LUV Options History — January 2008

In January 2008, LUV traded between $11.27 and $12.76. ATM implied volatility averaged 46.0%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 1.9% (HV 20d: 44.1%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.13.

Notable Days

  • 2008-01-09: Highest Volume — 14,764 contracts
  • 2008-01-08: Largest IV spike — 19.8% change
  • 2008-01-04: Highest IV Rank — 100.0%
  • 2008-01-17: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.89$11.27$12.76$11.80$11.72
Max Pain$12.38$10.00$15.00$15.00$12.50
ATM IV46.0%39.1%56.2%41.0%39.1%
Expected Move12.8%11.2%14.4%11.8%11.2%
HV 20d44.1%29.5%54.7%29.7%53.5%
HV 60d40.0%33.8%44.5%33.8%44.0%
IV Rank78.0%57.5%100.0%82.1%57.5%
IV Percentile96.5%89.3%100.0%98.0%89.3%
Term Structure-1.7%-4.4%1.4%0.2%1.3%
VWIV45.4%36.2%52.3%38.9%41.9%
Skew 25d1.3%-10.8%24.4%-8.3%-8.7%
Skew 10d1.1%-12.2%40.1%-7.8%-9.2%
Call IV 25d43.7%29.2%53.0%40.4%39.8%
Put IV 25d45.0%31.0%59.0%32.1%31.1%
Bid-Ask Spread %13.187.7621.867.9512.93
Gamma HHI0.470.300.640.640.34
Net GEX-570.3K-1.5M131.8K-834.6K-25.6K
Net DEX26.7M-2.4M48.8M48.8M7.3M
Net VEX-258.7K-288.4K-199.1K-208.0K-273.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.1518.820.460.29
Total Volume5,141.61963714,7641,3318,483
Total OI146,930.04899,082181,304161,003113,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$11.80$15.0041.0%11.8%29.7%82.1%38.9%-8.3%0.2%-834.6K48.8M-208.0K0.467.9591241987,60973,394
2008-01-03$11.60$15.0042.0%12.0%29.5%85.6%41.8%-10.8%-0.8%-725.3K45.4M-199.1K5.579.681,0495,84287,69568,826
2008-01-04$11.42$12.5049.8%12.7%29.6%100.0%48.0%1.2%-2.8%-732.8K47.5M-202.6K3.3314.253,21610,71287,01571,856
2008-01-07$11.87$12.5046.9%12.5%33.0%91.6%48.3%1.8%-3.6%-912.6K39.8M-247.5K0.3112.911,60649189,32675,342
2008-01-08$11.31$10.0056.2%13.3%33.8%100.0%46.7%-0.9%-2.3%-567.7K44.1M-232.0K0.2813.222,17460690,04374,971
2008-01-09$11.27$10.0055.5%13.0%33.8%98.1%46.1%3.8%-0.9%-513.6K44.6M-232.2K18.8212.2374514,01991,93574,936
2008-01-10$12.15$10.0046.4%13.3%43.6%75.6%49.5%5.4%-2.6%-1.1M34.7M-273.5K0.1511.076,9841,02992,35683,449
2008-01-11$11.70$12.5046.6%13.4%44.8%76.1%52.3%2.9%-1.3%-800.4K42.1M-262.6K0.298.843,9491,15094,73783,697
2008-01-14$11.82$12.5047.4%13.6%45.0%78.1%47.4%3.5%-2.2%-886.7K39.4M-266.2K0.3715.9055720696,95684,020
2008-01-15$12.11$12.5048.9%14.0%46.2%81.8%48.9%2.3%-4.0%-1.5M36.1M-270.4K0.3020.991,97359297,24184,063
2008-01-16$12.08$12.5047.7%13.7%45.1%78.8%47.9%1.8%-4.0%-1.4M36.0M-267.6K0.4821.291,89691197,23683,629
2008-01-17$11.92$12.5050.2%14.4%45.3%85.1%50.3%-1.5%-3.9%-737.4K40.1M-259.5K0.2921.861,91055197,66281,711
2008-01-18$12.07$12.5050.1%14.4%45.4%84.9%50.2%1.3%-4.4%-1.4M35.5M-265.4K7.8821.341,1549,09098,00281,284
2008-01-22$11.98$12.5049.6%14.2%45.3%83.4%50.3%19.4%-3.7%-3693.7M-273.5K1.7112.092,2493,85648,20950,873
2008-01-23$12.76$12.5043.9%12.6%50.4%69.2%43.6%24.4%-1.5%131.8K-2.4M-284.5K0.659.105,3023,45749,57252,501
2008-01-24$11.95$12.5044.7%12.8%54.7%71.3%44.1%-3.7%-2.3%-33.1K4.4M-279.0K0.608.951,56693750,59455,034
2008-01-25$12.01$12.5040.4%11.6%54.5%60.6%36.2%-2.2%1.2%-12.6K4.2M-283.5K0.517.762,8651,46851,42055,142
2008-01-28$12.17$12.5040.4%11.6%54.3%60.6%40.4%1.0%1.4%43.1K1.8M-288.4K0.9312.7035633252,77356,367
2008-01-29$12.10$12.5040.0%11.5%54.2%59.7%40.0%0.9%0.7%32.5K2.5M-286.2K0.7210.131,5841,13952,89656,641
2008-01-30$11.88$12.5039.4%11.3%54.6%58.3%39.5%-6.7%-0.7%11.4K5.3M-276.9K0.7211.6237126654,03257,334
2008-01-31$11.72$12.5039.1%11.2%53.5%57.5%41.9%-8.7%1.3%-25.6K7.3M-273.8K0.2912.936,5751,90854,96758,185