JBL Options History — October 2010

In October 2010, JBL traded between $14.09 and $15.34. ATM implied volatility averaged 38.8%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 0.4% (HV 20d: 38.4%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2010-10-28: Highest Volume — 6,624 contracts
  • 2010-10-14: Largest IV spike — 12.2% change
  • 2010-10-04: Highest IV Rank — 42.6%
  • 2010-10-04: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.60$14.09$15.34$14.30$15.34
Max Pain$13.90$12.00$14.00$12.00$14.00
ATM IV38.8%34.6%42.8%42.3%37.1%
Expected Move11.4%10.5%12.2%12.1%10.6%
HV 20d38.4%31.5%42.8%39.0%35.8%
HV 60d46.9%46.1%48.0%47.4%46.1%
IV Rank32.5%21.9%42.6%41.3%28.2%
IV Percentile25.1%9.1%42.5%39.7%20.2%
Term Structure1.7%0.1%3.1%3.0%1.7%
VWIV40.8%36.9%45.8%40.9%37.9%
Skew 25d4.9%1.3%7.2%1.5%2.9%
Skew 10d12.7%-4.5%21.5%-4.5%0.2%
Call IV 25d38.1%35.6%42.6%42.6%36.2%
Put IV 25d43.0%38.2%47.3%44.1%39.0%
Bid-Ask Spread %22.2613.5436.2118.8826.92
Gamma HHI0.150.120.200.200.14
Net GEX82.3K-36.6K221.7K221.7K130.8K
Net DEX-9.1M-19.6M-74.6K-12.9M-9.7M
Net VEX-107.7K-117.4K-100.6K-112.7K-102.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.182.401.650.35
Total Volume1,6253616,6241,5081,399
Total OI55,073.42947,37562,07556,50051,799

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$14.30$12.0042.3%12.1%39.0%41.3%40.9%1.5%3.0%221.7K-12.9M-112.7K1.6518.8856993928,75427,746
2010-10-04$14.55$14.0042.8%12.2%38.5%42.6%45.0%6.4%1.0%203.0K-14.2M-111.3K0.6918.881,4991,03028,71828,449
2010-10-05$15.14$14.0039.2%11.9%38.1%33.4%45.8%7.1%1.4%171.3K-19.6M-108.3K0.5014.552,5601,27529,01329,014
2010-10-06$14.75$14.0039.4%11.9%40.0%33.9%41.8%6.6%1.9%165.5K-15.7M-112.2K0.4713.541,07550829,34629,744
2010-10-07$14.55$14.0039.2%11.9%40.5%33.4%43.8%7.2%1.8%171.7K-13.8M-112.3K2.4013.981,0262,46329,76630,017
2010-10-08$14.71$14.0037.3%11.4%40.5%28.8%41.9%5.0%2.0%137.0K-14.3M-117.4K0.5314.3030015830,04631,898
2010-10-11$14.57$14.0038.6%11.8%40.2%32.1%42.9%6.6%1.2%137.2K-12.9M-113.8K0.6519.1340426330,01031,916
2010-10-12$14.69$14.0034.6%12.0%39.7%21.9%42.1%4.7%0.1%130.3K-14.3M-112.8K0.4716.3234115930,06231,996
2010-10-13$15.02$14.0036.6%11.5%40.0%27.0%40.4%5.5%0.2%121.9K-17.6M-110.1K1.4628.727061,03030,03132,044
2010-10-14$14.72$14.0041.1%11.8%39.8%38.3%42.9%5.7%0.3%85.1K-14.2M-110.7K0.5322.2328915330,02331,917
2010-10-15$14.75$14.0039.6%11.4%38.5%34.6%41.3%5.4%1.7%63.7K-14.0M-109.3K0.9426.5978473730,05431,935
2010-10-18$14.84$14.0037.3%10.7%37.9%28.8%39.0%5.5%2.8%17.9K-4.5M-105.0K0.6022.2076145520,49426,881
2010-10-19$14.09$14.0040.6%11.6%42.8%37.0%39.6%4.2%1.9%-36.6K-74.6K-104.5K0.7929.3879762920,94027,066
2010-10-20$14.31$14.0039.7%11.4%41.9%34.8%40.3%4.7%1.3%-7.7K-1.5M-104.8K1.1020.5230633721,31727,343
2010-10-21$14.20$14.0039.3%11.3%42.1%33.8%39.0%4.9%2.2%-15.1K-616.9K-104.1K1.8825.7824746521,45027,378
2010-10-22$14.18$14.0036.9%10.6%35.1%27.7%37.2%5.1%3.1%-20.8K-541.0K-102.9K1.1021.7917218921,50227,502
2010-10-25$14.45$14.0039.1%11.2%34.8%33.3%37.7%2.5%2.0%29-2.3M-101.9K0.1826.213576421,48127,600
2010-10-26$14.31$14.0038.3%11.0%34.8%31.1%44.1%5.8%2.2%-6.3K-1.4M-100.6K0.8436.211,3591,14121,67027,630
2010-10-27$14.31$14.0039.1%11.2%31.5%33.1%36.9%3.9%2.2%-15.6K-1.3M-102.7K0.2727.8743711822,28728,679
2010-10-28$14.92$14.0036.5%10.5%34.8%26.7%37.4%1.3%2.7%72.6K-6.3M-102.1K1.9323.462,2574,36722,35228,672
2010-10-29$15.34$14.0037.1%10.6%35.8%28.2%37.9%2.9%1.7%130.8K-9.7M-102.0K0.3526.921,03836122,94328,856