JBL Options History — December 2010

In December 2010, JBL traded between $15.47 and $20.11. ATM implied volatility averaged 38.9%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 1.5% (HV 20d: 40.4%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2010-12-21: Highest Volume — 21,183 contracts
  • 2010-12-21: Largest IV drop — 25.4% change
  • 2010-12-20: Highest IV Rank — 51.0%
  • 2010-12-13: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.91$15.47$20.11$15.47$20.09
Max Pain$15.27$15.00$16.00$15.00$16.00
ATM IV38.9%33.9%46.1%40.7%35.1%
Expected Move11.5%9.7%13.4%11.7%10.1%
HV 20d40.4%31.9%44.0%42.5%41.0%
HV 60d39.5%36.3%41.4%39.1%39.7%
IV Rank32.6%20.1%51.0%37.4%23.1%
IV Percentile31.3%6.7%70.6%39.3%11.9%
Term Structure1.7%-4.4%7.0%7.0%3.1%
VWIV40.8%34.2%47.5%39.6%35.2%
Skew 25d3.1%-2.8%6.8%6.8%2.1%
Skew 10d6.6%-2.2%13.3%13.3%6.2%
Call IV 25d39.4%33.7%44.6%33.7%34.8%
Put IV 25d42.6%33.9%49.3%40.5%36.9%
Bid-Ask Spread %15.724.7831.7031.704.78
Gamma HHI0.210.160.550.190.23
Net GEX461.2K209.6K1.0M209.6K567.9K
Net DEX-30.5M-45.8M-10.7M-10.7M-44.8M
Net VEX-94.8K-136.3K-72.6K-82.1K-134.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.121.370.840.12
Total Volume4,827.09191421,1832,5202,876
Total OI56,863.45547,66568,69648,57568,631

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$15.47$15.0040.7%11.7%42.5%37.4%39.6%6.8%7.0%209.6K-10.7M-82.1K0.8431.701,3691,15123,44025,135
2010-12-02$16.05$15.0038.5%11.0%43.7%31.6%38.3%4.2%6.5%282.8K-16.0M-79.2K0.6628.4193361924,06225,401
2010-12-03$16.16$15.0037.5%10.7%42.1%29.1%38.1%3.6%6.6%272.3K-16.1M-79.1K0.5529.461,11160723,92625,420
2010-12-06$16.35$15.0039.1%13.0%41.7%33.2%45.5%5.0%-0.1%304.8K-18.6M-76.0K0.3716.5186531724,26625,422
2010-12-07$17.05$15.0040.7%12.9%44.0%37.3%46.3%4.5%-0.8%313.2K-23.7M-72.6K0.4517.495,4822,47824,71125,609
2010-12-08$16.86$15.0041.1%12.8%43.5%38.4%46.9%4.7%0.4%345.2K-22.8M-85.0K0.3823.701,76767426,94826,747
2010-12-09$16.87$15.0037.8%12.9%42.8%30.0%47.5%5.7%-0.5%377.9K-23.8M-85.1K0.9222.441,1041,01627,72526,678
2010-12-10$16.71$15.0042.1%13.4%38.5%40.8%44.5%5.5%-2.4%363.0K-22.8M-86.6K0.4122.081,90878628,11526,979
2010-12-13$16.71$15.0042.5%13.4%38.4%41.8%45.6%4.0%-3.1%373.5K-23.8M-87.6K0.3118.631,58549029,39427,385
2010-12-14$17.14$15.0041.9%12.4%39.0%40.4%43.5%5.2%1.0%422.0K-27.7M-88.5K0.2316.093,45179429,95427,552
2010-12-15$16.92$15.0042.8%12.3%36.9%42.5%47.1%3.9%1.5%418.8K-26.4M-89.9K0.7812.823,0072,34530,87727,649
2010-12-16$17.06$15.0042.6%12.2%36.4%42.0%43.8%5.3%1.1%360.5K-26.7M-93.4K0.1411.9080411031,47128,027
2010-12-17$17.47$15.0042.8%12.3%31.9%42.6%43.7%3.7%0.2%1.0M-30.7M-90.6K0.6914.502,2171,53131,55228,083
2010-12-20$17.66$15.0046.1%13.2%31.9%51.0%46.4%3.0%-4.4%396.7K-24.9M-90.4K0.4417.6810,4464,56725,89421,771
2010-12-21$19.55$15.0034.4%9.9%43.8%21.4%34.5%0.9%2.4%646.5K-45.8M-86.7K0.3210.0416,1095,07431,74224,524
2010-12-22$20.11$15.0034.2%9.8%41.0%21.0%34.5%-2.8%2.8%567.5K-45.5M-94.2K0.377.969,2103,36931,05426,054
2010-12-23$19.93$16.0033.9%9.7%41.9%20.1%34.2%1.0%3.1%547.9K-43.1M-109.6K0.4810.423,0621,46632,59128,004
2010-12-27$20.11$16.0035.7%10.2%41.5%24.8%35.9%1.2%2.5%575.9K-45.4M-112.3K0.148.451,81126233,71829,017
2010-12-28$20.02$16.0036.0%10.3%41.8%25.4%37.3%-0.3%2.6%594.5K-45.0M-113.1K0.548.3593850334,10929,107
2010-12-29$19.97$16.0034.9%10.0%41.6%22.8%35.3%0.8%4.1%610.4K-44.3M-113.5K1.375.852,8603,92834,25829,298
2010-12-30$19.86$16.0034.5%9.9%42.0%21.5%34.8%1.3%3.9%574.8K-43.4M-136.3K0.266.6994824636,25532,441
2010-12-31$20.09$16.0035.1%10.1%41.0%23.1%35.2%2.1%3.1%567.9K-44.8M-134.7K0.124.782,56431236,06732,564