JBL Options History — December 2009

In December 2009, JBL traded between $12.86 and $17.83. ATM implied volatility averaged 44.4%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 7.4% (HV 20d: 37.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2009-12-22: Highest Volume — 10,229 contracts
  • 2009-12-10: Largest IV spike — 33.0% change
  • 2009-12-21: Highest IV Rank — 27.0%
  • 2009-12-09: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.00$12.86$17.83$13.27$17.37
Max Pain$10.34$10.00$12.50$12.50$10.00
ATM IV44.4%33.4%53.9%47.6%34.2%
Expected Move13.4%9.6%16.5%13.6%9.8%
HV 20d37.0%25.3%54.6%32.1%51.0%
HV 60d45.3%42.6%49.7%45.8%45.1%
IV Rank13.6%0.9%27.0%13.8%1.9%
IV Percentile15.8%1.2%36.9%15.5%2.0%
Term Structure0.1%-5.8%10.5%7.4%4.3%
VWIV46.6%32.5%55.3%45.4%33.8%
Skew 25d6.2%-9.1%16.7%11.4%0.5%
Skew 10d14.2%-15.0%95.8%95.8%1.2%
Call IV 25d43.6%23.5%53.7%45.8%28.1%
Put IV 25d49.9%28.6%61.0%57.2%28.6%
Bid-Ask Spread %8.334.8716.928.565.50
Gamma HHI0.530.340.880.360.60
Net GEX478.4K195.2K1.5M405.1K442.1K
Net DEX-21.6M-33.3M-10.5M-13.3M-30.1M
Net VEX-51.8K-64.5K-44.6K-53.7K-64.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.042.041.040.60
Total Volume2,170.13628910,2294481,862
Total OI46,674.86432,10655,41948,55943,785

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$13.27$12.5047.6%13.6%32.1%13.8%45.4%11.4%7.4%405.1K-13.3M-53.7K1.048.5622022833,48015,079
2009-12-02$13.10$12.5046.3%13.3%32.2%12.6%46.7%-2.6%9.3%384.0K-12.0M-52.5K0.627.2678448933,52215,176
2009-12-03$12.86$12.5044.2%12.7%32.5%10.7%43.9%11.6%10.5%370.4K-10.5M-51.9K0.987.3243542633,88015,299
2009-12-04$12.94$10.0044.3%15.8%27.8%11.7%52.3%7.7%-2.4%373.6K-11.2M-51.7K0.599.7918210734,09215,432
2009-12-07$13.25$10.0045.2%15.8%29.4%13.6%54.9%6.3%-3.3%383.4K-13.6M-49.5K0.997.8843342734,17815,434
2009-12-08$13.25$10.0043.7%16.1%25.3%12.0%53.1%7.6%-3.4%370.8K-13.5M-49.1K2.047.509719834,17115,748
2009-12-09$13.70$10.0038.9%16.5%28.8%6.9%55.2%5.5%-4.7%424.2K-16.9M-50.0K0.7016.9239227534,19515,819
2009-12-10$14.03$10.0051.7%14.8%30.4%21.3%52.4%4.6%-3.2%494.8K-19.2M-49.4K0.327.7565521034,13115,919
2009-12-11$14.06$10.0052.2%15.0%29.9%21.8%52.7%4.2%-4.3%515.7K-19.5M-50.2K1.0813.1215616834,40016,014
2009-12-14$14.46$10.0052.9%15.2%31.7%25.0%55.3%5.5%-4.9%644.6K-21.9M-47.9K0.678.8036824634,44916,136
2009-12-15$14.38$10.0052.7%15.1%31.7%24.8%54.4%4.3%-4.0%601.1K-22.0M-45.8K1.158.9447454434,56616,271
2009-12-16$14.46$10.0053.3%15.3%31.7%25.6%53.8%4.8%-5.5%663.6K-22.1M-47.0K0.129.585346234,65716,638
2009-12-17$14.42$10.0052.5%15.1%31.3%25.2%53.8%4.7%-3.8%436.6K-20.3M-44.6K0.0413.094,49719834,55316,694
2009-12-18$14.80$10.0053.6%15.4%29.7%26.6%54.4%3.5%-4.9%1.5M-29.2M-44.7K0.298.691,68748538,75016,669
2009-12-21$15.02$10.0053.9%15.5%29.6%27.0%54.5%7.6%-5.8%195.2K-16.5M-44.6K0.718.214,9223,50421,14810,958
2009-12-22$17.18$10.0036.4%10.4%54.6%4.8%34.7%10.0%2.1%283.9K-27.8M-47.1K0.345.357,6392,59023,39113,601
2009-12-23$17.06$10.0034.7%10.0%51.5%2.6%36.2%13.6%2.8%336.0K-27.6M-52.6K0.268.544,2171,10924,66014,271
2009-12-24$17.42$10.0033.4%9.6%51.6%0.9%33.4%11.8%4.7%433.7K-30.7M-59.0K0.514.921,51176826,68214,613
2009-12-28$17.56$10.0036.7%10.5%50.7%5.1%35.8%16.7%2.4%422.4K-31.4M-60.2K0.515.091,08455127,06415,162
2009-12-29$17.83$10.0034.0%9.7%50.4%1.6%32.5%7.3%4.9%434.6K-33.3M-59.4K0.774.871,3611,04227,26215,362
2009-12-30$17.67$10.0035.2%10.1%50.7%3.1%35.6%-9.1%3.5%438.9K-32.2M-64.3K0.975.5030729927,82515,711
2009-12-31$17.37$10.0034.2%9.8%51.0%1.9%33.8%0.5%4.3%442.1K-30.1M-64.5K0.605.501,16469827,85315,932