Get and display checked checkbox index

I'm trying to display the checkbox position when the user check the checkbox every time using Jquery. For example, when user check Monday, it will display position 0 and when user check Sunday, it will display position 6. I could not find a way to do it. I have tried to use .index() but it keep showing me 0. Any idea on how to do it?

HTML code

<div class="col-sm-9 checkbox_days">
    <label class="checkbox">
        <input type="checkbox" class="day" name="day[]" value="Monday"> Monday
    </label>
    <label class="checkbox">    
        <input type="checkbox" class="day" name="day[]" value="Tuesday"> Tuesday
    </label>
    <label class="checkbox">
        <input type="checkbox" class="day" name="day[]" value="Wednesday"> Wednesday
    </label>
    <label class="checkbox">
        <input type="checkbox" class="day" name="day[]" value="Thursday"> Thursday
    </label>
    <label class="checkbox">                        
        <input type="checkbox" class="day" name="day[]" value="Friday"> Friday
    </label>
    <label class="checkbox">                        
        <input type="checkbox" class="day" name="day[]" value="Saturday"> Saturday
    </label>
    <label class="checkbox">                        
        <input type="checkbox" class="day" name="day[]" value="Sunday"> Sunday
    </label>
</div>

JQuery

$('.day').on('change', function() {
    $(this).each(function() {
        if (this.checked) {
            alert($(this).index());
        } else {
            alert("unchecked");
        }
    });
});