LUV Options History — May 2007

In May 2007, LUV traded between $14.22 and $14.75. ATM implied volatility averaged 24.2%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.4% (HV 20d: 18.8%). 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 15 of 22 days. Put/call ratio averaged 1.67.

Notable Days

  • 2007-05-25: Highest Volume — 11,275 contracts
  • 2007-05-30: Largest IV spike — 29.1% change
  • 2007-05-17: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.44$14.22$14.75$14.26$14.31
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV24.2%19.3%26.9%26.6%23.6%
Expected Move7.0%5.5%7.7%7.6%6.8%
HV 20d18.8%13.4%22.1%21.7%13.4%
HV 60d17.8%16.8%19.5%19.2%17.0%
Term Structure0.5%-1.2%2.8%-0.6%-0.0%
VWIV24.5%21.1%27.5%26.8%24.0%
Skew 25d-3.7%-12.1%0.9%-12.1%-0.9%
Skew 10d-5.2%-21.4%-0.2%-21.4%-3.5%
Call IV 25d24.6%20.9%30.4%29.5%24.3%
Put IV 25d20.9%17.4%25.0%17.4%23.4%
Bid-Ask Spread %9.815.0620.1810.546.19
Gamma HHI0.580.550.630.550.56
Net GEX-2.5M-3.3M-2.0M-2.0M-2.0M
Net DEX3.0M-16.0M17.0M14.1M3.0M
Net VEX-663.2K-735.7K-568.9K-692.6K-568.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0927.470.250.17
Total Volume2,498.77365111,2752,428651
Total OI282,434.364262,907292,641286,215262,976

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$14.26$15.0026.6%7.6%21.7%0.0%26.8%-12.1%-0.6%-2.0M14.1M-692.6K0.2510.541,939489163,611122,604
2007-05-02$14.56$15.0022.6%6.5%21.5%0.0%22.6%0.9%2.8%-2.2M-1.3M-723.6K0.1511.682,512389163,825122,700
2007-05-03$14.51$15.0024.6%7.1%21.5%0.0%24.6%-0.0%0.1%-2.3M2.2M-714.6K0.0912.152,128194165,326122,721
2007-05-04$14.68$15.0024.1%7.0%22.0%0.0%24.6%-9.9%-0.0%-2.3M-9.5M-735.7K0.357.542,361818167,199122,809
2007-05-07$14.75$15.0022.7%7.2%22.1%0.0%27.5%-9.4%0.0%-2.3M-16.0M-732.7K0.165.261,779285167,748122,979
2007-05-08$14.69$15.0022.7%6.8%21.9%0.0%23.8%-0.8%0.9%-2.6M-9.2M-723.5K0.1310.29938126168,229122,912
2007-05-09$14.54$15.0026.9%7.1%21.3%0.0%24.7%-2.6%0.8%-2.4M388.2K-711.3K0.1410.862,004277168,582122,332
2007-05-10$14.32$15.0025.2%7.2%21.8%0.0%25.1%-5.3%0.4%-2.2M9.7M-678.0K0.449.001,771777169,779120,923
2007-05-11$14.31$15.0025.5%7.3%21.8%0.0%25.5%-5.3%-0.1%-2.2M10.4M-673.3K0.328.781,362440170,549121,554
2007-05-14$14.35$15.0025.5%7.3%21.5%0.0%25.5%-4.6%0.4%-2.4M9.6M-671.1K0.668.52886584170,719121,014
2007-05-15$14.22$15.0026.7%7.7%21.6%0.0%26.7%-6.4%-1.2%-2.1M16.8M-654.6K0.8213.39709583171,116121,193
2007-05-16$14.42$15.0025.4%7.3%18.9%0.0%25.4%-3.9%0.2%-2.5M9.8M-663.9K0.259.131,427351171,341120,908
2007-05-17$14.36$15.0026.9%7.7%18.1%0.0%26.6%-4.8%-0.9%-2.3M10.1M-663.8K0.727.881,208872172,226120,415
2007-05-18$14.51$15.0025.3%7.3%16.6%0.0%25.3%-3.2%0.2%-2.5M5.8M-661.7K1.489.429801,449172,053119,700
2007-05-21$14.39$15.0024.6%7.0%16.1%0.0%24.6%-3.2%0.4%-2.7M564.6K-632.3K0.208.852,063417156,743110,537
2007-05-22$14.51$15.0022.9%6.6%15.5%0.0%22.9%-1.6%1.7%-3.1M-4.8M-635.7K0.139.432,917390157,336110,595
2007-05-23$14.49$15.0023.2%6.7%15.5%0.0%23.2%-1.5%1.0%-3.1M-4.4M-630.9K0.888.761,2501,097158,211110,693
2007-05-24$14.47$15.0021.0%6.0%15.5%0.0%21.1%-0.3%2.7%-3.3M957.3K-625.8K0.4011.611,718692158,851111,725
2007-05-25$14.47$15.0022.2%6.4%14.4%0.0%22.1%-0.9%1.7%-3.1M2.0M-623.2K27.4711.3339610,879159,897112,158
2007-05-29$14.25$15.0019.3%5.5%15.4%0.0%21.9%-4.0%0.7%-2.7M17.0M-591.6K0.435.061,158499160,162113,698
2007-05-30$14.35$15.0024.9%7.1%15.4%0.0%24.8%-1.0%-0.6%-2.1M-2.1M-580.4K0.9820.18610598160,499102,408
2007-05-31$14.31$15.0023.6%6.8%13.4%0.0%24.0%-0.9%-0.0%-2.0M3.0M-568.9K0.176.1955695160,174102,802