JBL Options History — February 2011

In February 2011, JBL traded between $19.80 and $22.98. ATM implied volatility averaged 38.1%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 0.9% (HV 20d: 37.2%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.34.

Notable Days

2011-02-10: Highest Volume — 9,631 contracts
2011-02-22: Largest IV spike — 15.4% change
2011-02-23: Highest IV Rank — 48.8%
2011-02-23: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.41	$19.80	$22.98	$20.72	$21.43
Max Pain	$18.89	$18.00	$20.00	$20.00	$19.00
ATM IV	38.1%	34.3%	45.3%	37.1%	42.4%
Expected Move	11.1%	10.2%	13.0%	10.6%	12.2%
HV 20d	37.2%	31.5%	47.1%	34.6%	44.7%
HV 60d	38.8%	35.6%	41.2%	40.1%	41.2%
IV Rank	30.7%	21.1%	48.8%	28.2%	41.7%
IV Percentile	30.4%	9.1%	69.0%	21.4%	57.1%
Term Structure	3.8%	1.2%	5.5%	1.2%	5.3%
VWIV	40.1%	36.5%	48.6%	37.7%	43.3%
Skew 25d	4.1%	2.1%	6.6%	2.7%	4.2%
Skew 10d	9.4%	1.6%	15.5%	7.3%	15.5%
Call IV 25d	37.8%	35.0%	44.9%	37.2%	41.5%
Put IV 25d	42.0%	38.1%	48.4%	39.9%	45.6%
Bid-Ask Spread %	12.15	9.59	15.21	9.59	13.08
Gamma HHI	0.19	0.13	0.25	0.21	0.15
Net GEX	588.0K	355.8K	754.6K	436.0K	568.9K
Net DEX	-35.2M	-49.9M	-18.5M	-29.1M	-33.4M
Net VEX	-170.6K	-188.8K	-151.9K	-176.6K	-187.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.03	0.88	0.42	0.88
Total Volume	3,247.737	1,096	9,631	1,911	6,670
Total OI	55,592.474	47,337	58,865	55,621	55,573

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$20.72	$20.00	37.1%	10.6%	34.6%	28.2%	37.7%	2.7%	1.2%	436.0K	-29.1M	-176.6K	0.42	9.59	1,348	563	32,367	23,254
2011-02-02	$20.64	$20.00	35.7%	10.2%	34.6%	24.8%	36.8%	3.9%	3.0%	455.3K	-28.6M	-177.2K	0.40	11.92	785	311	32,714	23,386
2011-02-03	$20.92	$20.00	35.5%	10.2%	34.0%	24.2%	36.7%	2.1%	3.2%	486.5K	-31.5M	-175.7K	0.05	13.04	1,634	89	32,713	23,554
2011-02-04	$21.22	$18.00	35.6%	10.9%	34.2%	24.5%	38.3%	4.2%	4.1%	595.2K	-36.3M	-176.6K	0.11	10.69	1,800	206	33,875	23,569
2011-02-07	$21.55	$18.00	35.5%	10.9%	34.0%	24.2%	38.1%	4.0%	3.0%	681.1K	-40.6M	-171.8K	0.10	13.51	2,740	261	34,398	23,619
2011-02-08	$21.30	$18.00	35.2%	10.9%	34.2%	23.4%	38.0%	3.9%	2.7%	698.0K	-38.0M	-172.8K	0.34	10.59	947	325	34,954	23,689
2011-02-09	$21.43	$18.00	34.3%	11.2%	34.2%	21.1%	37.7%	4.4%	3.3%	704.7K	-39.0M	-171.4K	0.21	13.40	932	194	34,957	23,908
2011-02-10	$21.37	$18.00	38.4%	11.0%	34.2%	31.4%	48.6%	4.4%	3.2%	717.2K	-38.2M	-169.0K	0.03	13.47	9,374	257	34,798	23,904
2011-02-11	$21.66	$19.00	37.9%	10.9%	34.5%	30.1%	37.5%	4.2%	3.2%	667.8K	-35.3M	-166.2K	0.24	10.99	1,474	350	31,400	23,943
2011-02-14	$22.38	$19.00	37.1%	10.6%	35.9%	28.2%	38.7%	4.4%	3.7%	626.7K	-42.8M	-160.2K	0.63	12.67	2,784	1,754	31,564	24,057
2011-02-15	$22.01	$19.00	37.3%	10.7%	36.3%	28.8%	38.4%	4.3%	2.3%	754.6K	-39.5M	-159.7K	0.23	14.43	1,046	238	31,605	23,677
2011-02-16	$22.51	$19.00	36.3%	10.4%	34.6%	26.2%	40.4%	2.8%	4.7%	720.4K	-45.2M	-156.2K	0.56	15.21	1,518	854	31,886	23,774
2011-02-17	$22.98	$19.00	36.7%	10.5%	34.6%	27.2%	37.7%	3.8%	4.2%	720.6K	-49.9M	-151.9K	0.40	10.43	2,332	931	31,963	23,763
2011-02-18	$22.57	$19.00	36.0%	10.3%	31.5%	25.4%	36.5%	4.6%	4.5%	626.0K	-44.9M	-156.1K	0.28	9.89	1,509	424	31,974	24,419
2011-02-22	$21.06	$19.00	41.5%	11.9%	41.1%	39.3%	41.8%	6.6%	5.3%	462.8K	-25.7M	-158.3K	0.17	12.89	6,440	1,125	27,647	19,690
2011-02-23	$19.80	$19.00	45.3%	13.0%	46.4%	48.8%	46.2%	3.4%	4.0%	355.8K	-18.5M	-178.4K	0.65	13.41	3,584	2,333	31,039	20,328
2011-02-24	$20.27	$19.00	44.2%	12.7%	47.1%	46.2%	44.4%	4.2%	5.5%	396.8K	-22.5M	-186.0K	0.43	9.97	1,333	577	31,943	21,675
2011-02-25	$20.93	$19.00	41.9%	12.0%	46.6%	40.4%	44.9%	6.3%	5.1%	497.4K	-28.9M	-188.8K	0.41	11.74	1,894	771	32,620	22,058
2011-02-28	$21.43	$19.00	42.4%	12.2%	44.7%	41.7%	43.3%	4.2%	5.3%	568.9K	-33.4M	-187.8K	0.88	13.08	3,551	3,119	33,357	22,216