JBL Options History — February 2010

In February 2010, JBL traded between $14.19 and $15.57. ATM implied volatility averaged 43.7%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 7.2% (HV 20d: 50.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.52.

Notable Days

2010-02-24: Highest Volume — 6,207 contracts
2010-02-09: Largest IV drop — 10.1% change
2010-02-08: Highest IV Rank — 24.9%
2010-02-08: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.97	$14.19	$15.57	$15.37	$15.17
Max Pain	$16.97	$15.00	$17.50	$15.00	$17.50
ATM IV	43.7%	38.7%	49.6%	45.4%	38.7%
Expected Move	12.6%	11.1%	13.9%	13.0%	11.1%
HV 20d	50.9%	44.5%	54.9%	47.6%	44.5%
HV 60d	47.1%	44.9%	48.1%	45.8%	47.0%
IV Rank	17.4%	11.1%	24.9%	19.6%	11.1%
IV Percentile	21.4%	9.9%	32.9%	25.4%	9.9%
Term Structure	3.3%	-0.0%	8.5%	0.5%	8.5%
VWIV	43.2%	27.6%	49.7%	44.4%	27.6%
Skew 25d	3.4%	-4.5%	9.3%	-4.5%	5.0%
Skew 10d	3.8%	-8.9%	18.3%	-8.9%	10.0%
Call IV 25d	43.9%	39.1%	49.5%	45.2%	41.9%
Put IV 25d	47.2%	35.9%	53.9%	40.6%	46.9%
Bid-Ask Spread %	10.62	5.96	15.42	5.96	12.40
Gamma HHI	0.28	0.22	0.46	0.30	0.35
Net GEX	47.9K	-137.2K	192.6K	66.2K	184.6K
Net DEX	6.6M	3.0M	10.9M	5.1M	3.0M
Net VEX	-93.8K	-110.6K	-80.9K	-99.8K	-108.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.10	1.47	1.11	0.36
Total Volume	1,478.105	237	6,207	1,573	2,892
Total OI	43,427.789	39,811	46,572	41,878	45,739

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
2010-02-01	$15.37	$15.00	45.4%	13.0%	47.6%	19.6%	44.4%	-4.5%	0.5%	66.2K	5.1M	-99.8K	1.11	5.96	746	827	22,020	19,858
2010-02-02	$15.48	$15.00	42.8%	12.3%	47.1%	16.3%	42.6%	-3.3%	1.7%	66.7K	4.5M	-100.6K	0.29	7.72	590	172	22,221	20,141
2010-02-03	$15.57	$15.00	42.9%	12.3%	47.3%	16.4%	40.6%	-3.6%	2.0%	71.9K	3.5M	-102.1K	0.55	8.63	153	84	22,370	20,169
2010-02-04	$14.38	$15.00	46.0%	13.2%	53.8%	20.4%	46.0%	9.3%	2.9%	34.5K	9.5M	-86.7K	0.87	8.67	559	489	22,440	20,118
2010-02-05	$14.36	$17.50	47.5%	13.7%	53.7%	22.3%	47.7%	6.8%	0.5%	31.8K	9.8M	-86.2K	0.83	12.73	476	394	22,425	20,206
2010-02-08	$14.19	$17.50	49.6%	13.9%	53.7%	24.9%	49.2%	3.7%	-0.0%	21.9K	10.8M	-81.3K	0.14	12.57	1,686	237	22,549	20,466
2010-02-09	$14.26	$17.50	44.6%	13.6%	53.5%	18.5%	49.7%	4.2%	0.4%	20.9K	10.9M	-80.9K	0.15	11.59	1,109	163	22,701	20,565
2010-02-10	$14.63	$17.50	43.9%	13.5%	54.8%	17.7%	46.8%	6.0%	0.6%	21.5K	9.4M	-84.8K	0.13	12.89	592	76	22,429	20,598
2010-02-11	$14.80	$17.50	46.7%	13.4%	54.9%	21.2%	47.4%	4.8%	1.7%	26.0K	8.6M	-86.7K	0.71	13.39	1,688	1,194	22,414	20,550
2010-02-12	$14.74	$17.50	45.9%	13.2%	52.6%	20.3%	46.0%	5.7%	1.8%	17.9K	8.8M	-93.4K	0.19	15.42	209	40	23,573	21,455
2010-02-16	$15.26	$17.50	45.8%	13.1%	53.3%	20.1%	46.0%	5.1%	1.8%	25.6K	5.6M	-97.6K	0.54	14.25	499	271	23,688	21,427
2010-02-17	$15.29	$17.50	44.3%	12.7%	53.1%	18.2%	43.8%	4.9%	2.5%	33.8K	5.5M	-96.4K	1.47	10.34	795	1,167	23,784	21,481
2010-02-18	$15.36	$17.50	43.1%	12.3%	53.2%	16.6%	43.0%	5.7%	4.2%	-14.4K	5.0M	-97.7K	0.74	10.66	271	200	23,930	22,138
2010-02-19	$15.16	$17.50	42.5%	12.2%	53.3%	15.9%	42.5%	3.1%	3.9%	-137.2K	5.9M	-94.1K	0.19	10.49	768	144	23,948	22,241
2010-02-22	$15.27	$17.50	41.2%	11.8%	46.9%	14.2%	40.0%	7.6%	6.0%	73.9K	5.0M	-93.9K	0.21	7.33	1,233	259	20,664	19,147
2010-02-23	$14.93	$17.50	39.9%	11.4%	47.4%	12.6%	39.9%	2.9%	8.0%	74.9K	6.6M	-88.2K	0.43	8.38	778	333	20,903	19,236
2010-02-24	$15.28	$17.50	39.6%	11.3%	48.2%	12.2%	37.3%	-3.8%	7.9%	96.3K	4.9M	-93.8K	0.10	7.90	5,619	588	21,476	19,486
2010-02-25	$15.01	$17.50	39.9%	11.4%	48.4%	12.7%	41.4%	4.3%	7.1%	192.6K	3.2M	-110.6K	0.90	10.50	412	371	26,904	19,668
2010-02-26	$15.17	$17.50	38.7%	11.1%	44.5%	11.1%	27.6%	5.0%	8.5%	184.6K	3.0M	-108.0K	0.36	12.40	2,119	773	25,927	19,812