LUV Options History — February 2008

In February 2008, LUV traded between $11.71 and $13.08. ATM implied volatility averaged 37.4%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 10.8% (HV 20d: 48.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2008-02-07: Highest Volume — 7,897 contracts
  • 2008-02-14: Largest IV spike — 42.1% change
  • 2008-02-07: Highest IV Rank — 79.6%
  • 2008-02-07: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.58$11.71$13.08$12.18$12.26
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV37.4%26.8%48.0%35.5%35.3%
Expected Move10.8%9.4%12.3%10.2%10.1%
HV 20d48.2%39.9%57.3%54.8%40.9%
HV 60d44.4%42.3%47.6%44.8%42.3%
IV Rank53.2%26.9%79.6%48.4%47.9%
IV Percentile81.5%53.6%97.2%82.1%76.6%
Term Structure2.6%0.3%5.4%3.1%2.7%
VWIV37.6%32.5%42.6%35.5%35.3%
Skew 25d8.0%-10.6%20.3%5.3%3.1%
Skew 10d13.8%-13.8%35.2%8.1%5.8%
Call IV 25d34.6%24.0%43.0%39.1%31.6%
Put IV 25d42.6%31.7%49.9%44.5%34.7%
Bid-Ask Spread %12.046.4621.4710.178.66
Gamma HHI0.270.250.330.280.27
Net GEX284.5K58.9K697.2K203.6K155.8K
Net DEX-5.8M-14.4M4.2M-798.4K-310.6K
Net VEX-296.2K-313.1K-280.9K-303.6K-280.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.064.920.734.92
Total Volume2,350.54217,8976,0991,249
Total OI119,376.8115,105124,215118,994118,291

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$12.18$12.5035.5%10.2%54.8%48.4%35.5%5.3%3.1%203.6K-798.4K-303.6K0.7310.173,5312,56859,79559,199
2008-02-04$11.91$12.5037.9%11.3%55.2%54.5%39.5%6.1%1.0%104.9K2.4M-290.9K0.6811.491,30489059,17059,024
2008-02-05$11.71$12.5044.2%11.6%53.8%70.0%42.6%4.3%1.1%58.9K4.2M-288.5K0.2710.8881222259,84359,253
2008-02-06$11.96$12.5041.5%11.8%51.2%63.5%40.8%4.1%0.3%127.6K2.1M-293.8K0.3013.6567420560,27459,414
2008-02-07$12.90$12.5048.0%12.3%57.3%79.6%41.7%11.3%1.1%366.9K-11.2M-313.1K0.6413.904,8053,09260,44559,428
2008-02-08$12.80$12.5038.9%11.9%51.4%56.9%41.3%10.8%1.1%262.3K-8.8M-311.7K0.0621.192,64615560,72261,489
2008-02-11$12.81$12.5041.2%11.9%49.2%62.6%41.5%10.7%1.1%262.3K-8.5M-307.0K0.6819.3549633861,84961,512
2008-02-12$12.76$12.5043.1%11.6%49.2%67.4%41.0%4.8%1.3%315.9K-9.1M-302.0K1.9221.471,4072,69861,91161,579
2008-02-13$13.08$12.5026.8%11.3%49.2%26.9%39.1%8.9%1.8%311.5K-14.4M-309.8K0.1019.125,01751462,17860,375
2008-02-14$12.64$12.5038.1%10.9%51.0%54.9%38.0%6.2%3.2%643.7K-9.7M-300.4K0.586.461,35979363,67960,408
2008-02-15$12.65$12.5037.0%10.6%50.7%52.2%37.5%7.4%3.3%697.2K-10.7M-298.9K0.2818.892,29063163,59260,623
2008-02-19$12.48$12.5036.4%10.4%50.9%50.7%38.5%-10.6%1.3%221.5K-3.3M-288.9K0.357.512,06771457,72857,620
2008-02-20$12.79$12.5035.4%10.2%51.4%48.3%35.2%20.3%4.7%267.5K-6.3M-293.8K0.457.931,22655757,32557,780
2008-02-21$12.63$12.5036.3%10.4%46.5%50.4%36.1%20.1%3.5%233.1K-5.3M-291.5K0.829.2461250058,09758,047
2008-02-22$12.87$12.5035.5%10.2%40.0%48.4%35.4%17.4%3.8%315.2K-7.6M-293.2K0.169.744296958,28358,306
2008-02-25$12.97$12.5035.0%10.0%40.1%47.3%32.5%10.2%4.3%322.7K-9.0M-290.7K0.877.6954947958,29658,372
2008-02-26$12.95$12.5035.1%10.1%39.9%47.4%34.3%9.7%3.8%313.7K-9.1M-292.1K2.217.3933072858,74258,661
2008-02-27$12.75$12.5034.0%9.7%40.4%44.7%34.0%6.5%3.6%276.8K-6.3M-287.4K0.327.6731810358,88359,250
2008-02-28$12.55$12.5032.7%9.4%40.2%41.6%32.7%4.0%5.4%229.9K-3.9M-285.8K1.608.4024339058,77759,316
2008-02-29$12.26$12.5035.3%10.1%40.9%47.9%35.3%3.1%2.7%155.8K-310.6K-280.9K4.928.662111,03858,94159,350