JBL Options History — June 2010

In June 2010, JBL traded between $11.95 and $15.03. ATM implied volatility averaged 52.7%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 12.8% (HV 20d: 65.6%). Max pain ranged from $12.00 to $17.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2010-06-23: Highest Volume — 10,866 contracts
  • 2010-06-23: Largest IV drop — 27.3% change
  • 2010-06-07: Highest IV Rank — 61.8%
  • 2010-06-07: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.47$11.95$15.03$12.91$13.30
Max Pain$13.57$12.00$17.50$17.50$14.00
ATM IV52.7%42.3%61.3%57.8%54.2%
Expected Move15.2%12.1%18.3%16.6%15.5%
HV 20d65.6%60.3%72.0%64.8%61.6%
HV 60d54.0%49.9%56.1%49.9%56.1%
IV Rank48.7%28.5%61.8%55.6%59.1%
IV Percentile70.7%34.5%89.3%83.7%79.4%
Term Structure-1.3%-9.0%4.7%0.9%-0.6%
VWIV52.8%45.0%62.7%53.5%48.3%
Skew 25d9.3%6.8%12.5%9.9%11.5%
Skew 10d21.0%7.7%27.7%13.3%22.9%
Call IV 25d49.3%40.9%56.9%54.2%46.7%
Put IV 25d58.6%47.8%69.4%64.1%58.3%
Bid-Ask Spread %17.7911.5225.1717.9211.83
Gamma HHI0.250.180.530.190.23
Net GEX42.4K-462.7K422.1K-102.0K237.8K
Net DEX6.0M-11.9M16.2M13.7M-136.0K
Net VEX-82.8K-101.2K-67.2K-79.1K-89.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.039.391.050.36
Total Volume2,467.86416710,8664352,411
Total OI46,581.532,81654,15747,77543,352

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$12.91$17.5057.8%16.6%64.8%55.6%53.5%9.9%0.9%-102.0K13.7M-79.1K1.0517.9221222323,43524,340
2010-06-02$13.63$17.5048.5%13.9%68.2%39.5%56.5%10.8%4.7%-109.5K12.2M-84.1K1.2211.6521826623,59924,388
2010-06-03$13.75$17.5048.9%14.0%67.9%40.0%48.0%6.8%4.1%-109.8K11.7M-84.3K1.0312.891,3261,36723,68624,416
2010-06-04$12.66$14.0058.4%16.6%71.4%56.7%59.2%10.7%-1.7%-88.4K14.4M-75.0K3.4023.033661,24424,27624,390
2010-06-07$12.07$13.0061.3%18.3%72.0%61.8%62.7%12.5%-9.0%-107.6K16.2M-69.1K1.9818.6718937524,18825,405
2010-06-08$11.95$13.0056.0%17.0%62.3%52.5%60.3%10.0%-3.7%-110.3K16.2M-67.2K1.9224.5515930524,31525,165
2010-06-09$12.51$13.0055.9%16.7%65.7%52.3%60.3%7.8%-2.9%-121.5K15.0M-72.6K0.2925.1792126324,37025,165
2010-06-10$12.89$12.0055.4%15.9%66.7%51.5%55.6%9.2%-1.2%-114.0K13.5M-75.0K0.4623.6825011625,07325,102
2010-06-11$13.09$12.0055.0%15.8%66.5%50.7%56.6%9.2%-1.9%-116.2K13.0M-76.4K0.4320.361175025,19625,144
2010-06-14$13.19$12.0055.4%15.9%64.0%51.5%51.0%8.3%-2.6%-119.7K12.6M-76.2K0.0320.683,61210525,27725,189
2010-06-15$13.62$12.0051.2%14.7%65.2%44.0%52.3%10.7%-2.8%-17.1K10.2M-81.4K0.0416.891,0473728,62525,144
2010-06-16$13.79$12.0049.3%14.1%64.1%40.8%50.4%8.5%-0.5%-9.3K9.1M-82.8K1.1716.0629134128,81525,149
2010-06-17$13.87$12.0050.0%14.3%64.1%42.1%48.7%8.9%-2.0%-32.8K9.0M-83.1K9.3919.594253,98928,97325,184
2010-06-18$13.96$12.0050.1%14.4%60.5%42.1%50.1%9.3%-2.3%-462.7K8.5M-81.4K0.3420.012,23876029,24224,646
2010-06-21$13.75$13.0052.0%14.9%60.4%45.5%52.7%8.6%-3.6%172.0K-2.1M-80.0K0.1018.922,60625918,81214,004
2010-06-22$13.59$13.0058.1%16.7%60.3%56.2%57.7%9.8%-7.5%216.2K-2.5M-82.6K0.2221.444,7041,05020,68414,197
2010-06-23$15.03$13.0042.3%12.1%69.6%28.5%45.0%6.9%3.8%394.9K-11.9M-93.9K0.2611.528,6382,22822,80014,653
2010-06-24$14.41$14.0050.5%14.5%71.6%51.2%47.0%9.8%-1.4%393.5K-8.4M-97.1K0.6118.162,8371,74424,80415,539
2010-06-25$14.40$14.0048.9%14.0%66.0%48.0%46.3%7.8%0.9%422.1K-8.5M-101.2K0.5513.861,58787825,94816,482
2010-06-28$14.22$14.0048.0%13.8%65.7%46.1%45.0%8.1%0.4%413.7K-7.0M-97.9K0.6711.781,6271,08926,01816,811
2010-06-29$13.65$14.0052.8%15.1%63.8%56.0%54.2%9.0%-0.4%302.5K-3.0M-93.0K0.6812.631,08473925,93516,857
2010-06-30$13.30$14.0054.2%15.5%61.6%59.1%48.3%11.5%-0.6%237.8K-136.0K-89.5K0.3611.831,77363825,99417,358