LUV Options History — October 2007

In October 2007, LUV traded between $13.82 and $14.96. ATM implied volatility averaged 26.6%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.3% (HV 20d: 19.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.31.

Notable Days

  • 2007-10-18: Highest Volume — 14,861 contracts
  • 2007-10-26: Largest IV drop — 24.5% change
  • 2007-10-25: Highest IV Rank — 75.8%
  • 2007-10-25: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.45$13.82$14.96$14.79$14.21
Max Pain$13.26$12.50$15.00$15.00$12.50
ATM IV26.6%22.7%30.0%28.9%25.2%
Expected Move7.6%6.5%8.6%8.3%7.2%
HV 20d19.3%14.9%25.1%25.1%17.8%
HV 60d25.1%23.6%26.5%26.4%23.7%
IV Rank57.1%35.9%75.8%69.6%49.7%
IV Percentile66.8%23.3%94.6%90.4%51.2%
Term Structure-0.7%-5.2%1.8%-2.7%-0.7%
VWIV27.8%23.5%39.1%28.9%24.5%
Skew 25d7.9%-2.8%13.9%-0.0%-2.8%
Skew 10d12.0%-5.4%22.5%0.6%-5.4%
Call IV 25d25.1%19.6%32.4%26.9%25.6%
Put IV 25d32.9%22.8%38.0%26.9%22.8%
Bid-Ask Spread %11.425.8023.9911.876.35
Gamma HHI0.420.360.500.400.43
Net GEX-151.9K-894.7K488.3K206.7K-643.0K
Net DEX-3.2M-20.9M15.8M-14.1M5.3M
Net VEX-382.8K-426.7K-338.8K-426.7K-338.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.089.100.180.36
Total Volume2,705.82638814,8618583,050
Total OI167,497.957161,887179,805161,887169,491

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$14.79$15.0028.9%8.3%25.1%69.6%28.9%-0.0%-2.7%206.7K-14.1M-426.7K0.1811.8772513385,34576,542
2007-10-02$14.95$15.0028.1%8.1%25.0%65.4%28.1%2.3%-1.2%387.5K-20.9M-417.3K0.267.431,92450585,73476,618
2007-10-03$14.82$15.0027.7%7.9%24.7%63.2%27.7%0.6%-1.0%227.8K-14.7M-416.9K0.259.711,93448286,03576,785
2007-10-04$14.75$15.0025.1%7.2%24.7%49.3%25.1%1.0%1.8%298.9K-14.7M-415.6K1.778.641,0611,87986,74577,047
2007-10-05$14.92$15.0026.7%7.5%23.8%57.9%23.6%4.1%0.1%373.6K-18.6M-413.3K0.227.562,88664187,35577,716
2007-10-08$14.95$12.5027.6%8.0%23.4%62.8%27.8%13.8%-1.0%432.8K-19.6M-407.7K0.408.9940816588,55577,989
2007-10-09$14.96$12.5027.6%7.7%22.8%62.7%26.7%13.9%-0.1%488.3K-20.8M-403.3K0.588.9924514388,40078,100
2007-10-10$14.92$12.5027.6%7.4%20.2%62.8%29.2%13.2%0.9%412.7K-18.6M-403.9K0.089.616265088,04978,164
2007-10-11$14.68$12.5027.2%7.8%21.0%60.4%27.2%11.7%-0.9%229.3K-10.5M-398.2K9.1010.688487,71888,12078,182
2007-10-12$14.67$12.5026.2%7.5%20.6%54.9%26.2%11.9%0.3%220.4K-9.8M-396.3K0.195.891,30224288,54578,174
2007-10-15$14.57$12.5026.8%7.7%18.9%58.4%30.1%13.3%0.1%170.8K-6.7M-383.9K3.4120.063541,20689,19877,884
2007-10-16$14.51$12.5029.0%8.3%15.0%70.5%29.1%12.4%-2.1%25.0K-4.2M-378.1K1.5720.9043067489,31878,680
2007-10-17$14.56$12.5026.6%7.6%14.9%57.0%39.1%13.1%0.1%25.1K-3.9M-373.5K1.4720.961,9082,79989,42178,502
2007-10-18$14.33$12.5026.9%7.7%15.7%58.8%27.0%8.8%-0.4%-269.7K5.5M-369.9K5.1713.992,40712,45490,24280,575
2007-10-19$13.96$12.5026.6%7.6%16.4%57.0%26.3%8.6%1.4%-713.2K14.2M-378.0K1.3123.991,5792,07291,20588,600
2007-10-22$14.03$15.0027.5%7.9%15.2%62.1%27.5%9.8%0.6%-673.6K9.3M-364.3K0.2223.971,75138485,37783,659
2007-10-23$14.22$15.0024.5%7.0%15.9%45.9%29.9%11.2%0.5%-593.3K5.2M-361.1K0.2411.891,08625784,23983,487
2007-10-24$14.08$12.5024.2%6.9%15.8%44.2%24.6%9.5%1.6%-705.0K9.6M-359.8K0.816.0087470784,85783,388
2007-10-25$13.82$12.5030.0%8.6%16.6%75.8%23.5%6.4%-2.2%-894.7K15.8M-352.7K0.366.461,08639685,18083,876
2007-10-26$13.89$12.5022.7%6.5%16.7%35.9%34.1%4.9%-4.0%-873.3K13.8M-350.3K0.335.8686428785,55683,193
2007-10-29$13.84$12.5025.0%7.2%16.7%48.7%29.4%3.0%-5.2%-886.8K14.9M-349.4K1.335.8028137485,57883,193
2007-10-30$14.00$12.5023.7%6.8%16.8%41.3%23.7%10.0%-2.5%-739.4K9.4M-345.2K0.446.9972031786,21583,339
2007-10-31$14.21$12.5025.2%7.2%17.8%49.7%24.5%-2.8%-0.7%-643.0K5.3M-338.8K0.366.352,24680486,25483,237