LUV Options History — December 2008

In December 2008, LUV traded between $7.28 and $8.91. ATM implied volatility averaged 73.0%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded below realized volatility by 5.5% (HV 20d: 78.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2008-12-11: Highest Volume — 14,488 contracts
  • 2008-12-05: Largest IV drop — 25.6% change
  • 2008-12-04: Highest IV Rank — 60.8%
  • 2008-12-04: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.12$7.28$8.91$7.93$8.62
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV73.0%60.8%90.5%87.0%62.1%
Expected Move20.9%17.4%26.0%24.9%17.8%
HV 20d78.5%60.7%90.8%79.9%60.7%
HV 60d70.8%67.0%72.4%67.0%72.2%
IV Rank44.1%32.5%60.8%57.5%33.7%
IV Percentile86.7%79.8%96.0%94.8%79.8%
Term Structure2.2%-7.2%7.7%-1.3%6.4%
VWIV71.2%60.0%86.9%86.1%60.0%
Skew 25d7.0%-13.6%21.5%-9.2%-2.4%
Skew 10d12.1%-18.8%46.3%-18.8%3.4%
Call IV 25d67.9%40.7%89.7%89.7%60.6%
Put IV 25d74.8%58.2%93.2%80.5%58.2%
Bid-Ask Spread %8.444.2613.4611.874.26
Gamma HHI0.440.310.530.420.53
Net GEX-500.8K-727.1K-189.0K-524.4K-582.1K
Net DEX61.8M55.9M66.0M62.5M55.9M
Net VEX-239.8K-289.4K-208.4K-262.2K-244.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.084.002.920.16
Total Volume3,401.04595514,4884,5094,512
Total OI217,418.273196,264235,615221,531200,987

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$7.93$12.5087.0%24.9%79.9%57.5%86.1%-9.2%-1.3%-524.4K62.5M-262.2K2.9211.871,1513,35893,180128,351
2008-12-02$8.33$12.5086.5%24.8%83.3%57.1%84.2%6.5%0.8%-603.6K64.0M-264.2K0.4811.391,48671993,124127,825
2008-12-03$8.30$12.5085.7%24.6%82.3%56.3%72.0%10.8%-4.6%-594.3K64.4M-259.0K0.186.571,92333993,917127,313
2008-12-04$8.43$12.5090.5%26.0%83.1%60.8%86.9%7.5%-7.2%-608.7K62.5M-270.2K0.8213.2087171095,105127,359
2008-12-05$8.83$12.5067.3%19.5%84.6%38.7%79.8%16.1%3.4%-685.3K62.1M-286.0K0.667.931,7021,12495,397127,842
2008-12-08$8.91$12.5070.9%19.2%84.3%42.1%67.2%14.7%4.1%-727.1K62.1M-289.4K2.466.039452,32295,915128,073
2008-12-09$8.27$12.5080.0%23.2%87.2%50.8%80.1%15.4%-1.0%-581.8K62.9M-256.6K4.008.374471,78996,473127,102
2008-12-10$7.88$12.5078.1%22.1%87.9%48.9%76.2%15.5%2.6%-504.9K63.3M-235.5K1.0110.0757057596,579125,474
2008-12-11$7.28$12.5079.6%22.8%87.3%50.4%70.8%8.0%-1.4%-389.0K63.0M-209.5K1.8513.465,0869,40296,776125,031
2008-12-12$7.30$12.5075.1%21.5%84.2%46.1%74.5%19.8%-0.6%-429.3K66.0M-208.4K1.358.842,0342,74099,010132,578
2008-12-15$7.60$12.5077.2%22.1%86.5%48.2%68.6%-3.8%-2.4%-449.7K64.1M-220.4K0.325.191,766565100,317129,200
2008-12-16$8.00$12.5076.8%22.0%89.4%47.7%71.3%-2.1%-1.0%-512.8K63.6M-233.5K0.658.961,5511,002101,353129,441
2008-12-17$8.27$12.5071.7%20.5%90.8%42.8%70.5%6.6%2.5%-548.3K64.1M-242.7K1.189.441,4831,745102,011129,645
2008-12-18$8.17$12.5070.5%20.2%79.8%41.7%66.5%12.5%1.6%-534.9K62.9M-244.3K0.2610.175,0931,300102,716130,089
2008-12-19$8.19$12.5067.1%19.2%68.9%38.4%67.0%-0.7%4.5%-501.4K64.8M-238.7K0.428.501,226517105,195130,420
2008-12-22$7.87$12.5066.3%19.0%69.9%37.7%66.0%-4.9%6.7%-407.3K58.8M-217.2K0.425.511,03644080,323118,678
2008-12-23$7.79$12.5060.8%17.4%67.9%32.5%60.8%16.4%7.2%-369.2K58.8M-212.1K0.296.641,62646980,609117,849
2008-12-24$8.10$12.5061.7%17.7%69.1%33.3%64.1%-2.5%6.9%-447.5K58.7M-226.5K0.089.198886780,439117,797
2008-12-26$8.08$12.5062.1%17.8%69.0%33.7%62.1%21.5%5.8%-425.6K57.9M-216.2K0.277.852,29460880,756115,508
2008-12-29$8.05$12.5063.1%18.1%68.2%34.6%63.1%20.8%7.7%-400.3K57.5M-216.6K2.526.621,0492,64082,326115,402
2008-12-30$8.38$12.5065.3%18.7%62.3%36.8%67.9%-13.6%6.6%-189.0K58.9M-222.1K0.355.532,70694782,617117,100
2008-12-31$8.62$12.5062.1%17.8%60.7%33.7%60.0%-2.4%6.4%-582.1K55.9M-244.3K0.164.263,89162183,839117,148