JBL Options History — September 2009

In September 2009, JBL traded between $10.56 and $13.41. ATM implied volatility averaged 62.1%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 12.1% (HV 20d: 50.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2009-09-30: Highest Volume — 16,425 contracts
  • 2009-09-30: Largest IV drop — 32.1% change
  • 2009-09-28: Highest IV Rank — 38.0%
  • 2009-09-28: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.91$10.56$13.41$10.95$13.41
Max Pain$11.19$10.00$12.50$10.00$12.50
ATM IV62.1%48.4%73.8%56.4%48.4%
Expected Move18.3%13.9%21.2%16.2%13.9%
HV 20d50.0%37.8%59.2%56.6%52.8%
HV 60d51.0%49.1%55.0%55.0%50.4%
IV Rank27.1%14.6%38.0%21.9%14.6%
IV Percentile24.1%4.8%44.4%18.3%4.8%
Term Structure-2.7%-11.7%13.0%10.4%6.2%
VWIV63.9%48.6%75.4%56.2%48.6%
Skew 25d9.7%5.3%20.0%5.3%7.4%
Skew 10d18.9%0.9%106.9%8.2%12.6%
Call IV 25d60.1%34.0%73.5%50.3%48.4%
Put IV 25d69.9%54.0%84.1%55.6%55.8%
Bid-Ask Spread %13.669.3820.7711.5215.28
Gamma HHI0.500.440.570.530.47
Net GEX302.4K262.6K442.4K296.0K442.4K
Net DEX-20.2M-27.3M-13.2M-16.0M-27.3M
Net VEX-74.8K-83.2K-63.2K-64.8K-82.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.041.030.290.24
Total Volume2,917.47671116,4251,68816,425
Total OI47,656.66739,41053,32544,37951,659

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$10.95$10.0056.4%16.2%56.6%21.9%56.2%5.3%10.4%296.0K-16.0M-64.8K0.2911.521,30438430,11414,265
2009-09-02$10.56$10.0054.7%15.7%58.4%20.3%54.7%19.2%13.0%309.8K-13.2M-63.2K0.789.381,15390430,00014,160
2009-09-03$10.72$10.0054.0%15.5%56.2%19.7%54.0%20.0%12.6%316.6K-14.1M-65.4K0.1710.4660610530,71514,816
2009-09-04$11.08$10.0052.3%19.2%56.5%18.1%62.2%9.1%-4.5%287.2K-16.7M-65.2K0.0417.633,98014230,70714,837
2009-09-08$11.12$10.0058.9%19.8%55.9%24.2%65.8%10.0%-5.9%327.0K-18.3M-70.3K0.7517.5455041333,72514,807
2009-09-09$11.83$10.0052.5%18.4%59.2%18.3%64.7%9.0%-3.8%289.2K-22.9M-71.8K0.1815.133,14056633,88514,905
2009-09-10$11.78$10.0064.8%18.6%57.2%29.6%66.7%6.1%-5.1%310.9K-23.6M-75.3K0.8312.7190475035,74315,067
2009-09-11$11.77$10.0062.1%17.8%56.4%27.2%62.1%8.2%-3.8%309.4K-23.3M-75.8K0.2410.1066416136,02815,726
2009-09-14$11.91$10.0064.6%18.5%55.5%29.5%64.8%9.3%-5.2%262.6K-24.2M-74.9K0.2911.7459016936,20515,865
2009-09-15$11.89$10.0063.8%18.3%50.0%28.7%65.8%7.4%-5.3%281.9K-24.2M-75.1K0.3711.6654820336,42415,922
2009-09-16$12.20$10.0064.9%18.6%49.0%29.7%64.9%7.1%-4.4%289.1K-26.3M-76.1K0.249.722,28155436,52515,948
2009-09-17$11.91$12.5065.1%18.7%50.3%30.0%65.2%8.8%-5.7%271.9K-24.7M-75.6K0.2411.0491221637,34015,985
2009-09-18$12.41$12.5065.9%18.9%51.1%30.7%66.0%7.7%-6.3%336.4K-27.3M-76.2K0.5613.7461834637,26516,032
2009-09-21$12.40$12.5064.0%18.4%38.4%29.0%64.0%11.6%-4.6%275.2K-17.3M-74.9K1.0317.971,1961,23728,64210,768
2009-09-22$12.34$12.5064.4%18.5%37.8%29.3%66.3%7.6%-4.8%271.5K-17.0M-77.4K0.5614.911,14864329,44011,705
2009-09-23$12.69$12.5064.8%18.6%38.2%29.7%64.9%10.9%-4.0%285.4K-19.2M-78.8K0.4917.511,37567030,18812,240
2009-09-24$12.53$12.5067.8%19.4%37.9%32.5%67.7%10.8%-7.2%292.5K-18.5M-81.3K0.2910.021,18634431,07412,700
2009-09-25$11.87$12.5068.7%19.7%43.7%33.3%69.7%9.6%-5.1%276.0K-14.4M-79.9K0.7220.772,4501,75831,45812,964
2009-09-28$12.38$12.5073.8%21.2%44.7%38.0%75.4%12.6%-11.7%302.1K-17.5M-82.6K0.5411.842,7641,47932,42513,975
2009-09-29$12.28$12.5071.3%20.4%44.1%35.7%72.5%6.7%-10.7%316.4K-17.3M-83.2K0.5016.194,2842,14533,68914,852
2009-09-30$13.41$12.5048.4%13.9%52.8%14.6%48.6%7.4%6.2%442.4K-27.3M-82.5K0.2415.2813,2893,13635,83315,826