JBL Options History — July 2010

In July 2010, JBL traded between $12.88 and $15.76. ATM implied volatility averaged 43.5%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 5.0% (HV 20d: 48.5%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2010-07-01: Highest Volume — 4,583 contracts
  • 2010-07-08: Largest IV drop — 19.4% change
  • 2010-07-01: Highest IV Rank — 57.8%
  • 2010-07-01: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.49$12.88$15.76$13.13$14.51
Max Pain$13.67$13.00$14.00$14.00$14.00
ATM IV43.5%37.8%53.6%53.6%40.4%
Expected Move12.6%10.8%15.4%15.4%11.6%
HV 20d48.5%38.4%61.6%61.6%38.5%
HV 60d57.3%56.1%58.1%56.1%56.9%
IV Rank36.8%24.7%57.8%57.8%30.2%
IV Percentile39.3%19.8%75.8%75.8%28.2%
Term Structure1.8%-0.7%3.4%0.7%3.4%
VWIV44.2%37.5%51.1%51.1%44.1%
Skew 25d7.4%4.3%10.3%5.9%8.9%
Skew 10d17.9%-13.1%29.1%15.2%23.2%
Call IV 25d41.2%35.7%51.1%51.1%38.7%
Put IV 25d48.6%42.6%58.5%57.0%47.6%
Bid-Ask Spread %16.7910.9023.2413.1916.87
Gamma HHI0.240.140.490.220.17
Net GEX321.9K94.7K654.1K218.5K286.0K
Net DEX-6.9M-17.1M3.3M499.2K-5.6M
Net VEX-91.3K-95.3K-82.2K-88.5K-90.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.063.640.150.10
Total Volume1,542.7145534,5834,5832,202
Total OI42,257.85735,76247,18043,66540,617

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$13.13$14.0053.6%15.4%61.6%57.8%51.1%5.9%0.7%218.5K499.2K-88.5K0.1513.193,96961426,26817,397
2010-07-02$13.02$14.0049.9%14.3%53.9%50.0%50.3%4.3%1.6%195.2K1.1M-85.9K3.6411.614961,80426,03217,547
2010-07-06$12.88$13.0052.5%14.8%51.0%55.6%49.9%10.2%0.8%94.7K3.3M-82.2K1.0220.2276077226,38519,202
2010-07-07$13.50$13.0052.2%14.2%53.0%54.8%47.9%6.9%-0.7%223.3K-516.3K-88.5K1.3919.2245863726,45719,506
2010-07-08$13.71$13.0042.0%13.6%51.0%33.6%46.5%10.3%0.2%299.8K-2.1M-88.6K1.1518.4926530526,34719,267
2010-07-09$13.97$13.0040.8%12.9%50.4%31.0%46.3%8.8%1.2%400.6K-4.8M-89.7K0.2210.901,28628026,40619,146
2010-07-12$14.08$13.0047.4%13.1%50.3%44.8%44.7%8.2%0.6%460.8K-5.7M-91.0K0.8516.9362853227,32019,297
2010-07-13$14.71$13.0043.9%12.6%52.3%37.5%44.9%7.3%1.7%618.0K-11.8M-94.3K0.5216.4280741927,48119,555
2010-07-14$15.02$13.0039.0%12.8%51.6%27.3%45.3%6.2%1.5%654.1K-15.2M-94.1K0.1412.842,56436727,43319,612
2010-07-15$15.25$14.0043.4%12.4%51.7%36.5%44.5%7.5%1.8%567.8K-17.1M-95.3K0.2223.2494321127,21219,794
2010-07-16$14.79$14.0043.8%12.6%53.2%37.3%44.0%7.7%2.8%562.5K-11.7M-93.5K0.1017.031,53215627,37219,808
2010-07-19$14.93$14.0041.6%11.9%53.3%32.7%40.8%7.4%2.7%161.4K-6.6M-91.7K0.3221.891,23239419,96715,795
2010-07-20$15.04$14.0040.8%11.7%52.8%31.1%41.1%6.9%2.5%194.3K-7.5M-92.7K0.6014.7371442920,65515,938
2010-07-21$14.60$14.0040.8%11.7%53.9%30.9%40.0%7.3%2.1%173.7K-5.2M-92.0K0.3118.4148014920,86416,201
2010-07-22$15.09$14.0041.3%11.9%41.7%32.2%42.2%7.4%2.2%215.2K-8.1M-93.9K0.0618.151,1386721,18716,276
2010-07-23$15.31$14.0039.8%11.4%38.9%28.9%37.5%6.2%2.8%262.4K-10.0M-94.4K0.1118.941,11312221,91516,287
2010-07-26$15.76$14.0037.8%10.8%39.9%24.7%40.3%7.6%3.2%307.6K-13.0M-94.5K0.0911.827557022,47616,291
2010-07-27$15.23$14.0041.7%11.9%41.8%32.9%42.7%6.8%1.6%299.4K-10.0M-93.6K0.8521.8029925422,76616,271
2010-07-28$15.00$14.0040.6%11.7%39.1%30.7%42.0%8.0%1.9%280.7K-8.3M-92.6K0.1313.506969022,88416,459
2010-07-29$14.73$14.0040.9%11.7%38.4%31.3%41.3%6.6%2.8%284.4K-6.7M-90.6K0.1716.422,03635223,27116,451
2010-07-30$14.51$14.0040.4%11.6%38.5%30.2%44.1%8.9%3.4%286.0K-5.6M-90.1K0.1016.871,99820423,97916,638