LUV Options History — April 2007

In April 2007, LUV traded between $14.29 and $15.66. ATM implied volatility averaged 24.5%. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.1% (HV 20d: 17.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2007-04-19: Highest Volume — 42,515 contracts
  • 2007-04-11: Largest IV spike — 18.6% change
  • 2007-04-18: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.96$14.29$15.66$14.75$14.35
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV24.5%20.0%28.5%20.0%23.8%
Expected Move6.9%5.7%8.2%5.7%6.8%
HV 20d17.5%13.7%21.7%13.7%21.7%
HV 60d19.0%17.4%20.2%19.9%19.1%
Term Structure0.7%-1.5%3.1%3.1%-0.4%
VWIV24.5%20.1%34.2%20.1%24.3%
Skew 25d-0.5%-10.7%13.6%1.5%-1.9%
Skew 10d-0.9%-18.3%24.0%1.1%-3.4%
Call IV 25d24.7%18.0%35.7%21.6%24.6%
Put IV 25d24.2%20.9%35.8%23.1%22.7%
Bid-Ask Spread %10.116.0117.5011.2711.51
Gamma HHI0.570.460.920.600.56
Net GEX-3.9M-37.4M-678.3K-2.3M-2.2M
Net DEX5.2M-34.4M40.7M27.4M10.1M
Net VEX-629.8K-734.2K-520.7K-523.4K-697.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.127.910.680.68
Total Volume11,54249242,5154923,281
Total OI226,076.5175,092285,217175,466284,918

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$14.75$15.0020.0%5.7%13.7%0.0%20.1%1.5%3.1%-2.3M27.4M-523.4K0.6811.2729220084,46291,004
2007-04-03$15.08$15.0021.5%6.2%16.0%0.0%21.5%13.6%1.7%-2.1M12.5M-546.4K0.4911.542,5791,25884,47190,621
2007-04-04$15.10$15.0022.6%6.5%15.8%0.0%22.6%2.6%0.7%-2.1M9.5M-533.4K0.168.911,71127485,94891,253
2007-04-05$15.08$15.0021.6%6.2%15.0%0.0%21.6%2.3%0.9%-2.2M10.9M-534.2K0.409.602,7701,11686,58291,251
2007-04-09$15.13$15.0025.5%6.7%15.0%0.0%24.7%3.8%0.6%-2.1M6.4M-525.4K0.146.012,14030687,88992,155
2007-04-10$15.01$15.0023.8%6.3%15.3%0.0%21.5%2.9%1.7%-2.5M13.0M-520.7K0.648.2039325188,02392,151
2007-04-11$15.24$15.0028.3%7.3%14.5%0.0%25.4%-5.5%0.3%-1.9M863.4K-534.1K0.508.6025,58112,83488,23092,231
2007-04-12$15.20$15.0024.7%7.1%14.4%0.0%24.4%3.0%0.7%-1.8M-986.7K-642.5K0.778.752,7522,127109,108104,368
2007-04-13$15.16$15.0024.4%7.0%14.5%0.0%0.0%2.7%0.8%-1.9M-1.0M-643.1K7.919.847305,777111,041104,723
2007-04-16$15.29$15.0024.9%7.1%14.6%0.0%24.9%3.6%0.5%-2.4M-6.7M-633.5K3.8311.081,5155,802110,980109,736
2007-04-17$15.20$15.0025.1%7.2%14.8%0.0%25.1%4.8%0.4%-3.7M3.1M-631.0K1.257.994,4085,519111,300114,556
2007-04-18$15.66$15.0028.5%8.2%17.9%0.0%34.2%-5.4%-1.5%-678.3K-34.4M-639.5K0.1417.5031,9744,343110,282119,938
2007-04-19$15.37$15.0027.3%7.8%19.1%0.0%27.3%-9.6%-0.8%-2.6M-32.0M-704.8K2.8815.3010,95331,562133,365121,136
2007-04-20$14.97$15.0025.1%7.2%20.3%0.0%24.8%-9.0%1.2%-37.4M40.7M-734.2K0.236.9017,7184,129134,913150,304
2007-04-23$14.76$15.0025.5%7.3%20.9%0.0%25.5%-10.7%-0.0%-2.0M5.1M-724.4K0.248.245,3211,292139,589117,737
2007-04-24$14.53$15.0025.9%7.4%21.4%0.0%25.9%-2.4%-0.8%-2.0M19.2M-711.5K0.228.837,7941,733142,020118,626
2007-04-25$14.55$15.0023.2%6.7%21.4%0.0%23.2%-0.9%2.3%-2.0M7.3M-714.9K0.3012.489,6212,852149,621119,324
2007-04-26$14.51$15.0023.9%6.8%21.1%0.0%23.9%-1.6%1.0%-2.1M2.6M-710.5K0.129.079,1341,051157,889119,728
2007-04-27$14.29$15.0024.6%7.1%21.7%0.0%24.6%-2.9%1.6%-1.8M10.9M-690.4K0.3910.655,5662,181159,907120,150
2007-04-30$14.35$15.0023.8%6.8%21.7%0.0%24.3%-1.9%-0.4%-2.2M10.1M-697.1K0.6811.511,9511,330163,029121,889