JBL Options History — March 2010

In March 2010, JBL traded between $15.57 and $18.36. ATM implied volatility averaged 40.7%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 6.3% (HV 20d: 34.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-03-23: Highest Volume — 22,503 contracts
  • 2010-03-24: Largest IV drop — 25.5% change
  • 2010-03-23: Highest IV Rank — 24.4%
  • 2010-03-23: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.99$15.57$18.36$15.57$16.19
Max Pain$16.30$15.00$17.50$17.50$17.50
ATM IV40.7%33.8%49.2%40.7%39.0%
Expected Move12.0%9.9%14.1%11.7%11.2%
HV 20d34.4%25.3%48.5%43.5%45.6%
HV 60d45.7%38.6%47.7%47.2%44.3%
IV Rank13.7%4.9%24.4%13.6%11.5%
IV Percentile19.5%2.0%43.7%15.5%15.5%
Term Structure-0.6%-7.3%9.2%7.9%1.8%
VWIV42.2%34.7%49.2%40.4%36.4%
Skew 25d4.7%-0.6%7.8%-0.6%4.4%
Skew 10d12.0%-2.6%25.4%-2.6%5.9%
Call IV 25d40.9%34.6%47.8%40.3%34.6%
Put IV 25d45.6%38.7%54.0%39.7%38.9%
Bid-Ask Spread %12.367.9819.369.4716.78
Gamma HHI0.420.290.570.400.38
Net GEX367.3K76.8K593.5K249.5K430.1K
Net DEX-12.5M-26.5M-486.2K-486.2K-2.3M
Net VEX-134.8K-159.6K-116.0K-116.0K-151.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.036.341.090.03
Total Volume3,995.78343122,5032,13314,627
Total OI54,105.04342,21968,39447,84368,394

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$15.57$17.5040.7%11.7%43.5%13.6%40.4%-0.6%7.9%249.5K-486.2K-116.0K1.099.471,0221,11127,72920,114
2010-03-02$16.19$17.5042.0%12.0%40.5%15.2%41.4%1.7%9.0%238.4K-5.1M-124.0K0.3012.271,44344027,65620,255
2010-03-03$16.45$17.5036.5%10.5%40.8%8.4%37.3%5.1%6.7%278.5K-7.3M-127.9K0.1713.0265911328,42320,430
2010-03-04$16.63$17.5036.1%10.4%40.8%7.9%37.3%6.8%9.2%295.5K-9.2M-128.8K1.7719.3633058328,81320,422
2010-03-05$16.72$15.0033.8%12.2%26.7%4.9%43.0%4.5%-1.1%312.1K-9.5M-126.7K0.1913.181,83535328,92920,307
2010-03-08$16.95$15.0038.1%12.6%26.5%10.3%43.9%5.0%-2.3%364.8K-12.8M-129.6K0.4812.8141720230,25720,453
2010-03-09$17.06$15.0038.0%12.6%25.5%10.3%44.2%4.7%-2.1%377.0K-14.3M-129.6K0.1411.7783012030,42720,514
2010-03-10$17.54$15.0036.6%12.9%26.2%8.5%46.6%5.9%-3.7%414.5K-20.4M-132.0K0.2211.5273516231,09220,606
2010-03-11$17.50$15.0044.5%12.7%26.0%18.4%44.9%4.3%-2.6%433.4K-20.1M-132.5K1.568.9040863631,43120,698
2010-03-12$17.62$15.0044.2%12.7%25.9%18.1%43.9%4.3%-3.0%428.0K-22.1M-131.6K0.4913.3671134631,50720,925
2010-03-15$17.37$15.0044.1%12.7%26.8%18.0%44.6%5.5%-2.5%436.5K-17.7M-128.3K1.247.9819223931,77721,155
2010-03-16$17.72$15.0045.5%13.1%25.4%19.8%45.9%6.4%-4.4%450.5K-23.3M-128.1K0.6510.7049132031,77621,293
2010-03-17$17.90$15.0045.5%13.0%25.3%19.7%45.3%5.2%-4.4%444.1K-26.5M-125.9K0.3113.361,56548631,75921,402
2010-03-18$17.73$15.0044.5%12.8%26.1%18.5%44.6%4.4%-3.6%458.7K-24.1M-125.6K0.6314.0971244831,89921,682
2010-03-19$17.34$15.0047.1%13.5%27.2%21.8%47.2%7.8%-6.1%593.5K-12.5M-122.6K6.3411.631,1487,28232,12621,923
2010-03-22$17.77$17.5049.0%14.0%27.9%24.1%49.2%6.2%-7.3%76.8K-13.7M-130.8K0.408.941,24350223,40618,813
2010-03-23$18.36$17.5049.2%14.1%26.9%24.4%49.2%5.9%-7.3%115.1K-18.8M-130.9K0.189.4419,0923,41124,07019,035
2010-03-24$16.53$17.5036.7%10.5%48.5%8.5%37.2%6.6%-0.4%334.1K-5.5M-148.3K0.408.368,7153,47238,56221,193
2010-03-25$16.44$17.5036.7%10.5%48.0%8.6%36.4%3.5%1.1%360.5K-5.4M-153.1K0.3413.706,2102,11140,02322,263
2010-03-26$16.37$17.5037.2%10.7%48.0%9.2%38.1%2.6%0.1%447.3K-5.1M-159.6K0.7415.641,5381,14042,73523,356
2010-03-29$16.37$17.5036.8%10.6%47.3%8.7%37.9%4.3%-0.5%443.2K-5.1M-156.5K1.4412.5649370843,30723,914
2010-03-30$16.51$17.5034.7%9.9%45.4%6.0%34.7%3.9%1.2%466.0K-6.6M-159.5K0.3815.362,38891443,33524,230
2010-03-31$16.19$17.5039.0%11.2%45.6%11.5%36.4%4.4%1.8%430.1K-2.3M-151.7K0.0316.7814,14048744,11424,280