JBL Options History — October 2009

In October 2009, JBL traded between $12.89 and $15.38. ATM implied volatility averaged 45.0%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 5.8% (HV 20d: 50.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2009-10-14: Highest Volume — 9,773 contracts
  • 2009-10-28: Largest IV spike — 25.5% change
  • 2009-10-05: Highest IV Rank — 21.1%
  • 2009-10-05: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.37$12.89$15.38$12.89$13.38
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV45.0%39.3%55.5%50.5%50.2%
Expected Move13.2%11.3%16.3%14.5%14.4%
HV 20d50.8%44.0%54.5%53.2%50.4%
HV 60d49.9%48.2%52.7%51.2%52.7%
IV Rank11.4%6.1%21.1%16.4%16.1%
IV Percentile5.4%1.2%19.4%6.7%12.3%
Term Structure2.4%-1.3%5.6%3.9%1.0%
VWIV46.1%39.3%56.0%50.0%46.4%
Skew 25d7.1%-6.3%16.8%-6.3%5.8%
Skew 10d11.8%-12.1%27.1%-12.1%2.9%
Call IV 25d42.9%27.7%53.5%53.5%43.3%
Put IV 25d50.0%43.6%58.9%47.2%49.1%
Bid-Ask Spread %12.615.0522.768.3819.11
Gamma HHI0.480.360.670.460.49
Net GEX540.8K359.7K949.2K375.2K521.9K
Net DEX-30.8M-43.3M-19.9M-20.1M-19.9M
Net VEX-78.3K-87.9K-66.6K-78.1K-84.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.022.370.990.94
Total Volume2,420.9096519,7732,4482,092
Total OI53,924.549,66462,31649,66459,208

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$12.89$12.5050.5%14.5%53.2%16.4%50.0%-6.3%3.9%375.2K-20.1M-78.1K0.998.381,2311,21733,30716,357
2009-10-02$12.94$12.5050.4%14.5%53.2%16.4%47.5%10.9%5.0%372.4K-20.3M-77.4K0.526.8097050533,37216,439
2009-10-05$13.60$12.5055.5%16.3%54.5%21.1%56.0%8.0%-0.3%393.2K-25.6M-73.6K0.4116.231,36755433,46016,360
2009-10-06$13.88$12.5050.4%14.6%54.5%16.3%54.0%6.3%-0.2%392.7K-27.8M-72.4K0.1422.761,59621933,62116,695
2009-10-07$13.92$12.5050.4%14.4%51.2%16.3%52.6%7.2%0.9%391.8K-28.6M-71.9K0.6221.4068842833,91116,744
2009-10-08$13.95$12.5047.0%14.0%51.0%13.2%52.6%5.5%1.9%388.4K-28.9M-71.7K0.7814.201,6491,29233,97717,035
2009-10-09$14.35$12.5041.5%14.1%51.3%8.1%49.7%8.4%-0.3%359.7K-30.9M-69.5K0.568.2466337033,29917,748
2009-10-12$14.56$12.5047.1%14.2%51.4%13.3%50.7%8.8%-0.7%366.5K-32.5M-66.6K0.208.984,87999233,37517,907
2009-10-13$14.64$12.5042.1%13.9%51.2%8.7%50.4%6.9%0.9%448.5K-33.3M-70.5K0.5011.5793347134,90218,611
2009-10-14$15.38$12.5041.5%12.9%52.8%8.1%44.8%6.4%3.0%482.7K-38.7M-67.0K0.0215.049,62614734,76618,551
2009-10-15$15.20$12.5045.5%13.0%51.9%11.8%43.8%7.2%1.2%805.8K-43.3M-81.2K0.0616.872,47414741,76918,545
2009-10-16$14.78$12.5042.3%12.1%52.6%8.9%42.6%7.5%4.5%949.2K-38.8M-84.5K0.448.551,92484943,75918,557
2009-10-19$15.18$12.5042.0%12.0%52.8%8.6%42.0%6.3%3.1%602.7K-35.8M-81.1K0.9511.7992988537,66214,279
2009-10-20$15.12$12.5040.7%11.7%52.8%7.4%40.7%9.1%3.8%607.4K-35.0M-81.2K0.539.181,19663537,76214,803
2009-10-21$14.96$12.5040.1%11.5%52.8%6.8%43.4%7.2%4.0%610.8K-33.7M-83.5K0.3610.842,13977538,28615,261
2009-10-22$14.88$12.5039.3%11.3%52.5%6.1%39.3%16.8%4.3%635.5K-33.4M-85.5K0.3916.1755321838,98915,585
2009-10-23$14.96$12.5040.0%11.5%47.0%6.7%41.2%2.7%4.0%628.4K-34.3M-83.9K0.715.0571750839,03715,610
2009-10-26$15.00$12.5042.2%12.1%45.7%8.8%42.5%3.6%2.4%634.4K-34.9M-82.6K2.377.7219345839,34415,872
2009-10-27$14.65$12.5040.6%11.6%46.8%7.3%40.5%13.8%5.3%642.2K-31.6M-82.8K0.2416.912,83968939,36815,822
2009-10-28$13.69$12.5051.0%14.6%44.5%16.9%43.5%4.8%-1.3%593.2K-23.1M-84.9K1.2111.2166780941,52716,328
2009-10-29$14.27$12.5040.3%11.5%44.0%7.0%40.9%9.6%5.6%694.6K-27.8M-87.9K0.7110.381,03673141,51317,016
2009-10-30$13.38$12.5050.2%14.4%50.4%16.1%46.4%5.8%1.0%521.9K-19.9M-84.9K0.9419.111,0771,01541,91517,293