LUV Options History — August 2008

In August 2008, LUV traded between $14.71 and $16.47. ATM implied volatility averaged 42.3%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 10.8% (HV 20d: 53.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2008-08-07: Highest Volume — 14,640 contracts
  • 2008-08-13: Largest IV drop — 15.5% change
  • 2008-08-12: Highest IV Rank — 75.2%
  • 2008-08-07: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.31$14.71$16.47$15.81$15.23
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV42.3%38.9%49.6%40.9%38.9%
Expected Move12.2%11.2%13.5%11.7%11.2%
HV 20d53.1%46.0%60.1%51.7%49.6%
HV 60d48.9%45.3%50.2%45.5%49.2%
IV Rank59.0%51.4%75.2%55.9%51.4%
IV Percentile67.6%49.6%89.3%65.9%49.6%
Term Structure3.1%-1.1%6.6%4.1%6.6%
VWIV42.6%33.7%46.9%43.1%33.7%
Skew 25d5.4%-3.3%16.9%-3.3%5.7%
Skew 10d10.8%-7.7%26.9%-7.7%5.5%
Call IV 25d40.6%28.3%45.2%45.2%28.3%
Put IV 25d46.0%34.0%51.2%41.9%34.0%
Bid-Ask Spread %12.205.9819.0116.637.10
Gamma HHI0.320.270.470.320.29
Net GEX1.6M930.9K3.2M1.8M1.3M
Net DEX-43.6M-84.9M-21.2M-64.8M-33.7M
Net VEX-526.0K-567.4K-495.0K-555.1K-515.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.063.040.832.84
Total Volume4,548.6671,07214,6404,3293,469
Total OI226,240.81211,497239,745223,725229,090

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$15.81$15.0040.9%11.7%51.7%55.9%43.1%-3.3%4.1%1.8M-64.8M-555.1K0.8316.632,3691,960109,598114,127
2008-08-04$16.08$15.0043.0%12.9%51.8%60.6%43.0%5.3%1.7%1.9M-72.7M-539.3K0.2011.564,231867110,434113,396
2008-08-05$16.47$15.0039.7%11.5%48.8%53.1%41.3%6.8%1.3%2.0M-83.9M-546.3K0.3412.792,765931113,181113,781
2008-08-06$16.46$15.0041.6%12.0%46.0%57.3%43.7%5.2%-1.0%2.1M-84.9M-547.5K0.6819.015,0563,444114,621114,402
2008-08-07$15.16$15.0044.5%13.5%56.4%63.8%45.1%6.1%-1.1%1.9M-45.1M-549.8K0.9013.717,6886,952117,220115,861
2008-08-08$15.80$15.0043.3%12.9%57.1%61.2%44.1%5.1%0.8%2.0M-62.6M-567.4K0.2212.631,358294119,599120,146
2008-08-11$15.27$15.0048.7%13.2%58.4%73.4%46.1%6.3%0.2%2.1M-46.5M-534.9K0.3017.66824248117,174117,309
2008-08-12$14.76$15.0049.6%13.1%60.1%75.2%45.6%3.3%0.4%1.9M-30.9M-523.8K0.8714.792,8992,529117,063117,299
2008-08-13$14.71$15.0041.9%12.5%56.1%58.0%43.6%4.8%1.4%2.3M-28.4M-515.9K0.4311.592,4121,033117,393118,031
2008-08-14$14.85$15.0042.8%12.3%55.4%60.0%43.0%6.4%1.8%3.2M-30.8M-521.1K0.2611.542,061532118,666118,258
2008-08-15$15.64$15.0042.2%12.1%58.4%58.7%41.4%6.9%3.1%1.5M-65.7M-532.0K0.0610.627,776494118,906118,508
2008-08-18$15.22$15.0041.6%11.9%58.6%57.4%41.3%4.4%5.4%1.2M-35.9M-518.3K2.259.761,2342,777100,213111,284
2008-08-19$15.00$15.0042.4%12.2%54.8%59.2%43.4%0.4%4.1%1.0M-31.0M-518.2K0.4210.632,8931,205100,754113,348
2008-08-20$14.79$15.0042.4%12.1%54.7%59.1%46.9%6.0%4.8%959.2K-25.3M-508.4K1.759.991,7853,116101,551113,778
2008-08-21$14.87$15.0041.6%11.9%49.9%57.4%45.0%7.8%5.9%984.8K-26.7M-509.1K3.049.89314953102,203116,312
2008-08-22$15.25$15.0040.1%11.5%50.2%54.0%40.6%5.2%5.9%1.1M-33.2M-517.5K0.4717.051,224574102,254117,161
2008-08-25$14.81$15.0042.3%12.1%51.1%59.0%42.8%4.4%4.5%950.2K-24.4M-498.1K0.4618.561,794821101,921117,339
2008-08-26$14.77$15.0041.4%11.9%47.8%57.0%41.2%13.1%4.7%930.9K-21.2M-495.0K0.737.42693508101,590117,989
2008-08-27$15.05$15.0039.8%11.4%48.3%53.3%41.2%16.9%6.1%1.1M-28.6M-505.2K1.945.984,1668,083102,121118,353
2008-08-28$15.49$15.0039.8%11.4%49.5%53.4%39.1%-2.6%4.8%1.3M-38.9M-526.7K0.897.23631559105,019123,804
2008-08-29$15.23$15.0038.9%11.2%49.6%51.4%33.7%5.7%6.6%1.3M-33.7M-515.6K2.847.109032,566105,401123,689