JBL Options History — May 2010

In May 2010, JBL traded between $12.86 and $15.64. ATM implied volatility averaged 51.6%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 1.4% (HV 20d: 53.0%). Max pain ranged from $16.00 to $17.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.64.

Notable Days

  • 2010-05-13: Highest Volume — 6,737 contracts
  • 2010-05-20: Largest IV spike — 18.7% change
  • 2010-05-20: Highest IV Rank — 69.1%
  • 2010-05-20: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.21$12.86$15.64$15.64$13.69
Max Pain$17.20$16.00$17.50$16.00$17.50
ATM IV51.6%37.9%65.6%37.9%47.1%
Expected Move14.8%10.9%18.8%10.9%13.5%
HV 20d53.0%35.5%65.3%35.5%62.9%
HV 60d43.8%37.1%48.6%37.1%48.6%
IV Rank43.7%19.3%69.1%19.3%37.0%
IV Percentile62.8%21.0%88.5%21.0%53.6%
Term Structure0.7%-5.1%11.6%0.9%6.4%
VWIV49.7%37.7%62.1%37.7%46.3%
Skew 25d7.6%1.8%11.9%1.8%4.8%
Skew 10d14.3%-6.2%32.8%0.9%-6.2%
Call IV 25d47.9%36.9%61.1%39.0%46.3%
Put IV 25d55.5%40.7%73.0%40.7%51.1%
Bid-Ask Spread %16.0410.0948.7914.7010.94
Gamma HHI0.260.170.450.450.17
Net GEX158.4K-165.2K623.1K623.1K-109.0K
Net DEX8.1M-2.6M21.5M-2.6M11.3M
Net VEX-106.0K-128.7K-80.0K-128.7K-88.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.1311.520.250.13
Total Volume2,852.45166,7371,8321,070
Total OI62,465.2546,30373,83662,77947,483

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$15.64$16.0037.9%10.9%35.5%19.3%37.7%1.8%0.9%623.1K-2.6M-128.7K0.2514.701,46237042,42420,355
2010-05-04$15.21$16.0041.8%12.0%36.2%25.5%38.6%7.4%1.0%415.4K1.6M-120.1K1.0610.351,8021,90842,60120,562
2010-05-05$15.44$16.0043.4%12.4%36.9%28.0%43.7%2.3%1.5%537.7K-1.7M-127.6K1.7214.551,0391,78742,43820,604
2010-05-06$14.65$16.0049.0%14.1%40.7%37.0%47.3%5.2%11.6%235.2K4.0M-116.9K0.5948.791,67998942,37221,358
2010-05-07$14.09$17.5058.2%16.4%42.0%51.7%57.4%7.5%-2.5%224.3K6.1M-109.9K0.7011.661,06674743,25021,660
2010-05-10$15.40$17.5050.9%14.0%54.1%39.9%49.1%7.4%0.1%490.9K-1.1M-120.4K0.5010.092,1601,07043,30121,748
2010-05-11$15.25$17.5045.8%13.8%54.0%31.8%44.8%8.4%0.6%455.0K102.2K-122.0K0.1412.521,42320144,26422,529
2010-05-12$15.47$17.5047.2%13.2%54.4%37.1%45.4%8.0%1.3%546.1K-1.4M-122.3K0.7914.4828822844,11422,560
2010-05-13$14.94$17.5046.0%13.2%55.5%35.0%46.0%6.9%2.0%313.6K3.4M-112.9K4.9413.891,1345,60343,61722,638
2010-05-14$14.12$17.5053.9%15.4%58.3%48.8%52.9%8.9%-1.3%33.9K12.0M-111.4K0.4711.953,7221,73444,23826,810
2010-05-17$14.18$17.5054.6%15.7%57.9%50.1%46.1%8.6%-1.2%124.4K11.4M-111.8K0.3016.585,1391,52045,89927,937
2010-05-18$13.69$17.5054.5%15.6%57.6%49.9%54.6%8.5%-1.7%17.8K14.7M-102.1K0.2115.134,82699043,61628,081
2010-05-19$13.60$17.5055.2%15.8%56.5%51.1%52.6%7.9%-1.5%-96.6K15.6M-105.5K11.5217.664024,63344,12028,476
2010-05-20$12.86$17.5065.6%18.8%58.2%69.1%62.1%11.9%-5.1%-165.2K21.5M-93.9K2.2215.317701,71142,06831,744
2010-05-21$13.15$17.5062.7%18.0%59.1%64.1%60.2%11.1%-4.1%-85.3K17.1M-89.8K4.2117.394091,72141,86727,647
2010-05-24$12.93$17.5060.4%17.3%59.2%60.2%57.8%11.8%-2.2%-99.5K13.2M-83.2K0.2815.4247813622,57923,911
2010-05-25$13.03$17.5058.1%16.6%57.6%56.1%53.9%9.3%0.2%-92.3K13.0M-82.1K1.2117.5151562222,81223,491
2010-05-26$12.91$17.5052.4%15.0%57.2%46.3%49.8%8.1%3.4%-100.7K13.7M-80.0K0.9816.2730029323,01923,871
2010-05-27$13.98$17.5046.4%13.3%65.3%35.7%46.8%6.3%4.2%-99.9K10.3M-91.1K0.5215.6272337823,16224,079
2010-05-28$13.69$17.5047.1%13.5%62.9%37.0%46.3%4.8%6.4%-109.0K11.3M-88.8K0.1310.9494412623,22624,257