LUV Options History — September 2008

In September 2008, LUV traded between $14.14 and $16.41. ATM implied volatility averaged 50.8%, placing in the 77.6% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 13.7% (HV 20d: 37.0%). 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 3 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2008-09-22: Highest Volume — 23,264 contracts
  • 2008-09-17: Largest IV spike — 17.1% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.45$14.14$16.41$15.41$14.51
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV50.8%40.7%62.4%42.9%59.3%
Expected Move14.8%12.2%17.9%12.3%17.0%
HV 20d37.0%26.4%49.3%49.3%40.8%
HV 60d46.6%44.4%48.6%48.6%47.7%
IV Rank77.6%55.4%100.0%60.3%93.1%
IV Percentile87.2%57.5%100.0%71.4%99.2%
Term Structure-3.3%-7.1%4.0%4.0%-7.1%
VWIV51.5%39.6%63.1%39.6%62.7%
Skew 25d4.9%-5.2%9.4%-5.2%6.3%
Skew 10d7.4%-10.8%24.1%-10.8%5.5%
Call IV 25d50.0%40.5%64.2%43.8%59.4%
Put IV 25d54.9%38.6%68.5%38.6%65.7%
Bid-Ask Spread %17.177.1931.758.0212.43
Gamma HHI0.310.260.430.300.26
Net GEX1.1M250.6K2.0M1.3M345.0K
Net DEX-37.5M-67.4M-5.2M-37.6M-8.4M
Net VEX-487.3K-514.7K-452.5K-514.7K-452.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.1010.743.951.02
Total Volume4,162.23859123,2646,0001,046
Total OI217,593.81170,344243,522231,585174,487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$15.41$15.0042.9%12.3%49.3%60.3%39.6%-5.2%4.0%1.3M-37.6M-514.7K3.958.021,2124,788105,688125,897
2008-09-03$15.72$15.0042.7%12.2%49.1%59.8%42.4%1.0%3.7%1.5M-46.0M-513.1K0.557.191,662914106,107129,099
2008-09-04$15.61$15.0042.9%12.3%49.1%60.3%46.3%-4.6%3.9%1.4M-43.8M-510.9K0.3221.182,578831106,698129,555
2008-09-05$15.74$15.0040.7%13.5%39.1%55.4%45.7%4.9%-1.7%1.6M-47.4M-514.0K0.1511.371,286195108,642129,940
2008-09-08$15.81$15.0044.9%13.7%36.3%64.7%46.8%6.0%-3.0%1.6M-48.1M-507.7K1.8613.212,0053,720108,885130,048
2008-09-09$15.60$15.0047.3%14.2%34.4%70.1%49.6%5.7%-2.8%1.5M-43.8M-503.4K0.2513.911,385353109,636130,992
2008-09-10$15.91$15.0043.0%14.5%32.4%60.6%47.6%7.0%-4.5%1.6M-51.7M-506.3K0.7113.381,358968109,280130,773
2008-09-11$16.20$15.0050.2%14.4%32.6%76.7%49.6%7.3%-4.3%1.8M-59.7M-504.5K0.6012.00728434109,431131,018
2008-09-12$16.19$15.0050.8%14.6%32.6%78.0%49.5%7.4%-4.2%1.8M-60.0M-500.2K1.1220.999181,024109,825131,113
2008-09-15$16.05$15.0051.0%14.6%27.6%78.4%50.0%4.1%-3.9%1.7M-56.8M-489.1K0.3121.502,825870110,090131,809
2008-09-16$16.41$15.0048.0%13.8%26.4%71.7%50.0%7.4%-4.7%2.0M-67.4M-495.8K0.1031.753,796383109,865132,480
2008-09-17$15.61$15.0056.2%16.1%32.1%90.0%55.6%4.5%-5.4%1.2M-44.8M-486.5K1.1226.872,1612,428109,747132,649
2008-09-18$15.60$15.0055.4%15.9%31.5%88.3%54.3%6.9%-4.1%1.2M-42.7M-491.9K0.8116.136,8975,554109,407131,868
2008-09-19$15.68$15.0054.8%15.7%31.5%86.9%52.8%9.3%-6.5%850.8K-49.6M-475.7K0.1320.252,769352110,206133,316
2008-09-22$14.76$15.0054.9%15.7%37.5%87.2%56.4%5.2%-4.0%444.9K-13.5M-463.8K10.7419.691,98121,28377,62192,723
2008-09-23$15.23$15.0055.1%15.8%37.7%87.7%54.9%5.3%-3.5%576.8K-22.4M-475.5K0.3716.532,7041,00578,59394,896
2008-09-24$14.74$15.0054.7%15.7%39.6%86.8%55.1%6.0%-4.6%449.1K-12.7M-458.2K0.6814.9335124078,92295,072
2008-09-25$14.96$15.0055.0%15.8%39.4%87.4%54.6%5.0%-5.7%508.9K-16.5M-460.4K0.2916.461,33939479,05895,157
2008-09-26$14.57$15.0054.1%15.5%38.9%85.4%55.5%9.4%-3.8%384.4K-9.3M-456.7K0.8915.5146341279,07595,408
2008-09-29$14.14$15.0062.4%17.9%39.7%100.0%63.1%4.3%-6.4%250.6K-5.2M-453.3K0.7127.231,04874778,85695,538
2008-09-30$14.51$15.0059.3%17.0%40.8%93.1%62.7%6.3%-7.1%345.0K-8.4M-452.5K1.0212.4351752978,94395,544