LUV Options History — November 2007

In November 2007, LUV traded between $13.23 and $14.52. ATM implied volatility averaged 31.3%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 2.9% (HV 20d: 34.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2007-11-08: Highest Volume — 8,698 contracts
  • 2007-11-07: Largest IV spike — 45.2% change
  • 2007-11-08: Highest IV Rank — 100.0%
  • 2007-11-27: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.74$13.23$14.52$13.77$14.15
Max Pain$14.76$12.50$15.00$12.50$15.00
ATM IV31.3%16.0%43.5%17.7%28.6%
Expected Move9.3%4.6%12.3%5.1%8.2%
HV 20d34.2%20.7%45.6%20.7%45.6%
HV 60d26.8%22.1%31.8%22.8%31.8%
IV Rank57.5%0.0%100.0%9.0%45.7%
IV Percentile73.9%0.0%100.0%0.5%83.0%
Term Structure1.9%-1.5%12.0%10.3%4.7%
VWIV34.6%29.5%42.0%38.7%32.6%
Skew 25d7.9%0.3%23.8%18.0%15.2%
Skew 10d10.1%-1.1%21.9%19.4%20.9%
Call IV 25d29.7%16.5%38.0%19.3%28.7%
Put IV 25d37.6%32.5%43.9%37.3%43.9%
Bid-Ask Spread %13.896.0023.056.5615.49
Gamma HHI0.560.380.710.510.46
Net GEX-804.7K-1.2M-9.3K-857.9K-401.1K
Net DEX13.6M-10.7M29.4M14.3M607.5K
Net VEX-329.9K-374.4K-301.1K-337.3K-325.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.041.440.150.51
Total Volume3,315.7626698,6981,5683,168
Total OI178,363.905169,721182,987169,721182,987

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$13.77$12.5017.7%5.1%20.7%9.0%38.7%18.0%10.3%-857.9K14.3M-337.3K0.156.561,36320586,87082,851
2007-11-02$13.97$12.5016.0%4.6%21.0%0.0%42.0%23.8%12.0%-711.6K9.3M-339.8K0.176.001,67727787,87182,985
2007-11-05$13.89$15.0017.4%7.6%20.9%7.8%35.8%7.6%0.6%-820.5K11.2M-330.4K0.0715.266264388,51683,113
2007-11-06$13.63$15.0020.9%9.4%21.5%26.7%29.5%4.8%2.6%-1.1M21.1M-312.3K0.0416.853,46315188,44083,056
2007-11-07$13.27$15.0030.4%9.0%22.9%77.9%31.3%1.2%2.8%-1.2M27.0M-301.1K1.3315.491,2961,72889,76983,050
2007-11-08$13.25$15.0043.5%9.9%22.6%100.0%31.3%0.3%0.2%-1.2M29.4M-308.2K0.4013.986,2162,48290,41384,471
2007-11-09$13.23$15.0031.9%10.2%22.5%58.0%33.3%1.1%-0.3%-1.1M25.9M-326.3K0.1915.512,09440593,51685,005
2007-11-12$14.36$15.0021.7%8.5%38.2%20.7%32.1%10.8%1.6%-220.4K-8.2M-366.2K0.2212.805,7411,28895,09285,025
2007-11-13$14.52$15.0030.1%8.5%38.4%51.2%30.1%12.9%1.6%-9.3K-10.7M-374.4K0.2011.724,69291896,08985,275
2007-11-14$14.38$15.0028.8%8.8%38.6%46.4%31.5%9.3%1.3%-150.7K-7.9M-365.3K0.2023.053,06962096,17985,492
2007-11-15$14.14$15.0030.1%8.6%38.6%51.3%30.7%8.3%2.6%-408.7K381.4K-359.6K0.3715.5975827896,99985,625
2007-11-16$13.99$15.0028.7%8.2%37.6%46.1%31.2%8.5%2.0%-632.1K6.4M-349.4K0.9117.3360654997,06085,666
2007-11-19$13.47$15.0037.3%10.7%39.9%77.3%36.5%2.2%-1.4%-1.0M20.7M-321.1K0.4617.211,03347793,64083,584
2007-11-20$13.27$15.0038.3%11.0%39.7%81.1%37.9%3.0%-1.5%-1.2M28.6M-304.7K1.029.722,3982,43994,02683,725
2007-11-21$13.50$15.0041.0%11.8%40.3%90.8%37.9%9.3%-0.9%-1.0M22.2M-323.0K1.449.553,4054,89994,30985,665
2007-11-23$13.73$15.0041.4%11.9%40.3%92.1%33.9%7.5%-0.7%-910.6K16.0M-334.0K0.1115.037318394,68687,814
2007-11-26$13.38$15.0041.5%11.9%41.3%92.7%40.0%3.5%-1.4%-1.1M22.9M-315.5K0.2821.731,55644395,15086,049
2007-11-27$13.42$15.0042.8%12.3%41.3%97.3%41.5%6.3%-1.1%-1.0M23.2M-308.3K0.179.142,39640295,20886,198
2007-11-28$13.82$15.0029.3%8.4%42.5%48.2%31.3%10.0%5.1%-787.3K11.1M-317.6K0.0912.693,17028695,65886,143
2007-11-29$13.45$15.0040.3%11.5%43.1%88.2%37.3%2.5%0.2%-1.1M21.9M-307.2K0.6910.951,30589596,22386,149
2007-11-30$14.15$15.0028.6%8.2%45.6%45.7%32.6%15.2%4.7%-401.1K607.5K-325.4K0.5115.492,1001,06896,63086,357