JBL Options History — January 2010

In January 2010, JBL traded between $14.48 and $17.77. ATM implied volatility averaged 38.0%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 9.9% (HV 20d: 48.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.99.

Notable Days

2010-01-14: Highest Volume — 8,117 contracts
2010-01-11: Largest IV spike — 22.7% change
2010-01-29: Highest IV Rank — 18.8%
2010-01-29: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.70	$14.48	$17.77	$17.67	$14.48
Max Pain	$16.58	$15.00	$17.50	$15.00	$15.00
ATM IV	38.0%	29.9%	44.8%	37.0%	44.8%
Expected Move	11.2%	9.8%	12.8%	11.4%	12.8%
HV 20d	48.0%	36.9%	55.4%	49.5%	40.9%
HV 60d	45.0%	43.9%	47.7%	45.2%	44.2%
IV Rank	9.5%	0.0%	18.8%	5.4%	18.8%
IV Percentile	8.7%	0.0%	22.2%	4.4%	22.2%
Term Structure	1.8%	-0.9%	3.3%	1.1%	0.7%
VWIV	39.3%	34.0%	44.6%	38.9%	44.6%
Skew 25d	5.8%	-1.7%	11.6%	6.9%	10.9%
Skew 10d	8.6%	-3.5%	19.7%	13.2%	19.7%
Call IV 25d	35.7%	27.4%	45.2%	36.3%	37.2%
Put IV 25d	41.5%	38.0%	48.2%	43.1%	48.1%
Bid-Ask Spread %	9.67	7.32	16.11	9.96	16.11
Gamma HHI	0.53	0.23	0.84	0.63	0.27
Net GEX	332.1K	52.6K	883.3K	477.0K	52.6K
Net DEX	-14.7M	-33.5M	8.8M	-32.1M	8.8M
Net VEX	-96.4K	-116.5K	-63.9K	-63.9K	-88.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.09	4.08	0.99	0.35
Total Volume	2,754.632	785	8,117	4,008	3,579
Total OI	46,700.474	35,250	59,615	44,380	42,086

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$17.67	$15.00	37.0%	11.4%	49.5%	5.4%	38.9%	6.9%	1.1%	477.0K	-32.1M	-63.9K	0.99	9.96	2,018	1,990	28,247	16,133
2010-01-05	$17.46	$15.00	37.1%	11.4%	50.4%	5.6%	41.7%	5.2%	0.9%	470.6K	-30.4M	-75.0K	1.28	7.63	1,600	2,043	29,461	17,876
2010-01-06	$17.54	$15.00	36.6%	11.1%	50.4%	5.0%	38.6%	6.3%	2.8%	468.6K	-30.8M	-86.6K	0.65	8.26	1,360	882	30,598	19,682
2010-01-07	$17.57	$17.50	35.1%	11.1%	50.4%	3.1%	38.7%	5.5%	2.9%	500.0K	-31.0M	-89.1K	1.22	10.15	2,891	3,540	31,302	20,288
2010-01-08	$17.54	$17.50	29.9%	10.7%	50.1%	0.0%	38.6%	5.0%	3.1%	585.5K	-30.5M	-96.9K	0.77	12.39	443	342	32,699	22,160
2010-01-11	$17.04	$17.50	36.7%	11.0%	52.0%	8.3%	40.2%	6.5%	1.8%	503.9K	-25.6M	-94.4K	0.68	8.49	1,280	869	32,855	22,223
2010-01-12	$16.99	$17.50	39.9%	10.9%	52.1%	12.2%	39.4%	5.8%	1.9%	529.3K	-24.8M	-95.1K	0.41	8.10	2,230	915	33,257	22,398
2010-01-13	$17.15	$17.50	36.9%	10.5%	51.7%	8.6%	38.6%	5.4%	2.7%	663.1K	-26.0M	-99.5K	2.38	8.64	302	720	33,535	22,899
2010-01-14	$17.77	$17.50	35.4%	10.1%	52.2%	6.7%	36.7%	6.3%	2.8%	883.3K	-33.5M	-99.5K	0.71	10.28	4,755	3,362	33,493	22,933
2010-01-15	$17.04	$17.50	35.7%	10.2%	55.4%	7.3%	39.3%	11.6%	1.8%	370.4K	-23.3M	-106.3K	0.85	8.36	799	680	35,046	24,569
2010-01-19	$17.18	$17.50	34.5%	9.9%	55.3%	5.8%	34.5%	10.5%	2.5%	111.2K	-6.5M	-103.9K	0.57	8.61	677	389	18,841	16,409
2010-01-20	$16.99	$17.50	34.0%	9.8%	55.3%	5.2%	34.0%	9.3%	2.2%	120.8K	-5.6M	-104.8K	1.15	10.93	1,881	2,166	19,276	16,546
2010-01-21	$16.89	$17.50	35.4%	10.2%	55.4%	7.0%	35.3%	10.5%	3.3%	102.4K	-4.6M	-116.5K	0.56	8.74	1,034	583	20,660	18,177
2010-01-22	$15.69	$17.50	42.3%	12.1%	37.9%	15.7%	39.7%	0.3%	0.9%	62.1K	3.0M	-103.0K	0.92	9.71	1,671	1,540	20,866	18,239
2010-01-25	$15.79	$17.50	43.5%	12.5%	38.1%	17.2%	41.5%	2.1%	-0.9%	83.2K	2.6M	-103.6K	0.09	10.13	2,208	197	21,307	18,459
2010-01-26	$15.65	$15.00	42.7%	12.2%	36.9%	16.2%	42.4%	-1.7%	0.6%	127.8K	2.6M	-103.4K	4.08	8.13	155	632	22,577	18,489
2010-01-27	$15.80	$15.00	41.7%	12.0%	37.0%	14.9%	39.9%	0.8%	1.5%	123.3K	2.0M	-105.3K	1.01	11.78	588	594	22,624	19,076
2010-01-28	$14.97	$15.00	43.2%	12.4%	40.0%	16.8%	44.4%	3.0%	1.2%	74.2K	6.7M	-95.7K	0.09	7.32	1,300	123	22,531	19,492
2010-01-29	$14.48	$15.00	44.8%	12.8%	40.9%	18.8%	44.6%	10.9%	0.7%	52.6K	8.8M	-88.4K	0.35	16.11	2,652	927	22,539	19,547