LUV Options History — November 2008

In November 2008, LUV traded between $7.76 and $12.05. ATM implied volatility averaged 78.5%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 6.6% (HV 20d: 72.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.15.

Notable Days

  • 2008-11-20: Highest Volume — 16,121 contracts
  • 2008-11-10: Largest IV spike — 43.0% change
  • 2008-11-20: Highest IV Rank — 71.2%
  • 2008-11-20: Largest Expected Move — 29.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.92$7.76$12.05$11.80$8.65
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV78.5%49.7%101.3%57.9%85.5%
Expected Move22.3%15.3%29.0%16.6%24.5%
HV 20d72.0%62.7%81.6%71.1%79.1%
HV 60d57.8%52.4%65.2%52.8%65.2%
IV Rank50.9%25.5%71.2%36.2%56.1%
IV Percentile93.7%73.8%98.4%91.3%94.8%
Term Structure-1.4%-5.6%2.0%0.7%-1.0%
VWIV73.6%50.2%95.3%60.3%71.4%
Skew 25d16.6%6.3%30.0%6.3%12.9%
Skew 10d29.7%2.1%54.2%2.1%19.2%
Call IV 25d68.2%44.8%95.0%62.5%71.1%
Put IV 25d84.8%66.7%108.7%68.8%84.0%
Bid-Ask Spread %13.838.7918.3815.4911.06
Gamma HHI0.360.260.460.260.46
Net GEX-671.3K-802.0K-491.4K-540.8K-641.7K
Net DEX49.3M28.7M63.1M30.0M62.1M
Net VEX-331.7K-383.2K-263.5K-383.2K-290.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.198.772.740.19
Total Volume5,484.10573916,1212,0183,740
Total OI212,529.684195,841236,580195,841220,747

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$11.80$12.5057.9%16.6%71.1%36.2%60.3%6.3%0.7%-540.8K30.0M-383.2K2.7415.495391,47984,747111,094
2008-11-04$12.05$12.5053.5%15.3%69.6%31.6%53.7%30.0%0.4%-568.2K28.7M-382.0K0.328.791,87060384,928112,202
2008-11-05$11.72$12.5054.8%15.7%67.7%30.6%69.6%16.6%-3.0%-626.6K32.0M-368.2K1.1211.902,3732,66484,415111,816
2008-11-06$11.09$12.5075.6%21.7%70.3%49.1%63.6%12.9%-5.6%-654.9K37.5M-366.5K4.2115.631,1474,82784,560113,523
2008-11-07$11.29$12.5049.7%16.3%70.5%25.5%58.3%19.8%1.8%-745.0K39.8M-369.0K0.9016.341,5371,38384,766116,164
2008-11-10$11.10$12.5071.0%19.4%67.7%44.9%57.6%18.9%-2.4%-801.0K41.1M-358.4K1.8917.135641,06484,676116,430
2008-11-11$10.86$12.5079.9%19.5%67.9%53.0%50.2%15.5%0.7%-797.2K43.6M-349.0K4.2112.991,4055,92084,888116,931
2008-11-12$9.97$12.5081.5%21.5%70.7%52.3%76.1%18.7%0.1%-796.4K53.0M-327.3K2.3213.733,9909,25585,416120,725
2008-11-13$10.48$12.5075.5%21.6%66.9%46.6%73.7%21.9%-1.6%-802.0K47.8M-351.1K1.1713.732,6273,06388,556125,103
2008-11-14$10.16$12.5077.2%22.1%67.1%48.2%87.9%18.1%-3.6%-789.9K49.4M-349.2K1.0314.641,6721,72089,768126,364
2008-11-17$9.90$12.5079.6%22.8%62.7%50.5%79.7%19.2%-2.9%-748.3K51.0M-341.8K8.7711.448307,27790,801127,387
2008-11-18$9.82$12.5081.0%23.2%62.7%51.9%78.8%19.6%-1.0%-790.5K54.6M-355.9K2.0614.982,3694,89091,903133,449
2008-11-19$8.67$12.50100.0%28.7%72.9%70.0%87.9%13.5%-2.6%-627.7K60.4M-302.1K4.5718.381,4786,75291,899131,257
2008-11-20$7.76$12.50101.3%29.0%80.2%71.2%95.3%13.7%-4.1%-565.8K61.8M-263.5K0.4117.7611,4544,66792,921133,191
2008-11-21$7.96$12.5098.8%28.3%78.9%68.8%93.4%14.5%-1.8%-491.4K58.1M-295.0K1.8417.391,3792,544103,708132,872
2008-11-24$8.32$12.5094.8%27.2%81.6%65.0%83.4%13.9%-2.7%-567.1K61.1M-283.5K0.789.322,1561,69291,658128,314
2008-11-25$8.50$12.5089.5%25.7%80.0%59.9%81.8%17.2%0.5%-596.5K60.7M-289.3K0.969.801,2891,24092,503127,646
2008-11-26$8.43$12.5085.0%24.4%79.9%55.6%76.2%12.8%2.0%-603.7K63.1M-277.4K1.4212.2030543492,713128,023
2008-11-28$8.65$12.5085.5%24.5%79.1%56.1%71.4%12.9%-1.0%-641.7K62.1M-290.7K0.1911.063,15358792,794127,953