JBL Options History — September 2010

In September 2010, JBL traded between $10.93 and $14.41. ATM implied volatility averaged 48.2%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 1.5% (HV 20d: 46.8%). Max pain ranged from $11.00 to $14.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2010-09-27: Highest Volume — 12,843 contracts
  • 2010-09-28: Largest IV drop — 28.8% change
  • 2010-09-27: Highest IV Rank — 68.9%
  • 2010-09-27: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.67$10.93$14.41$10.93$14.41
Max Pain$11.43$11.00$14.00$14.00$12.00
ATM IV48.2%41.4%58.9%43.5%42.9%
Expected Move14.1%12.0%16.9%12.5%12.3%
HV 20d46.8%39.8%55.8%53.4%39.8%
HV 60d48.7%45.7%50.7%50.1%47.4%
IV Rank47.1%32.4%68.9%36.8%42.9%
IV Percentile65.6%33.3%97.2%43.3%42.5%
Term Structure-1.7%-9.6%7.3%7.3%1.7%
VWIV49.4%42.0%60.5%45.9%42.1%
Skew 25d5.5%-2.1%8.9%-0.5%2.9%
Skew 10d12.1%-11.9%25.3%-11.9%5.8%
Call IV 25d47.8%41.0%57.1%48.4%41.5%
Put IV 25d53.2%38.9%64.9%47.8%44.4%
Bid-Ask Spread %16.3512.7722.2415.5817.46
Gamma HHI0.180.100.610.130.20
Net GEX67.8K-366.5K214.4K-12.7K198.4K
Net DEX-2.1M-13.8M7.7M7.7M-13.8M
Net VEX-70.1K-113.1K-48.1K-48.1K-113.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0623.410.240.46
Total Volume3,585.8152912,8436012,677
Total OI43,84730,59755,72339,11755,723

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$10.93$14.0043.5%12.5%53.4%36.8%45.9%-0.5%7.3%-12.7K7.7M-48.1K0.2415.5848511622,35216,765
2010-09-02$11.40$14.0043.1%12.3%55.8%35.8%42.0%-2.1%7.2%-3.1K6.4M-52.3K0.1112.775946422,52416,811
2010-09-03$11.73$11.0041.4%14.0%53.2%32.4%48.2%6.1%0.0%9.3K5.4M-55.6K0.1318.241,08814422,84616,831
2010-09-07$11.50$11.0047.8%15.2%52.0%45.7%53.2%7.2%-2.2%20.7K5.8M-53.0K0.9014.743,6623,28623,44616,817
2010-09-08$11.86$11.0042.7%14.7%51.2%35.0%51.2%7.3%-3.7%-10.3K2.6M-61.9K5.9920.975193,10826,62719,979
2010-09-09$12.16$11.0050.4%14.4%49.9%51.0%53.2%5.9%-1.9%21.2K1.1M-62.7K0.5319.6869836726,66620,060
2010-09-10$12.22$11.0050.7%14.5%45.5%51.7%48.7%8.9%-3.4%37.3K643.6K-62.8K0.4616.5344820526,80520,009
2010-09-13$12.61$11.0049.6%14.2%46.2%49.3%51.7%8.2%-2.9%98.2K-1.4M-63.2K0.1114.681,42015526,83720,006
2010-09-14$12.50$11.0052.6%15.1%46.3%55.8%51.5%7.4%-4.5%96.4K-677.1K-61.7K0.4013.8337815126,86020,068
2010-09-15$12.61$11.0049.3%14.1%45.6%48.8%44.1%6.4%-1.0%104.5K-1.5M-62.6K0.1017.249589827,03520,068
2010-09-16$12.33$11.0053.1%15.2%45.8%56.7%51.0%4.1%-5.4%94.2K200.0K-59.5K23.4122.242355,50227,15020,084
2010-09-17$12.79$11.0048.9%14.0%44.7%47.9%49.9%5.0%-3.0%-366.5K-2.8M-62.0K0.2714.2599026827,19824,820
2010-09-20$13.12$11.0048.3%13.9%42.7%46.8%47.6%5.3%-1.3%116.6K-5.4M-62.7K0.0615.502,53214418,44912,148
2010-09-21$12.97$11.0049.8%14.3%43.0%49.8%49.7%4.1%-2.3%181.1K-5.7M-63.8K0.4620.061,22957120,31212,207
2010-09-22$12.70$11.0050.6%14.5%42.0%51.6%54.5%8.1%-4.0%176.7K-4.7M-64.2K8.6513.751,0569,13020,81612,681
2010-09-23$12.68$11.0052.6%15.1%42.1%55.6%53.0%6.5%-2.3%71.6K-1.6M-82.7K0.6113.051,17871421,05419,831
2010-09-24$13.57$11.0049.3%14.1%46.6%48.9%50.9%6.5%-3.6%96.1K-6.6M-87.8K0.3917.251,52058821,72720,209
2010-09-27$13.89$11.0058.9%16.9%46.8%68.9%60.5%7.7%-9.6%113.9K-8.6M-89.5K0.6313.067,8664,97722,43420,361
2010-09-28$13.76$12.0041.9%12.0%46.0%33.5%43.6%5.2%1.3%214.4K-9.3M-94.1K1.6218.924,1066,63226,86523,068
2010-09-29$14.34$12.0045.7%13.1%43.4%43.6%44.9%4.4%-1.4%165.6K-12.1M-108.7K0.3513.584,0281,41526,66827,570
2010-09-30$14.41$12.0042.9%12.3%39.8%42.9%42.1%2.9%1.7%198.4K-13.8M-113.1K0.4617.461,83584227,99427,729