LUV Options History — March 2009

In March 2009, LUV traded between $5.01 and $6.45. ATM implied volatility averaged 84.7%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 24.5%. IV traded above realized volatility by 27.4% (HV 20d: 57.3%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-03-03: Highest Volume — 7,315 contracts
  • 2009-03-27: Largest IV spike — 31.2% change
  • 2009-03-30: Highest IV Rank — 70.1%
  • 2009-03-30: Largest Expected Move — 28.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.70$5.01$6.45$5.52$6.33
Max Pain$5.91$5.00$10.00$10.00$5.00
ATM IV84.7%69.1%100.6%89.8%74.7%
Expected Move24.5%19.8%28.9%25.7%21.4%
HV 20d57.3%47.1%65.8%54.7%53.9%
HV 60d78.2%76.4%79.6%79.0%78.5%
IV Rank54.6%39.5%70.1%59.5%44.9%
IV Percentile90.8%71.4%98.0%95.2%77.4%
Term Structure-4.9%-13.2%6.8%-8.1%-5.9%
VWIV80.3%69.7%88.8%88.7%75.3%
Skew 25d10.8%-4.4%30.0%30.0%26.5%
Skew 10d18.1%-6.0%41.3%39.6%41.3%
Call IV 25d72.6%53.0%84.9%59.8%53.0%
Put IV 25d83.3%76.3%89.8%89.8%79.5%
Bid-Ask Spread %11.615.5826.995.8422.67
Gamma HHI0.260.230.290.230.27
Net GEX-38.9K-56.0K-9.5K-53.8K-9.5K
Net DEX21.3M15.5M25.1M24.5M16.4M
Net VEX-112.6K-144.1K-95.4K-111.6K-132.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.094.210.170.49
Total Volume2,174.4094817,3152,3871,742
Total OI123,833.864103,655134,045125,888110,598

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$5.52$10.0089.8%25.7%54.7%59.5%88.7%30.0%-8.1%-53.8K24.5M-111.6K0.175.842,03435359,36366,525
2009-03-03$5.23$10.0083.2%23.9%55.8%53.2%75.8%17.3%-0.8%-44.4K24.3M-95.7K3.586.381,5975,71859,50366,139
2009-03-04$5.22$10.0076.2%21.8%55.3%46.4%76.3%12.3%6.8%-56.0K25.1M-99.6K1.785.775871,04660,09570,644
2009-03-05$5.01$10.0083.8%24.0%55.9%53.7%83.7%10.2%-0.5%-52.4K23.8M-95.4K0.727.491,6041,15759,97368,955
2009-03-06$5.13$5.0084.8%24.3%54.3%54.7%84.7%-4.4%-6.7%-45.1K23.8M-97.5K0.846.8133127861,36268,806
2009-03-09$5.17$5.0082.8%25.0%47.1%52.8%87.1%-2.9%-7.5%-42.9K23.4M-99.1K0.737.3597971461,45068,965
2009-03-10$5.46$5.0078.8%23.7%53.5%49.0%82.1%3.4%-4.3%-43.8K23.9M-99.0K1.447.5655780061,95669,361
2009-03-11$5.45$5.0079.0%24.5%53.4%49.1%80.6%5.3%-7.1%-46.7K24.3M-102.3K1.605.5851882961,87269,610
2009-03-12$5.59$5.0084.5%24.2%55.0%54.5%84.5%8.6%-3.9%-47.3K23.8M-104.4K0.637.182,2401,41662,03469,755
2009-03-13$5.72$5.0084.4%24.2%55.4%54.3%81.6%2.7%-3.6%-47.2K23.1M-113.8K0.2212.4790619662,80770,157
2009-03-16$5.52$5.0087.1%25.0%55.9%56.9%79.5%18.0%-5.7%-45.1K23.2M-104.1K0.397.381,36153363,01370,200
2009-03-17$5.82$5.0088.1%25.3%59.1%57.9%77.8%14.5%-8.6%-46.1K23.9M-110.8K0.1411.482,31631563,55670,417
2009-03-18$5.88$5.0084.6%24.3%58.5%54.5%74.6%8.5%-6.0%-42.1K22.2M-115.0K0.2526.9994523264,78168,671
2009-03-19$5.77$5.0085.3%24.4%58.6%55.2%80.1%16.6%-6.1%-42.0K22.2M-113.5K0.1621.695228665,13668,831
2009-03-20$5.60$5.0087.6%25.1%58.8%57.5%87.6%5.0%-5.8%-41.8K21.8M-110.1K4.217.562951,24165,18568,860
2009-03-23$6.04$5.0092.0%26.4%65.8%61.7%73.1%16.1%-5.8%-46.0K17.6M-118.2K0.2110.042,27647446,57557,080
2009-03-24$5.92$5.0089.5%25.7%65.5%59.3%88.8%10.1%-6.8%-37.3K17.1M-121.7K0.0910.311,42412548,36757,308
2009-03-25$6.14$5.0087.1%25.0%60.9%57.0%81.7%12.0%-1.6%-27.4K16.7M-127.0K0.1816.113,41862549,45857,387
2009-03-26$6.45$5.0069.1%19.8%63.3%39.5%69.7%10.5%4.2%-10.5K15.5M-144.1K0.2312.153,26174350,81457,705
2009-03-27$6.23$5.0090.7%26.0%63.0%60.4%78.4%2.7%-13.2%-12.8K16.1M-134.2K0.2423.711,26030252,00458,361
2009-03-30$6.17$5.00100.6%28.9%58.0%70.1%74.6%13.8%-10.3%-15.4K16.8M-128.7K0.1413.014235852,09658,610
2009-03-31$6.33$5.0074.7%21.4%53.9%44.9%75.3%26.5%-5.9%-9.5K16.4M-132.4K0.4922.671,17057251,95458,644