LUV Options History — February 2009

In February 2009, LUV traded between $5.89 and $7.33. ATM implied volatility averaged 67.2%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 27.1% (HV 20d: 94.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.56.

Notable Days

  • 2009-02-20: Highest Volume — 7,666 contracts
  • 2009-02-25: Largest IV spike — 29.1% change
  • 2009-02-27: Highest IV Rank — 50.8%
  • 2009-02-27: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.77$5.89$7.33$6.75$5.89
Max Pain$9.47$7.50$10.00$7.50$10.00
ATM IV67.2%58.2%80.8%68.7%80.8%
Expected Move19.4%17.2%23.2%19.7%23.2%
HV 20d94.3%51.5%112.7%110.4%51.5%
HV 60d84.0%78.9%88.2%87.1%78.9%
IV Rank38.1%29.9%50.8%40.0%50.8%
IV Percentile78.1%66.3%91.7%80.2%91.7%
Term Structure0.7%-2.4%5.6%-2.4%-1.9%
VWIV67.1%60.3%81.0%68.7%81.0%
Skew 25d4.9%-15.3%32.6%-11.7%0.8%
Skew 10d11.8%-14.1%52.3%-8.6%2.3%
Call IV 25d64.8%45.7%80.8%66.6%80.8%
Put IV 25d69.7%52.0%81.6%54.9%81.6%
Bid-Ask Spread %8.184.0817.319.887.91
Gamma HHI0.290.250.340.330.25
Net GEX-107.1K-127.5K-61.2K-120.0K-61.2K
Net DEX23.4M21.1M26.4M23.4M24.2M
Net VEX-163.0K-189.2K-128.4K-165.8K-128.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.071.741.051.74
Total Volume2,518.1584607,6663,4731,646
Total OI131,520.263123,088141,600128,427124,839

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$6.75$7.5068.7%19.7%110.4%40.0%68.7%-11.7%-2.4%-120.0K23.4M-165.8K1.059.881,6931,78061,59566,832
2009-02-03$6.82$7.5067.8%19.4%110.5%39.2%67.5%-9.4%-1.9%-119.9K23.9M-165.8K1.1911.091,4601,74362,37567,824
2009-02-04$6.63$7.5070.0%20.1%108.0%41.2%70.0%-15.3%-1.9%-114.4K23.4M-159.9K0.7812.381,5761,23563,15868,598
2009-02-05$6.89$7.5062.3%17.8%109.7%33.8%62.3%1.3%3.8%-121.8K23.5M-171.8K0.1417.311,29917863,45068,545
2009-02-06$7.33$10.0061.1%18.3%112.7%32.7%62.3%9.2%0.8%-124.0K21.3M-189.2K0.496.671,49572763,72668,488
2009-02-09$7.18$10.0066.7%18.5%111.8%38.1%65.9%7.2%1.3%-124.8K22.1M-175.8K0.465.5285739464,24268,761
2009-02-10$7.20$10.0064.4%19.1%111.8%35.9%66.8%7.9%-0.9%-127.5K21.8M-178.6K0.555.6996453364,16168,431
2009-02-11$7.20$10.0058.2%18.5%111.5%29.9%60.3%10.1%0.7%-125.8K22.2M-176.1K0.926.1092384764,76968,513
2009-02-12$7.33$10.0064.7%18.5%111.0%36.2%65.6%32.6%1.3%-124.3K21.1M-182.3K0.645.7043627865,25968,889
2009-02-13$7.29$10.0063.0%18.1%110.0%33.6%62.5%10.2%1.4%-120.7K21.1M-183.4K0.765.591,5871,21365,63968,933
2009-02-17$6.95$10.0067.4%19.3%109.5%37.9%67.2%-0.4%-0.6%-109.1K22.9M-173.3K0.436.063,1251,34266,24369,120
2009-02-18$6.69$10.0068.1%19.5%108.7%38.5%68.2%-10.2%-2.0%-113.9K24.9M-162.6K0.077.294,33229168,50870,259
2009-02-19$6.68$10.0066.7%19.1%107.8%37.2%66.8%15.4%-0.6%-105.2K24.9M-167.2K0.395.511,61763671,37570,225
2009-02-20$6.52$10.0066.5%19.1%87.4%37.0%66.9%10.4%0.8%-100.2K26.4M-147.4K0.097.587,02564169,62169,864
2009-02-23$6.45$10.0068.8%19.7%54.2%39.2%69.1%9.7%1.9%-93.6K23.7M-152.6K0.0910.522,26421057,11565,973
2009-02-24$6.57$10.0059.9%17.2%55.1%30.6%60.4%18.8%5.6%-89.5K24.2M-151.4K0.276.993639758,27966,051
2009-02-25$6.07$10.0077.3%22.2%56.2%47.5%72.0%4.3%4.2%-71.5K24.9M-132.1K0.2313.542,02146858,44065,935
2009-02-26$6.12$10.0074.4%21.3%53.1%44.6%70.9%2.2%4.2%-68.1K24.6M-132.4K0.404.0839115859,16465,686
2009-02-27$5.89$10.0080.8%23.2%51.5%50.8%81.0%0.8%-1.9%-61.2K24.2M-128.4K1.747.916011,04559,30465,535