LUV Options History — July 2007

In July 2007, LUV traded between $14.94 and $16.42. ATM implied volatility averaged 25.0%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.3% (HV 20d: 19.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2007-07-26: Highest Volume — 28,391 contracts
  • 2007-07-26: Largest IV spike — 23.4% change
  • 2007-07-30: Highest IV Rank — 82.1%
  • 2007-07-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.72$14.94$16.42$14.94$15.66
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV25.0%18.2%29.8%24.7%25.8%
Expected Move7.1%5.2%8.5%7.1%7.4%
HV 20d19.7%16.1%26.7%18.3%26.7%
HV 60d18.1%16.0%19.9%18.0%19.9%
IV Rank54.5%13.0%82.1%39.4%58.3%
IV Percentile62.1%0.7%94.4%31.7%72.9%
Term Structure0.4%-3.0%3.4%-1.5%3.4%
VWIV24.3%16.9%29.8%24.7%25.7%
Skew 25d-0.2%-11.1%8.7%1.9%5.8%
Skew 10d0.8%-11.4%22.8%3.1%11.1%
Call IV 25d24.2%18.7%29.1%23.8%19.7%
Put IV 25d24.0%13.8%29.4%25.7%25.5%
Bid-Ask Spread %14.366.8722.189.9921.80
Gamma HHI0.530.430.600.430.55
Net GEX1.8M1.2M2.0M1.6M1.4M
Net DEX-97.8M-140.4M-63.2M-73.0M-63.2M
Net VEX-587.5K-626.4K-348.5K-613.8K-584.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.031.460.130.87
Total Volume4,698.42929628,3912961,961
Total OI214,918147,576226,509219,832199,334

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$14.94$15.0024.7%7.1%18.3%0.0%24.7%1.9%-1.5%1.6M-73.0M-613.8K0.139.9926333147,48072,352
2007-07-03$15.12$15.0022.7%6.5%18.3%0.0%22.7%2.8%0.4%1.8M-81.5M-611.2K0.2911.831,586467147,54971,381
2007-07-05$15.38$15.0022.6%6.5%19.0%39.4%22.6%1.8%0.8%2.0M-95.1M-606.3K0.9112.793,0132,729147,92471,414
2007-07-06$15.55$15.0027.1%7.1%18.7%66.4%23.8%-1.1%1.9%1.9M-101.2M-626.4K1.1310.723,3953,838148,10173,440
2007-07-09$15.55$15.0027.3%7.2%16.9%67.6%25.2%-1.7%0.5%1.9M-101.6M-621.2K0.1412.171,335181149,50075,676
2007-07-10$15.34$15.0027.7%7.5%18.0%69.7%26.1%-3.8%1.2%1.9M-91.0M-619.8K0.687.51903614149,52875,718
2007-07-11$15.55$15.0028.4%7.5%18.2%73.9%26.2%-2.7%1.3%1.9M-99.5M-625.4K0.058.243,375161149,89675,719
2007-07-12$15.50$15.0025.9%7.4%17.8%59.4%26.0%6.4%1.5%1.9M-98.4M-623.4K0.066.872,538146150,18575,725
2007-07-13$15.50$15.0024.8%7.1%16.7%52.6%24.8%-3.8%1.5%1.9M-99.0M-617.7K1.4611.57346504150,31375,725
2007-07-16$15.63$15.0026.7%7.6%16.3%63.6%26.3%-2.2%0.5%1.7M-92.0M-348.5K0.318.823,3441,025108,98838,588
2007-07-17$15.59$15.0026.6%7.6%16.4%63.3%26.7%-2.8%2.1%1.9M-102.1M-611.8K0.337.922,652869150,35775,763
2007-07-18$15.72$15.0024.4%7.0%16.1%49.9%24.5%-3.4%1.3%1.6M-111.5M-588.4K0.2816.152,446679149,91275,912
2007-07-19$16.40$15.0024.8%7.1%21.1%52.2%25.9%1.7%-1.8%1.9M-140.4M-569.2K0.0311.9113,900479150,27576,234
2007-07-20$16.35$15.0022.5%6.4%21.2%38.6%23.1%4.1%0.1%2.0M-131.2M-578.6K0.1821.951,984364146,85976,289
2007-07-23$16.42$15.0018.2%5.2%21.0%13.0%16.9%-7.4%0.5%2.0M-113.5M-567.2K1.2821.262,1192,715133,75974,213
2007-07-24$16.29$15.0020.5%5.9%21.3%26.7%17.0%-8.5%-2.8%1.9M-107.4M-581.1K0.7622.181,5131,153134,79976,385
2007-07-25$16.29$15.0020.9%6.0%18.6%29.3%19.2%-11.1%-3.0%1.9M-107.9M-574.1K1.4021.501,6982,370134,85074,305
2007-07-26$15.65$15.0025.8%7.4%24.4%58.6%25.6%4.8%-1.2%1.3M-79.6M-571.6K0.3718.2920,7157,676133,93074,510
2007-07-27$15.66$15.0028.0%8.0%24.3%71.3%27.9%6.4%1.0%1.2M-87.1M-608.4K0.0916.521,744159139,92181,217
2007-07-30$16.00$15.0029.8%8.5%25.2%82.1%29.8%8.7%0.1%1.7M-78.3M-590.4K0.2121.601,389286125,09974,153
2007-07-31$15.66$15.0025.8%7.4%26.7%58.3%25.7%5.8%3.4%1.4M-63.2M-584.0K0.8721.801,046915124,37674,958