JBL Options History — August 2010

In August 2010, JBL traded between $10.25 and $14.94. ATM implied volatility averaged 45.9%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 1.0% (HV 20d: 46.9%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2010-08-06: Highest Volume — 3,473 contracts
  • 2010-08-19: Largest IV spike — 10.0% change
  • 2010-08-11: Highest IV Rank — 51.8%
  • 2010-08-12: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.15$10.25$14.94$14.94$10.25
Max Pain$14.36$14.00$15.00$14.00$14.00
ATM IV45.9%39.4%50.7%41.1%47.3%
Expected Move13.0%11.3%14.5%11.8%13.5%
HV 20d46.9%36.8%51.9%39.1%46.0%
HV 60d54.0%48.2%56.3%56.2%48.2%
IV Rank41.7%28.2%51.8%31.7%44.5%
IV Percentile53.5%24.6%71.0%31.7%62.7%
Term Structure4.0%-0.1%8.1%1.4%8.1%
VWIV44.7%39.6%49.5%40.9%45.1%
Skew 25d5.1%1.0%8.5%5.1%6.0%
Skew 10d9.1%-13.5%22.1%22.1%16.5%
Call IV 25d43.8%38.6%48.3%40.1%43.8%
Put IV 25d48.9%43.7%52.9%45.2%49.8%
Bid-Ask Spread %12.539.2817.1517.1516.73
Gamma HHI0.160.130.230.190.13
Net GEX96.4K-36.0K483.4K409.7K-15.2K
Net DEX4.6M-10.4M9.7M-10.4M8.8M
Net VEX-63.0K-92.5K-42.3K-92.5K-42.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.144.300.191.67
Total Volume1,464.6824403,4732,505896
Total OI43,330.13636,52247,84642,28938,568

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$14.94$14.0041.1%11.8%39.1%31.7%40.9%5.1%1.4%409.7K-10.4M-92.5K0.1917.152,09740825,56716,722
2010-08-03$14.67$14.0040.0%11.5%39.6%29.3%41.6%8.5%2.3%439.3K-8.4M-90.8K0.5015.8378839426,68916,725
2010-08-04$14.90$14.0039.4%11.3%36.8%28.2%39.6%5.1%1.6%483.4K-10.4M-92.5K2.3910.354571,09326,96616,988
2010-08-05$14.23$14.0043.1%12.4%40.8%35.9%41.9%7.4%-0.1%410.9K-4.8M-86.8K4.3012.864021,72927,05616,838
2010-08-06$13.29$15.0045.1%12.4%47.2%39.9%44.6%7.6%3.5%197.2K3.3M-79.5K1.0514.601,6971,77627,15318,209
2010-08-09$13.63$15.0043.9%11.9%48.1%37.4%41.6%6.4%4.1%266.7K1.3M-83.3K0.6214.3365741027,47918,915
2010-08-10$12.95$15.0046.9%13.2%48.0%43.7%44.7%6.2%1.9%110.9K5.7M-73.8K1.1210.071,2991,45727,63818,879
2010-08-11$12.38$15.0050.7%13.4%48.8%51.8%45.7%5.1%3.8%36.0K7.8M-66.2K0.2711.061,43639028,01318,608
2010-08-12$11.71$15.0050.7%14.5%50.4%51.8%49.5%6.0%1.9%-19.7K9.7M-58.0K1.6512.671,2432,04728,41918,609
2010-08-13$11.55$15.0049.6%14.2%50.0%49.5%46.4%3.9%2.3%-21.6K8.7M-58.7K0.9714.1047346029,12918,057
2010-08-16$11.46$15.0050.2%14.4%49.4%50.6%46.7%5.6%1.0%-36.0K9.3M-55.8K0.419.5754922729,20018,103
2010-08-17$11.76$15.0045.9%13.2%50.8%41.8%46.3%4.3%2.6%-15.0K8.0M-56.9K0.339.361,03734529,43517,568
2010-08-18$12.04$14.0043.8%12.5%51.9%37.3%44.3%5.9%4.4%4.8K6.8M-59.5K0.7211.4961944529,99817,492
2010-08-19$11.56$14.0048.2%13.8%50.4%46.4%46.3%3.2%3.0%-8.5K8.3M-56.4K0.479.9166131130,19817,628
2010-08-20$11.17$14.0046.8%13.4%49.8%43.6%47.0%3.5%3.9%-22.8K9.3M-50.7K0.689.2838026030,23917,607
2010-08-23$11.12$14.0045.4%13.0%47.2%40.7%45.2%4.4%7.3%-17.2K7.5M-49.9K0.4212.6478132920,78615,736
2010-08-24$10.78$14.0047.8%13.7%47.1%45.7%46.3%5.7%6.6%-16.2K8.0M-47.3K0.3812.5796536821,17415,806
2010-08-25$10.81$14.0046.7%13.4%47.6%43.3%47.7%2.6%6.9%-13.8K8.0M-46.8K1.8113.7544179721,35315,923
2010-08-26$10.73$14.0047.3%13.6%47.7%44.6%44.2%1.9%6.2%-17.2K8.1M-46.3K1.5911.9617027021,40216,194
2010-08-27$10.82$14.0044.0%12.6%48.5%37.7%44.4%1.0%7.5%-19.3K8.2M-46.4K0.3012.4286326021,44716,306
2010-08-30$10.61$14.0045.9%13.2%45.6%41.7%43.4%6.8%6.9%-15.0K8.2M-46.1K0.1412.904706621,99516,446
2010-08-31$10.25$14.0047.3%13.5%46.0%44.5%45.1%6.0%8.1%-15.2K8.8M-42.3K1.6716.7333656022,18916,379