LUV Options History — July 2008

In July 2008, LUV traded between $12.85 and $15.88. ATM implied volatility averaged 48.1%, placing in the 74.9% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 0.3% (HV 20d: 48.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2008-07-22: Highest Volume — 30,118 contracts
  • 2008-07-09: Largest IV spike — 44.0% change
  • 2008-07-10: Highest IV Rank — 100.0%
  • 2008-07-15: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.39$12.85$15.88$12.99$15.59
Max Pain$13.52$12.50$15.00$12.50$15.00
ATM IV48.1%37.0%60.6%50.0%41.4%
Expected Move14.0%11.9%17.4%14.3%11.9%
HV 20d48.4%44.2%54.0%48.6%51.7%
HV 60d42.6%39.6%45.9%40.1%45.9%
IV Rank74.9%52.2%100.0%84.6%57.0%
IV Percentile83.7%48.8%100.0%94.0%68.7%
Term Structure-0.9%-6.9%7.7%1.3%3.9%
VWIV47.5%34.5%56.2%50.0%40.0%
Skew 25d8.2%3.4%11.9%9.2%4.8%
Skew 10d18.5%5.5%29.5%24.4%21.2%
Call IV 25d46.0%33.6%53.1%50.1%42.5%
Put IV 25d54.2%43.8%62.1%59.3%47.3%
Bid-Ask Spread %12.905.4023.3210.998.03
Gamma HHI0.330.250.620.260.32
Net GEX1.0M-1.3K3.6M44.5K1.8M
Net DEX-25.7M-60.4M6.1M5.9M-58.3M
Net VEX-458.2K-564.2K-225.1K-406.8K-551.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.092.201.011.17
Total Volume7,107.584530,1181,4231,724
Total OI195,715.682122,154223,093184,842223,016

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$12.99$12.5050.0%14.3%48.6%84.6%50.0%9.2%1.3%44.5K5.9M-406.8K1.0110.9970771679,347105,495
2008-07-02$12.85$12.5050.5%14.5%48.6%85.9%50.6%9.6%2.1%-1.3K6.1M-405.8K1.497.5933950679,400105,706
2008-07-03$13.05$12.5044.5%12.8%45.8%70.8%34.5%10.2%7.7%52.2K3.5M-411.0K0.4412.5770331279,532105,966
2008-07-07$13.15$12.5050.4%15.4%44.2%85.5%51.1%9.7%-3.2%115.4K1.2M-400.7K1.4814.821,3331,96779,767106,126
2008-07-08$13.95$12.5037.0%13.3%47.4%52.2%50.4%7.8%-4.0%708.4K-11.6M-427.2K1.0619.852,9433,11180,561107,141
2008-07-09$13.45$12.5053.3%15.9%48.6%92.7%52.4%9.8%-2.7%294.8K-4.2M-422.9K0.459.612,00291081,675108,978
2008-07-10$13.41$12.5057.0%16.3%47.5%100.0%53.5%8.3%-2.8%232.3K-2.1M-426.2K0.4313.891,81478382,861109,361
2008-07-11$13.20$12.5057.7%16.5%47.8%100.0%55.5%9.8%-3.8%53.1K898.7K-422.5K0.8716.341,5731,36982,953109,414
2008-07-14$13.62$12.5058.5%16.8%44.8%100.0%56.2%7.2%-5.1%374.9K-3.7M-225.1K0.3721.951,56357152,87569,279
2008-07-15$13.75$12.5060.6%17.4%44.4%100.0%51.7%9.3%-6.9%557.7K-9.8M-433.0K0.1023.322,98330983,727110,396
2008-07-16$14.62$12.5046.4%13.3%49.1%68.2%46.5%11.1%-0.7%1.6M-27.2M-444.5K0.0910.7426,4122,34984,616110,482
2008-07-17$14.99$12.5049.6%14.2%49.6%75.3%48.2%11.1%-4.2%2.6M-43.9M-466.8K0.3318.316,3172,07493,891111,764
2008-07-18$15.15$12.5047.7%13.7%47.1%71.1%47.8%11.9%-2.0%3.6M-50.3M-474.7K0.3013.034,6931,39594,636113,077
2008-07-21$14.80$15.0048.6%13.9%44.4%73.2%49.2%6.4%-4.3%898.9K-31.1M-460.9K1.5712.381,5662,45284,63599,091
2008-07-22$15.69$15.0046.0%13.2%48.1%67.2%46.8%8.3%-0.6%1.2M-50.9M-456.3K0.6621.8218,18511,93384,747100,994
2008-07-23$15.88$15.0045.6%13.1%48.0%66.4%44.6%9.5%-1.7%1.5M-59.7M-527.2K1.0910.914,2584,64297,921108,416
2008-07-24$14.90$15.0042.5%12.2%54.0%59.4%42.5%3.4%-0.2%1.2M-35.4M-523.9K2.209.745,15111,33498,643111,531
2008-07-25$15.20$15.0041.6%11.9%50.7%57.5%41.7%6.9%1.8%1.4M-41.6M-540.5K0.648.203,8052,41999,783112,332
2008-07-28$15.02$15.0043.9%12.6%50.9%62.4%46.3%5.3%0.1%1.3M-36.9M-533.6K0.135.404,950644100,331113,209
2008-07-29$15.76$15.0042.1%12.1%51.9%58.5%41.9%6.6%3.7%1.6M-60.4M-555.7K0.147.196,667930105,086113,891
2008-07-30$15.62$15.0042.9%12.3%52.1%60.2%42.6%3.9%1.4%1.8M-55.5M-564.2K0.357.134,4211,530109,195113,898
2008-07-31$15.59$15.0041.4%11.9%51.7%57.0%40.0%4.8%3.9%1.8M-58.3M-551.8K1.178.03793931109,365113,651