LUV Options History — December 2007

In December 2007, LUV traded between $12.20 and $14.28. ATM implied volatility averaged 36.8%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 3.1% (HV 20d: 40.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2007-12-27: Highest Volume — 9,095 contracts
  • 2007-12-11: Largest IV spike — 53.7% change
  • 2007-12-11: Highest IV Rank — 100.0%
  • 2007-12-11: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.18$12.20$14.28$13.74$12.20
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV36.8%26.7%46.4%38.5%38.9%
Expected Move10.5%7.6%11.4%11.0%11.1%
HV 20d40.0%29.3%46.6%46.6%29.3%
HV 60d32.5%31.6%33.4%32.1%33.4%
IV Rank70.2%38.7%100.0%81.6%75.1%
IV Percentile93.3%63.4%100.0%97.4%96.4%
Term Structure-0.1%-2.9%5.8%2.0%1.7%
VWIV37.1%30.9%45.8%31.2%40.0%
Skew 25d0.4%-13.0%10.0%-0.3%-0.6%
Skew 10d-0.1%-20.7%15.7%5.3%0.7%
Call IV 25d36.0%26.6%46.6%34.6%34.7%
Put IV 25d36.4%33.0%43.0%34.3%34.1%
Bid-Ask Spread %9.025.6413.785.906.84
Gamma HHI0.700.420.980.580.66
Net GEX-2.4M-19.9M-268.5K-845.0K-1.0M
Net DEX30.0M1.1M49.0M12.5M43.4M
Net VEX-267.5K-325.0K-218.6K-308.5K-223.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.145.250.230.19
Total Volume3,921.355369,0955362,070
Total OI184,640.05153,299201,351183,028160,326

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$13.74$15.0038.5%11.0%46.6%81.6%31.2%-0.3%2.0%-845.0K12.5M-308.5K0.235.904379996,60086,428
2007-12-04$13.80$15.0026.7%7.6%46.6%38.7%40.5%8.6%1.9%-789.2K11.7M-304.9K0.2412.897,1201,73496,41886,431
2007-12-05$13.73$15.0037.1%10.6%46.1%76.6%36.2%0.6%5.8%-944.0K16.9M-279.0K0.337.561,23941395,84187,696
2007-12-06$13.96$15.0031.5%9.0%45.3%56.2%31.5%8.8%-0.0%-682.5K9.9M-286.4K5.256.565392,83096,13587,678
2007-12-07$14.28$15.0030.5%8.8%45.8%52.7%30.9%9.3%0.8%-268.5K1.1M-325.0K0.6712.222,3841,60796,42993,477
2007-12-10$14.22$15.0030.2%9.2%45.9%51.6%34.9%10.0%-1.0%-361.6K5.0M-310.5K1.7013.782,6724,53997,05093,930
2007-12-11$13.60$15.0046.4%11.4%38.6%100.0%34.8%6.2%-2.9%-1.2M23.0M-308.2K0.3212.313,5241,13499,58697,965
2007-12-12$13.32$15.0039.1%11.0%38.8%75.8%37.4%1.9%-2.5%-1.7M33.1M-289.1K0.7612.212,4051,83699,59097,991
2007-12-13$13.39$15.0038.5%11.0%38.9%73.9%38.1%3.4%-1.2%-1.6M30.6M-289.9K0.2611.261,783459100,05699,171
2007-12-14$13.24$15.0038.0%10.9%38.7%72.5%37.3%1.5%-0.1%-1.9M33.4M-281.0K0.2812.51720202100,40299,273
2007-12-17$12.83$15.0038.9%11.1%39.9%75.2%40.2%-7.3%-1.3%-2.9M46.0M-256.1K1.2210.58671816100,86699,327
2007-12-18$12.83$15.0038.6%11.1%37.9%74.2%38.7%-4.0%-1.5%-3.0M45.0M-254.3K0.148.475,002686100,89599,141
2007-12-19$12.96$15.0038.1%10.9%37.8%72.8%37.7%-2.6%-1.2%-2.7M41.4M-256.3K0.267.611,077282101,84099,511
2007-12-20$12.84$15.0038.0%10.9%37.3%72.4%38.7%-4.6%-1.6%-3.4M43.5M-246.3K0.335.642,618860100,86499,518
2007-12-21$12.54$15.0037.9%10.9%37.3%72.0%35.6%-9.5%-1.2%-19.9M49.0M-234.2K1.506.251,6862,528100,88598,960
2007-12-24$12.86$15.0036.3%10.4%37.8%66.6%37.6%-6.7%1.5%-971.0K34.3M-231.9K0.165.7699316383,01570,284
2007-12-26$12.62$15.0037.5%10.8%38.2%70.7%37.3%6.0%-1.0%-1.0M37.2M-222.9K2.718.211,2153,29483,40970,284
2007-12-27$12.37$15.0037.9%10.9%36.6%72.0%45.8%-13.0%0.4%-1.1M41.1M-222.2K0.177.787,7901,30584,27672,699
2007-12-28$12.23$15.0038.4%11.0%35.8%73.8%38.4%0.2%0.3%-935.1K41.3M-218.6K1.525.983,0554,64087,91470,640
2007-12-31$12.20$15.0038.9%11.1%29.3%75.1%40.0%-0.6%1.7%-1.0M43.4M-223.9K0.196.841,73733386,98673,340