LUV Options History — March 2007

In March 2007, LUV traded between $14.63 and $15.34. ATM implied volatility averaged 21.8%. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.5% (HV 20d: 17.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.60.

Notable Days

  • 2007-03-19: Highest Volume — 17,142 contracts
  • 2007-03-15: Largest IV spike — 25.8% change
  • 2007-03-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.98$14.63$15.34$15.34$14.70
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV21.8%19.1%25.3%25.3%20.0%
Expected Move6.6%5.7%7.5%7.2%5.7%
HV 20d17.3%13.7%22.4%22.4%13.8%
HV 60d21.1%20.2%21.9%21.9%20.2%
Term Structure1.4%-0.2%3.6%0.7%2.3%
VWIV23.1%20.0%26.3%25.3%20.0%
Skew 25d1.9%0.2%3.8%3.8%0.9%
Skew 10d2.8%-0.3%7.7%7.7%0.3%
Call IV 25d20.2%17.5%23.0%23.0%20.9%
Put IV 25d22.2%20.9%26.8%26.8%21.8%
Bid-Ask Spread %7.845.4211.378.5110.78
Gamma HHI0.670.490.930.600.62
Net GEX-4.7M-29.4M-1.0M-2.4M-2.5M
Net DEX23.7M9.6M44.6M10.3M30.5M
Net VEX-512.5K-552.3K-453.9K-472.0K-529.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.126.931.740.31
Total Volume4,782.72752317,1424,1554,714
Total OI177,979.955148,710201,605171,652173,075

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$15.34$15.0025.3%7.2%22.4%0.0%25.3%3.8%0.7%-2.4M10.3M-472.0K1.748.511,5182,63780,51891,134
2007-03-02$15.20$15.0022.3%6.4%21.8%0.0%22.3%2.3%3.6%-3.0M14.3M-475.2K5.5811.058624,81381,13491,758
2007-03-05$15.09$15.0022.1%7.5%21.9%0.0%26.3%3.0%0.4%-3.6M18.8M-461.1K2.435.9733681681,57893,042
2007-03-06$15.05$15.0021.1%7.1%21.2%0.0%24.6%1.4%1.3%-4.1M21.9M-453.9K1.745.833,4526,01881,75093,395
2007-03-07$14.95$15.0021.4%7.1%20.9%0.0%24.7%1.5%1.6%-4.4M29.0M-463.5K6.935.511,0437,22783,02897,298
2007-03-08$15.15$15.0020.2%6.9%21.4%0.0%24.1%2.6%1.4%-4.8M22.8M-487.4K0.437.801,01143083,419103,999
2007-03-09$15.07$15.0019.1%6.9%21.5%0.0%24.1%1.8%1.0%-5.4M25.2M-488.2K0.125.425,39962183,702104,228
2007-03-12$15.06$15.0021.1%7.0%21.5%0.0%24.3%3.2%1.7%-6.2M24.1M-519.0K0.587.2933019388,878104,458
2007-03-13$14.78$15.0024.5%7.1%16.3%0.0%24.7%0.5%0.9%-5.4M44.6M-494.9K0.277.606,7051,81589,002104,475
2007-03-14$14.88$15.0019.3%6.9%16.6%0.0%24.0%1.0%1.3%-6.5M37.7M-528.2K0.677.613,9232,62394,333105,146
2007-03-15$14.90$15.0024.2%6.9%14.7%0.0%24.2%1.6%1.8%-6.9M34.2M-533.5K4.297.747193,08796,772104,833
2007-03-16$15.00$15.0023.9%6.8%13.7%0.0%23.9%2.3%2.1%-29.4M23.3M-531.2K1.806.033,2335,80597,173103,565
2007-03-19$15.00$15.0023.5%6.8%13.8%0.0%23.5%2.3%-0.2%-1.0M12.5M-513.4K4.1110.193,35713,78572,79075,920
2007-03-20$15.12$15.0022.2%6.4%14.2%0.0%22.2%3.0%0.5%-1.9M14.9M-547.9K1.037.961,2561,29475,00288,717
2007-03-21$15.26$15.0020.2%5.8%14.7%0.0%20.1%3.4%2.8%-1.9M9.6M-552.3K0.288.261,27535875,91089,780
2007-03-22$14.98$15.0021.9%6.3%16.0%0.0%21.8%2.2%0.7%-2.1M20.9M-542.4K0.377.403,7651,37976,85790,084
2007-03-23$15.00$15.0020.6%5.9%15.4%0.0%20.6%2.1%1.8%-2.1M17.4M-550.4K0.407.102,45798879,36790,824
2007-03-26$14.88$15.0021.8%6.2%15.6%0.0%21.8%1.5%1.4%-2.2M21.9M-545.4K0.387.7572327280,51291,172
2007-03-27$14.86$15.0022.1%6.3%14.5%0.0%22.1%1.5%0.3%-2.3M22.8M-539.6K0.777.1152940780,75691,064
2007-03-28$14.69$15.0021.8%6.3%15.0%0.0%21.8%0.2%1.1%-2.3M30.3M-525.4K0.398.131,54460781,12591,057
2007-03-29$14.63$15.0020.7%5.9%13.8%0.0%20.7%0.3%2.3%-2.4M33.4M-521.3K0.5711.371,20568981,54891,381
2007-03-30$14.70$15.0020.0%5.7%13.8%0.0%20.0%0.9%2.3%-2.5M30.5M-529.5K0.3110.783,6031,11182,15090,925