LUV Options History — June 2007

In June 2007, LUV traded between $14.13 and $15.05. ATM implied volatility averaged 22.8%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.4% (HV 20d: 15.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2007-06-22: Highest Volume — 13,551 contracts
  • 2007-06-13: Largest IV spike — 52.4% change
  • 2007-06-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.59$14.13$15.05$14.26$14.91
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV22.8%16.0%29.5%25.5%23.8%
Expected Move6.5%5.7%7.3%7.3%6.8%
HV 20d15.4%12.2%18.4%13.4%18.3%
HV 60d17.4%16.4%18.5%17.0%17.9%
Term Structure0.6%-0.9%2.8%-0.9%0.5%
VWIV22.7%20.0%26.0%26.0%23.8%
Skew 25d-0.0%-4.3%13.5%-2.0%13.5%
Skew 10d1.0%-4.6%20.8%-4.6%20.8%
Call IV 25d21.6%19.5%26.1%26.1%22.9%
Put IV 25d21.5%18.1%36.4%24.2%36.4%
Bid-Ask Spread %9.595.9913.375.9913.37
Gamma HHI0.500.420.640.550.43
Net GEX-347.9K-3.8M1.6M-1.9M1.5M
Net DEX-29.7M-77.5M17.6M3.2M-70.8M
Net VEX-573.9K-632.8K-538.9K-570.5K-615.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.073.180.150.25
Total Volume4,463.90557713,5511,723577
Total OI242,170196,898277,056262,564219,763

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$14.26$15.0025.5%7.3%13.4%0.0%26.0%-2.0%-0.9%-1.9M3.2M-570.5K0.155.991,501222160,090102,474
2007-06-04$14.27$15.0028.8%6.9%12.6%0.0%24.1%-3.5%0.9%-1.8M2.7M-565.8K0.5211.412,3421,207160,790102,557
2007-06-05$14.19$15.0025.7%6.8%12.4%0.0%23.7%6.0%-0.1%-1.8M7.4M-547.0K1.217.425,3806,501161,385102,649
2007-06-06$14.22$15.0016.0%6.7%12.5%0.0%23.4%-3.5%0.2%-830.8K17.3M-539.0K0.219.102,037433163,527106,807
2007-06-07$14.13$15.0020.9%6.4%12.2%0.0%22.2%-4.0%1.5%-898.2K17.6M-538.9K0.3311.16828272164,122106,738
2007-06-08$14.51$15.0027.0%6.4%14.7%0.0%22.4%-2.6%1.5%-2.8M-6.5M-577.3K0.168.382,900450164,019106,405
2007-06-11$14.53$15.0023.2%6.7%14.7%0.0%23.4%-2.1%0.4%-2.8M-8.0M-568.6K0.269.162,872750166,209106,235
2007-06-12$14.47$15.0019.3%6.9%14.8%0.0%24.0%-3.0%-0.1%-1.2M7.7M-551.1K0.986.38773758167,677106,119
2007-06-13$14.35$15.0029.5%6.8%14.7%0.0%23.7%-4.3%-0.2%-1.6M7.1M-547.8K0.747.802,8822,121167,773106,301
2007-06-14$14.65$15.0023.7%6.8%15.7%0.0%23.6%-1.0%0.2%-3.8M-5.9M-576.4K1.108.612,1272,331168,841107,116
2007-06-15$14.54$15.0021.7%6.2%15.9%0.0%21.8%-2.1%2.2%-1.2M6.9M-550.6K0.249.572,340556168,912108,144
2007-06-18$14.51$15.0020.0%5.7%15.5%0.0%20.0%-1.4%2.8%744.8K-51.2M-542.8K0.079.334,129281131,96864,930
2007-06-19$14.70$15.0020.5%5.9%15.8%0.0%20.5%0.3%0.9%1.0M-60.9M-551.0K0.488.114,5252,172134,50165,015
2007-06-20$14.88$15.0020.7%5.9%16.1%0.0%20.7%1.1%1.6%1.2M-67.0M-562.3K0.1810.373,252590137,04865,230
2007-06-21$14.88$15.0020.3%5.8%16.1%0.0%20.3%1.0%0.5%1.4M-68.8M-569.1K1.4913.349231,379139,36765,380
2007-06-22$15.05$15.0022.0%6.3%16.4%0.0%22.0%2.5%1.4%1.5M-77.5M-588.2K0.499.149,0974,454139,67366,096
2007-06-25$15.00$15.0021.8%6.2%16.5%0.0%21.8%2.2%-0.3%1.6M-76.5M-615.1K0.498.778,3814,093146,45470,173
2007-06-26$14.64$15.0023.6%6.8%18.0%0.0%23.6%-0.4%-0.4%1.5M-63.0M-632.4K0.3310.93978327154,15872,331
2007-06-27$14.83$15.0021.7%6.2%18.3%0.0%21.7%1.0%0.9%1.4M-65.7M-610.0K3.1810.511,2013,818143,88972,399
2007-06-28$14.93$15.0023.2%6.6%18.4%0.0%23.4%1.7%-0.6%1.4M-70.8M-632.8K0.2512.481,588394146,70775,598
2007-06-29$14.91$15.0023.8%6.8%18.3%0.0%23.8%13.5%0.5%1.5M-70.8M-615.6K0.2513.37461116147,42572,338