LUV Options History — June 2008

In June 2008, LUV traded between $12.99 and $14.80. ATM implied volatility averaged 41.9%, placing in the 64.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 1.9% (HV 20d: 43.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2008-06-20: Highest Volume — 11,593 contracts
  • 2008-06-11: Largest IV spike — 35.7% change
  • 2008-06-11: Highest IV Rank — 92.7%
  • 2008-06-30: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.83$12.99$14.80$12.99$13.04
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV41.9%35.7%53.3%40.9%48.7%
Expected Move11.9%10.2%14.0%11.7%14.0%
HV 20d43.8%32.8%50.8%32.8%50.8%
HV 60d39.4%38.2%41.1%40.1%40.1%
IV Rank64.4%48.9%92.7%62.0%81.4%
IV Percentile74.0%50.4%98.4%77.4%90.1%
Term Structure1.6%-2.8%5.2%-1.3%1.8%
VWIV41.2%35.7%45.9%41.0%44.6%
Skew 25d8.2%0.5%16.4%0.8%8.8%
Skew 10d21.3%2.8%33.3%11.5%25.4%
Call IV 25d39.0%28.9%47.8%46.8%47.8%
Put IV 25d47.2%40.7%56.6%47.6%56.6%
Bid-Ask Spread %15.167.4726.389.287.47
Gamma HHI0.330.260.520.260.27
Net GEX545.9K117.1K1.6M423.7K117.1K
Net DEX-21.6M-46.4M3.8M-9.2M3.8M
Net VEX-405.3K-428.1K-388.0K-389.6K-412.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.053.632.490.36
Total Volume5,015.0951,19511,5931,3803,396
Total OI189,007.286175,183212,224183,490184,458

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$12.99$12.5040.9%11.7%32.8%62.0%41.0%0.8%-1.3%423.7K-9.2M-389.6K2.499.2839598573,057110,433
2008-06-03$13.52$12.5040.6%11.6%36.0%61.0%40.5%1.1%2.2%480.3K-20.2M-391.4K0.4410.764,1881,85572,964110,467
2008-06-04$13.59$12.5042.8%12.3%36.0%66.7%41.8%0.5%-0.6%475.9K-21.0M-392.0K3.6311.611,8936,87772,933111,334
2008-06-05$14.21$12.5039.5%11.3%37.4%58.3%38.9%9.0%-2.8%506.5K-33.4M-397.4K0.4712.874,7132,22973,120114,445
2008-06-06$13.68$12.5048.3%13.6%39.9%80.4%40.4%11.1%0.0%417.6K-22.4M-412.1K0.6921.312,5461,74774,171114,500
2008-06-09$14.19$12.5037.8%11.1%41.0%54.2%40.3%7.5%1.8%497.5K-33.5M-398.3K0.6820.941,7201,17074,731115,317
2008-06-10$13.91$12.5039.3%11.1%41.2%57.8%45.3%9.8%2.1%512.3K-27.2M-401.2K1.079.2071376274,653115,605
2008-06-11$13.50$12.5053.3%13.4%42.4%92.7%45.9%7.7%-0.2%466.0K-19.2M-399.6K0.8121.1888371674,923115,421
2008-06-12$13.54$12.5048.4%13.9%41.2%80.6%43.4%10.0%-0.2%467.1K-20.3M-398.0K1.1326.381,1981,34875,109115,508
2008-06-13$14.30$12.5038.7%11.1%45.5%56.4%40.1%12.3%1.9%490.2K-35.5M-393.4K0.7814.391,5261,19575,356116,095
2008-06-16$14.00$12.5038.3%11.0%46.2%55.4%45.1%8.0%1.9%589.6K-30.1M-388.0K0.5913.195,8523,43575,798116,266
2008-06-17$14.30$12.5037.1%10.6%46.3%52.4%36.9%11.7%3.1%527.4K-31.1M-396.1K0.0514.1010,83551478,832119,395
2008-06-18$14.14$12.5038.0%10.9%46.0%54.8%38.8%14.4%2.1%593.1K-31.7M-407.2K0.619.8674145486,229119,698
2008-06-19$14.80$12.5035.7%10.2%44.4%48.9%35.7%16.4%5.2%1.6M-46.4M-416.2K0.2211.488,5711,87286,332119,989
2008-06-20$14.11$12.5040.4%11.6%48.7%60.7%42.5%12.2%1.2%544.5K-31.6M-424.6K0.1515.8410,0401,55390,846121,378
2008-06-23$13.89$12.5039.6%11.3%48.4%58.6%40.3%7.2%2.6%599.4K-12.1M-414.4K0.2511.113,14780274,783100,400
2008-06-24$13.87$12.5039.1%11.2%47.8%57.3%41.3%6.3%3.8%636.9K-11.1M-421.5K0.4915.391,99197776,945100,385
2008-06-25$14.08$12.5038.5%11.0%47.9%55.9%40.4%7.1%4.2%748.9K-14.6M-428.1K0.1514.411,58723477,769101,020
2008-06-26$13.41$12.5047.8%13.7%50.2%79.0%40.4%7.0%3.1%401.1K-4.3M-419.0K1.4325.212,6673,82178,158101,086
2008-06-27$13.33$12.5047.4%13.6%50.2%78.0%42.2%3.5%2.5%329.4K-2.0M-410.4K2.6522.421,1413,02878,158101,086
2008-06-30$13.04$12.5048.7%14.0%50.8%81.4%44.6%8.8%1.8%117.1K3.8M-412.9K0.367.472,50089679,388105,070