LUV Options History — September 2007

In September 2007, LUV traded between $14.26 and $15.34. ATM implied volatility averaged 27.6%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.0% (HV 20d: 25.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.23.

Notable Days

  • 2007-09-10: Highest Volume — 21,537 contracts
  • 2007-09-13: Largest IV spike — 13.0% change
  • 2007-09-19: Highest IV Rank — 77.7%
  • 2007-09-10: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.87$14.26$15.34$15.30$14.80
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV27.6%25.6%30.4%27.1%27.0%
Expected Move8.1%7.3%9.2%7.8%7.7%
HV 20d25.6%22.6%28.7%28.7%25.1%
HV 60d25.8%24.5%26.8%24.5%26.5%
IV Rank62.7%51.7%77.7%60.0%59.2%
IV Percentile80.7%61.3%94.4%80.4%75.3%
Term Structure0.4%-1.9%3.6%2.2%0.1%
VWIV28.6%24.8%33.3%27.1%27.0%
Skew 25d5.5%-0.1%14.3%4.9%0.5%
Skew 10d8.8%0.6%23.9%7.6%1.3%
Call IV 25d25.5%21.3%34.5%23.1%24.8%
Put IV 25d31.0%25.0%38.2%27.9%25.3%
Bid-Ask Spread %12.136.4525.1910.617.28
Gamma HHI0.390.320.490.400.42
Net GEX-678.9K-2.6M316.3K-330.5K195.7K
Net DEX-15.8M-59.9M28.9M-35.7M-14.9M
Net VEX-455.5K-507.3K-424.7K-463.0K-424.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.1215.310.510.45
Total Volume5,070.89572021,5372,2351,592
Total OI204,213.211160,349233,062198,472161,504

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$15.30$15.0027.1%7.8%28.7%60.0%27.1%4.9%2.2%-330.5K-35.7M-463.0K0.5110.611,476759118,15880,314
2007-09-05$15.09$15.0025.7%7.4%28.5%52.3%25.7%3.1%3.6%-668.4K-26.4M-457.8K3.3810.435411,830118,60780,175
2007-09-06$15.15$15.0026.9%7.7%23.8%58.9%26.9%3.8%1.3%-476.3K-30.5M-457.1K6.7313.843612,431118,71979,242
2007-09-07$14.82$15.0026.4%8.5%24.6%56.0%30.3%2.5%0.0%-792.8K-11.5M-449.8K15.318.211,26419,356118,84480,280
2007-09-10$14.66$15.0027.9%9.2%23.6%64.1%32.9%2.8%-0.0%-1.1M-852.8K-459.9K2.7720.085,70615,831119,28692,089
2007-09-11$14.89$15.0026.2%8.3%24.3%55.3%28.8%2.5%1.3%-1.1M-13.5M-507.3K0.317.643,3781,048124,491104,779
2007-09-12$14.47$15.0025.8%8.0%25.8%52.9%33.3%11.4%2.4%-998.0K10.8M-482.3K1.0022.071,6991,701123,711105,064
2007-09-13$14.41$15.0029.2%8.4%22.6%71.1%31.7%10.1%0.7%-1.0M13.9M-471.9K1.4922.21516770123,495105,390
2007-09-14$14.26$15.0028.1%8.1%22.8%65.3%28.1%8.6%0.1%-485.7K28.9M-451.5K6.3825.197254,626123,486105,888
2007-09-17$14.61$15.0030.0%8.6%24.7%75.6%28.7%10.2%-0.6%-1.0M-199.5K-468.4K0.1210.138,1361,002123,726103,955
2007-09-18$15.07$15.0028.6%8.2%27.2%68.2%28.6%13.5%-0.6%-1.4M-27.1M-470.1K0.4210.091,377574127,021103,771
2007-09-19$15.13$15.0030.4%8.7%26.9%77.7%30.3%14.3%-1.6%-2.0M-31.2M-466.6K0.458.351,673756127,208105,854
2007-09-20$15.11$15.0028.5%8.2%26.3%67.7%28.6%4.8%-1.0%-2.6M-39.3M-456.0K0.329.934,4761,422126,728103,177
2007-09-21$15.34$15.0025.6%7.3%26.5%51.7%24.8%3.7%0.7%111.7K-59.9M-436.1K0.659.793,6542,366126,536103,309
2007-09-24$14.99$15.0026.5%7.6%27.1%56.6%26.5%2.6%1.6%316.3K-19.6M-434.9K0.6411.511,15874084,15076,199
2007-09-25$14.81$15.0028.6%8.2%26.6%67.8%28.5%2.7%-0.6%117.1K-12.9M-434.7K0.958.0970166984,42176,686
2007-09-26$14.90$15.0028.4%8.2%26.2%67.1%28.4%1.9%-1.9%239.7K-18.2M-430.8K0.138.641,16315084,64376,783
2007-09-27$14.75$15.0027.9%8.0%25.4%64.1%27.9%-0.1%-0.5%163.9K-12.8M-432.4K0.336.4554317785,47276,890
2007-09-28$14.80$15.0027.0%7.7%25.1%59.2%27.0%0.5%0.1%195.7K-14.9M-424.7K0.457.281,10149184,99476,510