JBL Options History — August 2011

In August 2011, JBL traded between $14.08 and $17.77. ATM implied volatility averaged 59.3%, placing in the 65.9% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 17.7% (HV 20d: 77.0%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.85.

Notable Days

2011-08-04: Highest Volume — 10,541 contracts
2011-08-04: Largest IV spike — 41.1% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-19: Largest Expected Move — 21.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.71	$14.08	$17.77	$17.77	$16.85
Max Pain	$19.61	$18.00	$20.00	$19.00	$19.00
ATM IV	59.3%	39.2%	81.3%	39.2%	53.0%
Expected Move	16.6%	11.2%	21.0%	11.2%	15.2%
HV 20d	77.0%	38.4%	98.2%	38.4%	95.5%
HV 60d	53.8%	35.1%	63.4%	35.1%	63.4%
IV Rank	65.9%	40.2%	100.0%	40.2%	48.8%
IV Percentile	91.6%	52.0%	100.0%	52.0%	89.7%
Term Structure	-2.2%	-11.9%	3.6%	2.7%	3.2%
VWIV	58.2%	39.3%	71.4%	39.4%	52.1%
Skew 25d	10.9%	5.7%	17.6%	6.9%	8.8%
Skew 10d	23.0%	5.3%	35.0%	28.9%	25.1%
Call IV 25d	54.0%	38.6%	65.8%	39.0%	48.1%
Put IV 25d	64.9%	45.8%	82.0%	45.8%	56.9%
Bid-Ask Spread %	16.24	12.79	23.63	19.42	18.00
Gamma HHI	0.13	0.10	0.23	0.12	0.12
Net GEX	197.1K	-90.3K	476.9K	182.9K	281.4K
Net DEX	14.3M	1.7M	24.7M	11.4M	1.7M
Net VEX	-186.6K	-223.6K	-147.7K	-220.3K	-203.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.05	3.67	0.32	0.06
Total Volume	3,967.913	625	10,541	4,731	9,828
Total OI	91,035.304	81,934	98,781	85,359	88,840

Daily Data (23 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
2011-08-01	$17.77	$19.00	39.2%	11.2%	38.4%	40.2%	39.4%	6.9%	2.7%	182.9K	11.4M	-220.3K	0.32	19.42	3,573	1,158	50,769	34,590
2011-08-02	$16.69	$18.00	42.4%	12.2%	43.0%	49.8%	42.8%	8.9%	2.5%	228.1K	18.6M	-184.1K	0.23	14.18	7,775	1,770	53,153	32,853
2011-08-03	$17.11	$18.00	40.8%	11.7%	43.6%	45.0%	40.4%	8.4%	3.1%	476.9K	9.8M	-223.6K	0.78	14.04	2,387	1,858	59,175	33,782
2011-08-04	$15.68	$18.00	57.6%	16.5%	49.7%	95.9%	60.0%	5.7%	-2.6%	213.8K	21.2M	-189.7K	0.05	20.31	10,045	496	58,483	35,086
2011-08-05	$15.54	$20.00	58.3%	15.9%	49.4%	98.1%	39.3%	10.1%	-1.3%	133.4K	20.5M	-180.3K	1.32	13.54	2,191	2,895	55,315	33,411
2011-08-08	$14.08	$20.00	81.3%	20.2%	55.9%	100.0%	69.5%	12.2%	-9.4%	95.1K	24.4M	-147.7K	1.73	18.45	3,820	6,626	56,120	33,272
2011-08-09	$15.53	$20.00	70.0%	16.7%	69.5%	79.5%	70.2%	10.7%	-4.8%	107.6K	17.8M	-193.3K	1.93	23.63	1,327	2,561	59,118	35,441
2011-08-10	$14.61	$20.00	74.5%	19.0%	70.8%	87.6%	68.6%	11.7%	-7.8%	43.7K	22.0M	-175.4K	0.21	15.75	1,584	333	59,311	36,623
2011-08-11	$16.26	$20.00	62.7%	18.0%	83.1%	66.4%	63.4%	10.7%	-6.6%	250.2K	8.9M	-220.3K	1.72	19.66	1,994	3,424	60,058	36,631
2011-08-12	$16.25	$20.00	59.9%	17.2%	83.0%	61.2%	61.3%	10.9%	-6.1%	197.9K	10.7M	-213.5K	0.76	15.71	1,498	1,144	59,899	37,228
2011-08-15	$16.63	$20.00	51.5%	14.8%	83.6%	46.0%	54.3%	8.8%	-1.1%	345.1K	8.3M	-212.1K	0.20	13.82	1,603	313	60,713	36,369
2011-08-16	$16.42	$20.00	54.2%	15.5%	81.9%	51.0%	56.4%	10.3%	-2.4%	382.8K	9.6M	-202.9K	1.08	15.85	300	325	61,666	35,993
2011-08-17	$16.18	$20.00	53.3%	15.3%	81.9%	49.4%	53.9%	8.3%	-1.8%	431.5K	11.9M	-196.9K	0.13	14.19	1,369	181	61,771	35,926
2011-08-18	$14.27	$20.00	70.2%	20.1%	91.4%	80.0%	71.4%	12.2%	-9.3%	-23.2K	24.7M	-154.1K	1.32	14.47	826	1,089	62,350	35,915
2011-08-19	$14.22	$20.00	73.1%	21.0%	90.5%	85.2%	69.8%	13.6%	-11.9%	-90.3K	24.0M	-153.4K	3.67	17.51	501	1,840	62,643	36,138
2011-08-22	$14.12	$20.00	71.8%	20.6%	90.5%	82.7%	70.5%	17.6%	-5.3%	97.5K	17.6M	-148.3K	0.68	14.98	1,360	929	51,777	30,157
2011-08-23	$14.88	$20.00	62.4%	17.9%	93.7%	65.8%	63.8%	13.9%	1.0%	127.5K	15.6M	-164.2K	0.50	16.48	1,017	507	52,905	30,888
2011-08-24	$15.02	$20.00	60.3%	17.3%	93.0%	62.0%	58.8%	15.0%	0.4%	140.9K	14.9M	-168.4K	0.68	17.34	706	478	53,315	30,977
2011-08-25	$14.77	$20.00	63.5%	18.2%	92.9%	67.8%	64.3%	15.9%	-0.4%	146.5K	14.9M	-165.2K	0.64	15.55	1,021	655	53,903	31,101
2011-08-26	$15.46	$20.00	60.8%	17.4%	95.1%	62.9%	58.9%	12.4%	0.6%	197.8K	11.6M	-179.2K	0.85	12.79	720	612	54,597	31,192
2011-08-29	$16.51	$20.00	50.7%	14.5%	98.2%	44.7%	53.7%	8.8%	3.6%	260.6K	5.5M	-196.5K	0.06	13.38	1,873	105	55,119	31,591
2011-08-30	$16.59	$19.00	51.6%	14.8%	95.8%	46.3%	55.4%	8.8%	3.1%	305.8K	3.8M	-198.5K	0.71	14.49	2,710	1,935	56,023	31,625
2011-08-31	$16.85	$19.00	53.0%	15.2%	95.5%	48.8%	52.1%	8.8%	3.2%	281.4K	1.7M	-203.9K	0.06	18.00	9,266	562	56,296	32,544