LUV Options History — January 2009

In January 2009, LUV traded between $7.03 and $9.81. ATM implied volatility averaged 62.1%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 11.5% (HV 20d: 73.6%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.65.

Notable Days

  • 2009-01-23: Highest Volume — 15,461 contracts
  • 2009-01-08: Largest IV drop — 44.0% change
  • 2009-01-23: Highest IV Rank — 45.9%
  • 2009-01-23: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.33$7.03$9.81$8.97$7.03
Max Pain$9.50$7.50$12.50$12.50$7.50
ATM IV62.1%35.4%74.9%54.6%64.0%
Expected Move18.9%15.4%21.5%15.7%18.3%
HV 20d73.6%48.9%112.0%62.1%111.5%
HV 60d76.0%69.1%87.2%72.3%87.1%
IV Rank33.7%8.2%45.9%26.6%35.5%
IV Percentile73.2%4.8%86.5%70.2%77.8%
Term Structure0.1%-6.3%4.9%4.6%0.1%
VWIV64.5%53.4%73.0%53.4%63.9%
Skew 25d9.1%-3.8%27.4%15.6%-1.8%
Skew 10d14.3%-9.5%43.7%21.2%1.8%
Call IV 25d59.2%42.4%68.9%54.6%57.1%
Put IV 25d68.4%55.3%77.2%70.2%55.3%
Bid-Ask Spread %11.807.7016.7813.549.04
Gamma HHI0.410.270.640.610.35
Net GEX-249.9K-783.0K-10.0K-728.1K-122.8K
Net DEX38.3M7.1M57.7M52.3M23.3M
Net VEX-222.2K-271.8K-173.6K-264.5K-175.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.2211.970.400.48
Total Volume5,182.964215,4616,2113,629
Total OI167,229103,159211,772204,351128,758

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$8.97$12.5054.6%15.7%62.1%26.6%53.4%15.6%4.6%-728.1K52.3M-264.5K0.4013.544,4281,78387,241117,110
2009-01-05$8.68$10.0071.3%20.3%63.3%42.4%65.5%3.7%-6.3%-519.1K55.6M-248.6K1.5310.158321,26990,524118,314
2009-01-06$9.14$10.0062.5%16.7%63.8%34.1%59.4%24.7%0.3%-783.0K50.6M-271.8K0.258.871,77843691,034118,697
2009-01-07$8.94$10.0063.1%17.4%64.3%34.7%67.6%9.3%-1.0%-678.2K51.7M-266.3K2.9211.247562,21091,593117,311
2009-01-08$8.99$10.0035.4%17.2%57.9%8.2%59.6%19.8%-0.8%-478.8K55.6M-257.9K0.427.8790338191,983118,008
2009-01-09$8.56$10.0045.8%19.2%58.0%18.1%61.9%6.2%1.4%-164.6K56.7M-240.8K0.5811.4952230192,462118,097
2009-01-12$8.62$10.0058.0%20.1%48.9%29.8%63.9%10.7%-1.2%-171.3K57.7M-238.8K0.9712.2332631692,635118,247
2009-01-13$8.34$10.0052.6%19.3%51.1%24.7%64.3%3.0%-1.6%-158.7K57.2M-225.8K0.2215.443,25671192,761118,190
2009-01-14$7.99$10.0062.7%20.4%52.3%34.3%70.0%9.8%-1.1%-247.3K57.1M-219.3K11.9715.811,05012,56593,786117,986
2009-01-15$8.28$10.0071.3%20.4%50.7%42.5%70.9%4.2%-0.7%-98.0K50.6M-201.1K7.2012.286394,59994,079107,011
2009-01-16$8.61$10.0071.2%20.4%51.2%42.4%65.1%9.7%0.1%-72.7K51.2M-211.8K0.8812.071,3601,20294,355108,576
2009-01-20$8.14$10.0073.3%21.0%55.0%44.4%71.6%11.8%-1.6%-90.6K17.3M-192.3K1.6116.789811,57946,64056,519
2009-01-21$8.38$10.0070.0%20.1%56.0%41.2%67.6%2.8%1.2%-90.3K16.8M-209.1K0.8613.714,5363,88346,93257,824
2009-01-22$9.81$10.0053.7%15.4%76.8%25.7%54.2%27.4%4.9%-10.0K7.1M-259.2K0.2515.239,8002,48149,76460,184
2009-01-23$8.00$10.0074.9%21.5%108.3%45.9%73.0%11.9%-2.7%-93.1K18.5M-206.5K0.7312.218,9246,53752,75861,431
2009-01-26$7.88$7.5069.4%19.9%107.5%40.7%68.6%-3.8%0.2%-96.7K19.0M-205.6K0.508.311,58479256,31263,091
2009-01-27$7.33$7.5065.6%18.8%110.4%37.0%65.6%5.0%0.8%-136.3K22.9M-173.6K0.657.707,1704,66756,40163,692
2009-01-28$7.66$7.5060.8%17.4%111.7%32.4%60.8%9.9%2.7%-133.3K21.8M-194.0K0.2411.192,43357460,03866,556
2009-01-29$7.25$7.5062.9%18.0%112.0%34.4%62.9%2.9%2.5%-125.0K21.8M-181.5K0.2610.881,95950660,98666,694
2009-01-30$7.03$7.5064.0%18.3%111.5%35.5%63.9%-1.8%0.1%-122.8K23.3M-175.1K0.489.042,4541,17561,73867,020