LUV Options History — August 2007

In August 2007, LUV traded between $15.00 and $16.60. ATM implied volatility averaged 26.2%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 3.3% (HV 20d: 29.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2007-08-02: Highest Volume — 9,419 contracts
  • 2007-08-07: Largest IV drop — 40.7% change
  • 2007-08-16: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.56$15.00$16.60$15.77$15.11
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV26.2%18.0%34.5%27.6%25.0%
Expected Move8.2%7.1%9.9%7.9%7.2%
HV 20d29.5%26.1%34.7%26.5%28.5%
HV 60d22.8%19.9%25.0%19.9%25.0%
IV Rank57.1%11.9%100.0%69.3%48.7%
IV Percentile67.7%0.7%100.0%87.6%58.1%
Term Structure0.6%-3.9%3.9%2.5%3.9%
VWIV28.7%25.0%34.5%25.0%25.0%
Skew 25d0.9%-7.7%10.0%4.9%3.3%
Skew 10d0.6%-12.7%13.3%9.5%5.0%
Call IV 25d27.2%19.1%34.3%22.5%22.1%
Put IV 25d28.1%24.8%33.7%27.4%25.4%
Bid-Ask Spread %13.736.6023.8523.2012.48
Gamma HHI0.470.390.630.550.41
Net GEX777.6K-479.8K2.3M1.5M-479.8K
Net DEX-50.4M-102.7M-23.0M-66.2M-27.2M
Net VEX-531.2K-616.7K-474.2K-591.3K-474.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.084.160.210.79
Total Volume2,431.9134079,4191,6151,059
Total OI198,489.522195,893203,636199,381198,276

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$15.77$15.0027.6%7.9%26.5%69.3%25.0%4.9%2.5%1.5M-66.2M-591.3K0.2123.201,340275124,32175,060
2007-08-02$15.90$15.0027.3%7.8%26.1%67.3%34.5%10.0%3.7%1.6M-71.8M-583.3K0.086.608,715704124,32774,904
2007-08-03$15.60$15.0026.2%7.5%26.8%60.6%25.8%2.1%3.9%1.4M-64.8M-616.7K0.3823.851,206455128,46175,175
2007-08-06$15.76$15.0031.5%8.8%27.0%92.5%29.7%2.0%-0.7%1.3M-60.7M-563.3K0.3012.851,619478121,78775,093
2007-08-07$15.95$15.0018.7%8.5%26.8%15.8%27.6%2.3%-1.2%1.6M-70.2M-553.2K2.9218.024291,252121,49474,959
2007-08-08$16.60$15.0018.0%7.1%29.8%11.9%27.7%8.3%0.2%2.2M-95.8M-546.6K0.1111.515,874635121,63575,385
2007-08-09$16.60$15.0018.9%7.8%29.7%17.5%28.1%6.5%-0.8%2.3M-102.7M-545.4K0.1720.182,236373125,94575,537
2007-08-10$16.19$15.0023.4%9.6%31.4%43.8%33.1%4.7%-3.6%1.6M-79.1M-553.9K4.1614.639964,146121,31075,596
2007-08-13$15.95$15.0027.8%9.7%31.8%70.3%29.6%5.0%-3.9%1.3M-66.7M-555.5K0.6617.871,201797121,01378,907
2007-08-14$15.77$15.0023.6%9.1%32.1%45.3%31.5%3.1%-1.1%1.0M-59.2M-543.8K0.0921.661,839159120,88678,875
2007-08-15$15.19$15.0024.9%9.2%34.7%53.1%32.2%-4.7%-1.3%595.5K-34.9M-534.7K0.9619.032,4362,342120,93978,849
2007-08-16$15.17$15.0034.5%9.9%30.5%100.0%34.0%-3.9%-3.0%674.8K-35.2M-544.4K2.0321.846461,311121,02379,611
2007-08-17$15.04$15.0029.1%8.3%30.6%70.5%29.0%-7.7%0.4%949.5K-26.1M-524.1K2.189.461,3242,883120,89879,537
2007-08-20$15.10$15.0030.0%8.6%30.6%75.5%32.2%-6.9%1.2%164.3K-28.1M-513.0K0.169.051,831288117,16778,726
2007-08-21$15.28$15.0027.3%7.8%31.0%60.8%27.5%-5.5%3.0%174.8K-35.6M-514.0K0.347.42382130117,01778,956
2007-08-22$15.49$15.0027.8%8.0%31.6%63.8%27.9%-3.9%1.1%379.3K-42.7M-514.5K0.087.351,426109117,09678,883
2007-08-23$15.28$15.0027.1%7.8%28.7%59.7%27.1%-6.6%1.1%115.3K-35.2M-506.6K1.527.33436663118,18678,937
2007-08-24$15.52$15.0027.2%7.8%29.3%60.5%27.2%-4.7%0.4%344.9K-44.6M-509.0K1.9710.34137270118,25479,447
2007-08-27$15.23$15.0025.7%7.4%28.8%52.1%25.6%2.3%2.7%-179.8K-31.3M-490.6K3.9311.05237931118,29379,602
2007-08-28$15.00$15.0027.0%7.7%28.3%59.5%27.0%0.6%1.8%-291.4K-23.0M-482.4K1.189.95642759118,34479,995
2007-08-29$15.29$15.0026.3%7.5%29.2%55.7%26.3%5.0%2.6%-147.2K-33.7M-480.5K0.697.81268185118,25180,044
2007-08-30$15.10$15.0027.1%7.8%29.2%60.1%27.1%3.4%1.5%-321.6K-24.2M-476.5K1.3012.29222288118,25480,004
2007-08-31$15.11$15.0025.0%7.2%28.5%48.7%25.0%3.3%3.9%-479.8K-27.2M-474.2K0.7912.48590469118,19580,081