LUV Options History — March 2008

In March 2008, LUV traded between $11.49 and $12.99. ATM implied volatility averaged 44.6%, placing in the 71.2% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 0.8% (HV 20d: 43.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.26.

Notable Days

  • 2008-03-17: Highest Volume — 27,549 contracts
  • 2008-03-12: Largest IV spike — 35.1% change
  • 2008-03-28: Highest IV Rank — 91.6%
  • 2008-03-28: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.13$11.49$12.99$12.23$12.40
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV44.6%34.3%52.8%34.3%51.6%
Expected Move13.0%9.8%15.1%9.8%14.8%
HV 20d43.9%32.7%54.0%38.6%54.0%
HV 60d45.8%42.3%49.1%42.3%49.0%
IV Rank71.2%45.6%91.6%45.6%88.6%
IV Percentile90.5%75.0%99.2%75.0%98.8%
Term Structure-0.9%-5.7%5.5%5.5%-3.3%
VWIV47.6%34.3%62.4%34.3%51.5%
Skew 25d15.4%3.4%25.5%3.4%25.4%
Skew 10d25.0%5.8%41.7%5.9%40.6%
Call IV 25d37.9%28.4%44.0%32.3%38.8%
Put IV 25d53.3%35.7%64.1%35.7%64.1%
Bid-Ask Spread %13.249.4223.039.5421.80
Gamma HHI0.290.250.400.270.27
Net GEX64.8K-129.7K332.4K153.7K49.4K
Net DEX2.2M-9.7M10.7M286.0K-266.0K
Net VEX-321.7K-376.6K-264.3K-276.9K-373.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.3311.241.220.49
Total Volume4,705.351,24827,5491,4281,716
Total OI130,797118,501156,328118,726136,382

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$12.23$12.5034.3%9.8%38.6%45.6%34.3%3.4%5.5%153.7K286.0K-276.9K1.229.5464278659,02159,705
2008-03-04$12.64$12.5036.4%10.4%39.3%50.7%36.6%5.8%2.6%253.0K-5.7M-285.4K0.339.421,30242859,22759,498
2008-03-05$12.99$12.5038.3%11.0%39.4%55.3%38.2%16.6%2.8%332.4K-9.7M-290.8K0.779.7778961159,17559,326
2008-03-06$12.50$12.5037.1%10.6%41.9%52.3%37.0%3.9%4.8%223.2K-4.0M-284.2K11.249.461021,14659,59459,654
2008-03-07$12.19$12.5035.5%11.9%32.7%48.4%42.3%5.7%-1.3%161.5K495.2K-277.8K1.5211.178991,36659,57760,076
2008-03-10$12.07$12.5037.8%12.0%32.7%54.2%46.2%4.3%-1.2%134.7K1.4M-276.3K5.1813.473361,74060,06260,702
2008-03-11$12.40$12.5035.7%12.4%34.4%48.9%43.1%8.8%-2.2%192.2K-2.1M-288.0K1.8512.927051,30660,35261,887
2008-03-12$11.49$12.5048.2%12.7%43.4%80.0%51.0%12.4%-2.4%-127.6K8.8M-264.3K1.869.933,2516,03960,73262,378
2008-03-13$11.70$12.5045.2%13.0%42.9%72.6%47.2%13.9%-1.5%8.3K6.0M-274.8K3.5511.253,28611,65460,29665,586
2008-03-14$11.64$12.5045.2%13.0%41.5%72.6%49.2%16.1%0.2%-24.7K6.2M-305.6K0.7713.601,4911,14962,00170,877
2008-03-17$11.57$12.5048.8%14.0%41.5%81.6%62.4%21.8%-1.3%37.7K6.2M-299.9K8.0911.763,03224,51762,67768,973
2008-03-18$12.16$12.5049.9%14.3%45.5%84.2%55.8%25.5%-2.1%30.6K5.8M-369.7K0.929.661,8951,74362,96890,806
2008-03-19$11.76$12.5050.3%14.4%45.8%85.4%50.6%17.7%-2.0%-129.7K10.7M-354.8K0.8512.442,5502,17163,02891,431
2008-03-20$12.26$12.5048.9%14.0%48.5%81.9%49.1%22.4%-0.8%118.4K4.5M-376.6K0.6215.802,1041,30264,23092,098
2008-03-24$12.18$12.5048.6%13.9%47.9%81.0%48.7%22.6%-1.5%-57.4K3.4M-363.5K0.4513.162,05092952,05877,257
2008-03-25$12.46$12.5048.9%14.0%48.6%81.8%48.9%24.9%-2.2%34.5K-296.8K-372.0K0.4621.532,07295253,68177,370
2008-03-26$11.80$12.5049.3%14.1%52.1%82.8%58.0%14.5%-2.7%-68.6K5.9M-358.9K1.3011.791,0931,42354,88377,847
2008-03-27$12.19$12.5049.8%14.3%53.5%84.0%49.1%21.5%-3.2%11.0K1.8M-369.3K1.5223.039321,41555,81378,953
2008-03-28$12.03$12.5052.8%15.1%53.4%91.6%53.5%20.6%-5.7%-36.6K4.1M-371.0K2.3113.339622,22156,13479,625
2008-03-31$12.40$12.5051.6%14.8%54.0%88.6%51.5%25.4%-3.3%49.4K-266.0K-373.7K0.4921.801,14956756,66579,717