$7.5052.9%15.2%46.5%18.7%52.9%21.9%6.1%512.6K-10.8M-64.7K0.187.8992216333,81715,163
2009-08-19$9.72$7.5052.6%15.1%45.5%18.4%53.2%21.5%5.3%549.4K-10.6M-63.4K0.326.7137912233,89015,151
2009-08-20$9.66$7.5051.9%14.9%45.5%17.7%50.1%20.0%5.3%481.0K-8.6M-60.6K0.586.0174743433,86315,163
2009-08-21$10.71$7.5058.1%16.7%57.4%23.5%57.4%2.8%2.1%333.7K-20.6M-64.3K0.7110.121,36897634,03815,220
2009-08-24$10.56$7.5055.1%15.8%58.0%20.7%55.2%-4.5%10.7%290.5K-13.9M-63.9K0.5411.831,73594328,67212,960
2009-08-25$10.80$7.5057.0%16.3%57.8%22.5%57.0%5.7%6.3%277.3K-14.8M-63.4K0.9618.6353851928,49513,129
2009-08-26$10.63$10.0053.7%15.4%57.6%19.4%43.5%1.5%10.3%283.6K-13.7M-63.8K0.0910.821,22111528,53413,458
2009-08-27$10.81$10.0053.8%15.4%57.4%19.5%53.4%5.0%10.8%299.1K-14.8M-64.2K0.8810.3350544629,43913,551
2009-08-28$11.16$10.0056.3%16.1%57.9%21.8%55.3%7.2%9.2%282.6K-17.1M-64.5K0.6011.361,51991429,48713,582
2009-08-31$10.95$10.0057.5%16.5%57.4%22.9%57.5%6.7%10.1%301.9K-16.0M-65.0K0.4312.151918230,36314,249