JBL Options History — November 2009

In November 2009, JBL traded between $13.31 and $14.83. ATM implied volatility averaged 45.3%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 1.1% (HV 20d: 46.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2009-11-16: Highest Volume — 4,664 contracts
  • 2009-11-12: Largest IV spike — 24.5% change
  • 2009-11-03: Highest IV Rank — 19.4%
  • 2009-11-03: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.03$13.31$14.83$13.70$13.31
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV45.3%36.4%53.6%53.4%47.7%
Expected Move13.4%12.1%15.4%15.3%13.7%
HV 20d46.4%33.3%50.6%47.9%33.3%
HV 60d48.8%45.8%52.6%52.6%46.2%
IV Rank11.6%3.4%19.4%19.2%13.9%
IV Percentile11.1%1.2%22.6%22.2%15.5%
Term Structure6.0%-1.1%8.4%-1.1%7.9%
VWIV44.5%31.9%50.2%45.2%47.0%
Skew 25d5.9%1.6%11.7%11.0%3.3%
Skew 10d7.5%-1.3%49.7%10.3%-0.3%
Call IV 25d43.4%37.8%46.0%41.3%44.1%
Put IV 25d49.3%45.1%53.5%52.3%47.4%
Bid-Ask Spread %11.807.3118.3218.329.69
Gamma HHI0.520.360.690.520.36
Net GEX674.2K401.3K1.1M580.5K405.5K
Net DEX-21.7M-33.8M-13.4M-22.1M-13.4M
Net VEX-71.3K-83.5K-54.2K-83.5K-54.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.051.850.350.45
Total Volume1,159.852634,6641,384452
Total OI55,651.0546,98762,02959,41748,397

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$13.70$12.5053.4%15.3%47.9%19.2%45.2%11.0%-1.1%580.5K-22.1M-83.5K0.3518.321,02835641,97617,441
2009-11-03$13.54$12.5053.6%15.4%47.5%19.4%47.7%8.3%-0.0%546.3K-20.6M-83.0K0.5517.161709342,18317,487
2009-11-04$13.63$12.5051.4%14.7%47.5%17.3%41.0%7.6%-0.3%571.3K-21.5M-80.8K1.8513.1421640042,17417,449
2009-11-05$14.24$12.5042.3%12.1%50.1%8.8%42.4%5.6%5.2%717.4K-27.1M-82.6K0.089.541,26810742,16917,685
2009-11-06$14.29$12.5039.0%13.3%49.1%5.8%50.2%6.3%5.8%761.2K-28.1M-81.6K0.1715.364557642,71617,763
2009-11-09$14.83$12.5038.3%13.4%50.6%5.2%47.1%6.3%6.1%951.3K-33.8M-79.5K0.1412.281,10615442,87417,780
2009-11-10$14.77$12.5038.5%13.2%50.6%5.3%42.2%8.8%6.9%1.0M-33.5M-79.4K0.2815.671,08931043,66517,707
2009-11-11$14.70$12.5036.4%13.1%47.2%3.4%46.2%3.9%6.6%1.0M-32.4M-79.4K0.1913.005129644,06717,962
2009-11-12$14.45$12.5045.3%13.0%47.4%11.6%45.5%6.6%7.6%981.8K-23.4M-77.1K0.7217.5135325539,77317,946
2009-11-13$14.48$12.5044.7%12.8%46.5%11.1%44.9%5.7%7.6%1.0M-23.4M-75.7K0.2510.3074018539,72317,998
2009-11-16$14.52$12.5045.2%13.0%45.3%11.5%46.5%6.1%7.7%1.1M-24.1M-72.8K0.119.164,18448040,03318,026
2009-11-17$14.42$12.5044.8%12.9%45.4%11.2%45.1%3.5%7.3%809.9K-21.9M-70.3K0.057.543,32017237,56018,122
2009-11-18$14.23$12.5045.1%12.9%45.4%11.5%31.9%11.7%7.0%513.1K-18.8M-66.8K0.8011.4354343335,69318,200
2009-11-19$13.75$12.5049.7%14.2%46.8%15.7%44.8%6.4%6.5%412.7K-15.0M-63.3K0.267.3145411835,79118,333
2009-11-20$13.63$12.5048.8%14.0%46.7%14.8%45.1%4.5%7.7%409.2K-14.1M-62.8K1.449.2617825635,87218,350
2009-11-23$13.93$12.5042.3%12.1%47.6%8.8%43.2%5.0%7.6%447.6K-17.8M-60.3K0.1810.6798817932,26514,722
2009-11-24$13.37$12.5045.6%13.1%49.0%11.9%44.8%1.9%7.7%401.3K-13.9M-56.8K0.339.8971623632,59714,806
2009-11-25$13.53$12.5045.3%13.0%43.1%11.7%43.1%4.0%8.4%421.0K-15.0M-58.1K1.079.7817018232,85414,929
2009-11-27$13.34$12.5047.9%13.7%40.4%14.0%46.3%1.6%8.3%401.6K-13.8M-57.1K0.098.921,0749332,90315,030
2009-11-30$13.31$12.5047.7%13.7%33.3%13.9%47.0%3.3%7.9%405.5K-13.4M-54.2K0.459.6931214033,37015,027