JBL Options History — April 2010

In April 2010, JBL traded between $15.32 and $17.03. ATM implied volatility averaged 32.7%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 6.6% (HV 20d: 39.3%). Max pain ranged from $16.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-04-14: Highest Volume — 12,444 contracts
  • 2010-04-14: Largest IV drop — 29.8% change
  • 2010-04-30: Highest IV Rank — 17.9%
  • 2010-04-30: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.53$15.32$17.03$16.27$15.32
Max Pain$17.07$16.00$17.50$17.50$16.00
ATM IV32.7%25.9%37.1%34.3%37.1%
Expected Move9.7%8.6%10.6%9.8%10.6%
HV 20d39.3%22.6%46.3%45.4%35.9%
HV 60d42.3%38.6%44.6%44.2%40.4%
IV Rank8.3%0.0%17.9%5.5%17.9%
IV Percentile5.3%0.0%20.2%3.6%20.2%
Term Structure1.4%-0.1%3.0%1.6%1.6%
VWIV34.2%29.7%37.4%34.6%37.4%
Skew 25d5.4%0.9%10.5%2.1%0.9%
Skew 10d8.4%-4.9%35.7%35.7%-4.9%
Call IV 25d31.8%26.9%38.1%34.6%38.1%
Put IV 25d37.2%33.6%39.7%36.7%39.0%
Bid-Ask Spread %11.146.1022.7222.7212.70
Gamma HHI0.600.410.790.460.41
Net GEX655.4K299.2K1.3M299.2K491.0K
Net DEX-8.0M-21.3M485.4K-949.2K485.4K
Net VEX-142.8K-158.3K-121.9K-143.6K-121.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.041.700.241.33
Total Volume2,091.71433912,4441,1622,108
Total OI62,008.47654,91373,31761,45362,114

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$16.27$17.5034.3%9.8%45.4%5.5%34.6%2.1%1.6%299.2K-949.2K-143.6K0.2422.7293522737,13524,318
2010-04-05$16.67$17.5033.2%10.1%46.3%4.1%35.4%4.7%1.1%349.2K-5.5M-145.9K0.646.101,01365237,16624,440
2010-04-06$16.84$17.5030.8%9.7%46.2%1.1%34.6%4.6%1.0%379.4K-7.4M-147.3K0.297.4093427037,60624,710
2010-04-07$16.76$17.5031.0%9.8%46.1%1.4%35.3%3.9%1.1%368.3K-6.0M-144.5K0.796.8755043237,68524,687
2010-04-08$16.73$17.5029.8%9.9%44.9%0.0%33.1%10.5%0.6%362.9K-5.3M-142.5K0.936.9643340137,68524,687
2010-04-09$16.80$17.5030.2%9.8%44.9%0.5%34.9%10.2%1.4%373.0K-6.2M-142.3K0.358.371,13739837,87524,710
2010-04-12$17.03$17.5032.4%9.7%45.2%4.4%34.2%3.2%1.1%393.2K-9.8M-143.0K0.298.561,19735037,87724,743
2010-04-13$16.77$17.5036.9%9.7%45.2%12.2%34.2%9.3%1.5%357.1K-6.0M-136.9K0.277.9675820238,09624,788
2010-04-14$16.76$17.5025.9%9.5%44.5%0.0%33.0%9.8%1.3%331.0K-2.8M-131.3K0.099.0311,4131,03138,08124,831
2010-04-15$16.72$17.5032.7%9.4%44.2%10.9%35.2%9.5%1.4%876.5K-7.9M-151.0K1.707.8232154748,04825,269
2010-04-16$16.45$17.5033.0%9.5%44.4%11.3%34.4%7.0%2.2%745.2K-3.2M-142.7K0.669.9382654147,37225,582
2010-04-19$15.99$17.5035.2%10.1%44.8%14.8%32.2%3.2%1.2%604.8K-4.6M-129.3K0.698.951,45699937,10017,813
2010-04-20$16.38$17.5030.3%8.7%44.8%6.9%32.9%5.1%3.0%780.0K-9.2M-141.7K0.3912.462,06580937,62418,227
2010-04-21$16.74$17.5033.7%9.7%43.7%12.4%30.4%7.0%0.7%966.3K-13.8M-150.3K1.179.9185299938,56118,499
2010-04-22$16.90$17.5030.7%8.8%22.7%7.7%33.9%3.3%2.2%1.0M-16.2M-153.2K0.1012.373,83036738,88718,638
2010-04-23$17.02$16.0030.2%8.6%22.6%6.8%29.7%3.3%2.4%1.3M-21.3M-158.3K1.6112.6640665541,92818,788
2010-04-26$16.79$16.0032.9%9.4%23.2%11.1%34.1%6.0%0.5%1.2M-18.0M-152.8K1.6915.8512621341,93019,218
2010-04-27$15.92$16.0036.5%10.5%30.2%17.0%37.1%2.7%-0.1%784.2K-6.5M-137.4K0.6820.111,35092442,00419,302
2010-04-28$16.04$16.0035.0%10.0%30.2%14.6%35.8%3.7%1.6%853.2K-7.5M-141.1K0.0416.911,6647442,64419,586
2010-04-29$16.22$16.0034.5%9.9%29.7%13.8%34.9%4.0%1.9%956.2K-9.4M-142.5K1.0710.3522323842,29919,625
2010-04-30$15.32$16.0037.1%10.6%35.9%17.9%37.4%0.9%1.6%491.0K485.4K-121.9K1.3312.709031,20542,41519,699