LUV Options History — April 2008

In April 2008, LUV traded between $11.78 and $13.34. ATM implied volatility averaged 44.4%, placing in the 70.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 2.0% (HV 20d: 42.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.85.

Notable Days

  • 2008-04-16: Highest Volume — 10,150 contracts
  • 2008-04-10: Largest IV drop — 18.0% change
  • 2008-04-09: Highest IV Rank — 95.8%
  • 2008-04-03: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.65$11.78$13.34$12.75$13.24
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV44.4%37.2%54.5%50.6%38.0%
Expected Move12.4%10.7%15.1%14.5%10.9%
HV 20d42.4%34.9%54.8%54.8%35.6%
HV 60d44.8%41.2%49.2%49.2%42.8%
IV Rank70.6%52.7%95.8%86.1%54.7%
IV Percentile83.7%67.5%99.2%98.4%69.4%
Term Structure-0.9%-5.7%2.5%-4.2%0.6%
VWIV43.6%37.5%55.5%50.8%38.0%
Skew 25d11.9%3.4%27.9%27.9%12.1%
Skew 10d20.7%6.3%46.0%46.0%18.0%
Call IV 25d36.3%24.0%47.1%34.1%25.5%
Put IV 25d48.2%34.8%62.0%62.0%37.5%
Bid-Ask Spread %17.648.2732.889.8017.14
Gamma HHI0.280.250.400.250.28
Net GEX148.3K-214.4K920.5K111.3K184.9K
Net DEX-3.1M-11.9M11.1M-4.1M-10.6M
Net VEX-361.9K-375.7K-345.1K-375.7K-369.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.1115.210.891.09
Total Volume2,812.86466910,1502,1641,653
Total OI143,991.136136,409155,011136,409150,552

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$12.75$12.5050.6%14.5%54.8%86.1%50.8%27.9%-4.2%111.3K-4.1M-375.7K0.899.801,1451,01956,40580,004
2008-04-02$12.78$12.5049.3%14.1%53.6%82.7%49.3%13.8%-2.6%129.4K-5.4M-372.3K0.6411.501,05467456,95380,587
2008-04-03$12.71$12.5052.7%15.1%52.7%91.2%53.5%13.9%-5.7%123.4K-3.8M-372.8K2.038.2742786757,41280,634
2008-04-04$12.66$12.5053.4%13.4%50.8%93.1%46.9%13.7%-1.4%131.7K-3.8M-365.5K1.3927.4128038957,71680,913
2008-04-07$12.72$12.5052.5%13.0%49.9%90.7%45.3%13.3%-0.7%150.6K-4.1M-361.9K0.7626.641,4941,14257,69481,392
2008-04-08$12.67$12.5050.7%13.0%49.8%86.3%45.8%10.9%-0.8%183.8K-4.2M-361.4K1.6224.556731,09258,70682,030
2008-04-09$12.50$12.5054.5%12.9%49.2%95.8%45.3%10.5%-1.1%129.7K-1.0M-358.6K0.4226.991,97782658,82482,441
2008-04-10$12.94$12.5044.7%12.8%41.4%71.4%43.9%9.8%0.3%210.1K-7.8M-368.8K0.1124.031,30914659,53982,811
2008-04-11$12.65$12.5045.0%12.9%42.3%72.1%45.3%7.8%-0.1%198.4K-4.5M-362.2K1.0030.9489589660,23082,741
2008-04-14$12.71$12.5045.8%13.1%42.2%74.1%46.3%8.8%-1.3%173.9K-5.1M-359.0K1.1032.8841645960,46783,511
2008-04-15$12.35$12.5047.6%13.6%43.7%78.5%55.5%9.2%-3.0%103.2K-596.0K-354.1K0.7513.161,07079960,68283,951
2008-04-16$12.50$12.5046.4%13.3%40.3%75.6%47.5%8.4%-2.8%159.3K-2.7M-352.7K15.2123.566269,52461,11584,418
2008-04-17$12.61$12.5040.7%11.7%38.2%61.5%40.8%18.9%0.6%273.5K-3.4M-363.3K2.048.462,0034,08561,37092,068
2008-04-18$12.57$12.5038.1%10.9%35.5%54.8%38.1%7.3%2.5%920.5K-4.6M-361.8K0.649.363,5132,24061,84493,167
2008-04-21$12.30$12.5038.4%11.0%36.3%55.7%38.3%3.4%0.4%-80.3K4.1M-352.3K0.839.011,6111,33356,45586,938
2008-04-22$11.78$12.5038.5%11.0%38.4%55.8%38.5%13.5%0.4%-214.4K11.1M-345.1K0.4823.291,29161456,45586,938
2008-04-23$12.17$12.5037.2%10.7%35.2%52.7%37.5%17.1%0.3%-96.8K5.8M-355.2K0.8810.1088977957,33587,268
2008-04-24$12.70$12.5037.9%10.9%36.5%54.5%37.9%9.4%0.4%43.4K-2.3M-360.5K0.479.991,78384657,65987,394
2008-04-25$12.73$12.5037.5%10.8%36.1%53.5%37.5%9.6%0.4%101.2K-3.4M-360.7K6.6412.243582,37658,52487,157
2008-04-28$12.91$12.5037.8%10.8%34.9%54.3%37.8%7.9%0.0%129.9K-5.8M-363.4K1.2312.821,0081,23858,66988,575
2008-04-29$13.34$12.5039.4%11.3%35.4%58.2%39.4%14.5%-1.7%196.6K-11.9M-365.6K0.3715.853,6901,37459,21689,045
2008-04-30$13.24$12.5038.0%10.9%35.6%54.7%38.0%12.1%0.6%184.9K-10.6M-369.3K1.0917.1479086360,60389,949