LUV Options History — January 2007

In January 2007, LUV traded between $15.08 and $16.57. ATM implied volatility averaged 27.6%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.9% (HV 20d: 25.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2007-01-11: Highest Volume — 14,838 contracts
  • 2007-01-18: Largest IV drop — 15.4% change
  • 2007-01-12: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.64$15.08$16.57$15.52$15.10
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV27.6%22.0%32.8%31.8%22.6%
Expected Move7.8%6.3%9.3%9.1%6.5%
HV 20d25.7%24.2%27.3%27.3%24.2%
Term Structure0.9%-2.5%5.2%-0.9%1.9%
VWIV27.4%22.0%32.6%32.6%22.6%
Skew 25d0.9%-7.6%8.0%-7.6%2.6%
Skew 10d2.2%-9.8%10.2%-9.8%5.1%
Call IV 25d26.8%19.3%39.5%39.5%22.7%
Put IV 25d27.8%24.2%33.1%31.9%25.3%
Bid-Ask Spread %11.837.2019.3011.179.25
Gamma HHI0.470.420.530.430.51
Net GEX154.8K-596.1K960.1K331.2K-596.1K
Net DEX-13.3M-37.5M386.5K-8.1M41.3K
Net VEX-283.3K-305.3K-260.9K-265.2K-305.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.162.110.272.11
Total Volume4,411.41,72514,8381,8811,839
Total OI133,639.387,522169,582148,276104,845

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$15.52$15.0031.8%9.1%0.0%0.0%32.6%-7.6%-0.9%331.2K-8.1M-265.2K0.2711.171,47740479,02069,256
2007-01-04$15.76$15.0030.8%8.8%0.0%0.0%31.0%-6.5%-0.8%482.3K-15.5M-269.3K0.1810.171,46126480,05669,389
2007-01-05$15.50$15.0030.8%8.3%0.0%0.0%28.8%-3.6%0.7%339.7K-9.3M-267.0K0.8713.811,13899480,93469,503
2007-01-08$15.78$15.0032.8%8.6%0.0%0.0%30.1%0.1%0.0%442.2K-16.1M-263.5K0.1611.342,05533581,06470,016
2007-01-09$15.81$15.0031.2%8.4%0.0%0.0%29.5%-0.4%0.5%455.9K-18.5M-260.9K0.2619.301,98251781,41869,964
2007-01-10$16.05$15.0029.5%8.2%0.0%0.0%28.9%0.4%0.9%705.6K-25.2M-265.5K0.7217.602,3711,70881,80469,378
2007-01-11$16.15$15.0030.6%8.8%0.0%0.0%28.9%2.4%3.4%752.2K-27.9M-273.7K2.0214.304,9169,92282,17570,345
2007-01-12$16.22$15.0032.4%9.3%0.0%0.0%30.7%3.9%0.8%673.4K-26.4M-303.3K0.4315.191,60869284,58277,991
2007-01-16$16.57$15.0030.5%8.7%0.0%0.0%30.5%4.6%-2.5%960.1K-37.5M-287.0K0.4512.345,8972,64385,05178,006
2007-01-17$15.90$15.0028.9%8.3%0.0%0.0%29.5%-1.2%0.5%216.3K-23.3M-276.7K0.4913.504,1532,03587,85479,391
2007-01-18$15.84$15.0024.4%7.0%0.0%0.0%29.3%-5.7%5.2%205.9K-23.0M-273.8K1.7915.652,1273,80288,72179,362
2007-01-19$15.91$15.0026.1%7.5%0.0%0.0%26.6%-0.4%2.5%201.8K-22.6M-280.4K0.2010.772,08241388,99380,589
2007-01-22$15.51$15.0027.5%7.9%0.0%0.0%27.5%8.0%-1.7%-39.5K-4.9M-271.9K0.437.208,0343,49447,85239,670
2007-01-23$15.37$15.0025.3%7.2%0.0%0.0%25.3%5.7%-0.1%-117.5K-4.1M-296.3K0.748.591,8321,35952,88641,607
2007-01-24$15.29$15.0023.5%6.7%0.0%0.0%23.3%4.2%2.5%-186.1K-2.7M-299.4K0.379.332,63297653,87042,462
2007-01-25$15.13$15.0023.5%6.7%27.3%0.0%23.5%3.2%1.6%-259.9K-1.6M-298.4K0.589.662,3731,38655,26042,668
2007-01-26$15.08$15.0023.3%6.7%26.4%0.0%23.3%3.0%1.7%-346.4K128.9K-300.2K1.797.971,5932,84956,33943,560
2007-01-29$15.14$15.0024.0%6.9%25.6%0.0%24.0%3.1%0.5%-535.3K-232.1K-304.6K1.2911.261,0741,38857,05245,896
2007-01-30$15.14$15.0022.0%6.3%24.9%0.0%22.0%2.6%2.3%-589.6K386.5K-302.8K1.608.249241,47957,64346,314
2007-01-31$15.10$15.0022.6%6.5%24.2%0.0%22.6%2.6%1.9%-596.1K41.3K-305.3K2.119.255911,24858,09246,753