LUV Options History — April 2009

In April 2009, LUV traded between $6.43 and $7.64. ATM implied volatility averaged 68.8%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded below realized volatility by 3.2% (HV 20d: 72.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2009-04-15: Highest Volume — 18,122 contracts
  • 2009-04-28: Largest IV drop — 15.2% change
  • 2009-04-06: Highest IV Rank — 53.0%
  • 2009-04-15: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.16$6.43$7.64$6.43$6.98
Max Pain$7.26$5.00$7.50$5.00$7.50
ATM IV68.8%54.4%83.0%66.3%63.3%
Expected Move19.2%15.6%23.6%19.0%18.2%
HV 20d72.0%53.8%82.3%53.8%82.3%
HV 60d75.5%63.9%83.6%78.4%66.0%
IV Rank39.2%25.2%53.0%36.8%33.9%
IV Percentile65.9%41.3%86.1%65.1%57.9%
Term Structure-1.3%-7.8%4.5%0.8%1.7%
VWIV67.8%54.2%81.4%69.0%70.2%
Skew 25d16.3%3.8%39.4%20.4%17.0%
Skew 10d26.1%-3.1%59.1%31.4%20.7%
Call IV 25d62.6%37.5%79.7%70.5%57.5%
Put IV 25d78.9%67.2%108.1%90.9%74.5%
Bid-Ask Spread %12.425.8623.895.8619.33
Gamma HHI0.480.300.690.300.35
Net GEX94.9K-1.3K267.7K-1.3K50.3K
Net DEX12.9M7.7M16.8M16.7M15.4M
Net VEX-168.9K-185.2K-136.3K-136.3K-160.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.045.755.752.03
Total Volume4,758.2381,50718,1221,8713,590
Total OI125,317.571111,195136,125111,195136,125

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$6.43$5.0066.3%19.0%53.8%36.8%69.0%20.4%0.8%-1.3K16.7M-136.3K5.755.862771,59452,55458,641
2009-04-02$7.05$5.0069.2%19.8%57.5%39.6%69.3%39.4%-0.9%25.3K14.1M-162.8K0.0810.016,27247652,62959,049
2009-04-03$6.86$7.5077.9%19.5%59.5%48.0%71.5%34.2%-3.1%51.7K14.7M-153.3K0.4123.892,12186356,03559,314
2009-04-06$7.34$7.5083.0%21.2%62.3%53.0%72.7%14.0%-7.8%83.0K11.4M-178.8K0.258.374,3781,08756,91659,984
2009-04-07$6.75$7.5080.4%20.4%70.3%50.4%71.8%10.2%-2.6%58.9K13.6M-158.0K0.2216.012,06745558,12460,514
2009-04-08$7.01$7.5077.8%20.6%70.8%47.9%72.0%13.9%-3.9%94.2K12.7M-165.8K0.049.052,77410858,88660,790
2009-04-09$7.38$7.5074.0%21.2%72.0%44.2%74.9%12.1%-4.7%154.1K10.3M-180.9K0.0411.396,01927059,99360,894
2009-04-13$7.35$7.5075.6%21.7%72.2%45.8%75.3%12.0%-7.0%165.2K10.3M-181.6K0.4410.731,53067962,24961,044
2009-04-14$7.27$7.5074.0%21.2%70.5%44.2%74.1%5.3%-6.6%160.7K10.9M-174.7K0.4614.721,25357162,50361,556
2009-04-15$7.64$7.5082.2%23.6%70.3%52.2%81.4%8.1%-6.3%163.0K7.7M-185.2K2.3113.405,47012,65263,24861,962
2009-04-16$7.10$7.5072.4%20.7%76.8%42.7%73.2%14.1%-4.1%213.6K14.1M-164.9K0.597.906,7374,00463,94668,939
2009-04-17$7.20$7.5063.1%18.1%76.0%33.7%63.6%3.8%0.5%267.7K13.7M-169.4K0.4711.411,75481865,17270,558
2009-04-20$7.01$7.5066.0%18.9%75.8%36.5%66.6%8.2%-1.5%6.8K15.5M-155.1K0.0911.751,60113956,75666,601
2009-04-21$7.53$7.5062.1%17.8%75.4%32.7%62.5%12.7%0.6%42.3K11.6M-183.2K0.1016.815,97958057,73666,648
2009-04-22$7.47$7.5062.0%17.8%74.8%32.6%61.8%6.1%1.3%83.2K11.3M-182.6K1.009.352,8072,81261,27766,807
2009-04-23$7.43$7.5059.9%17.2%74.5%30.6%58.2%22.3%2.6%88.4K11.9M-183.8K0.719.0488062762,18968,160
2009-04-24$7.59$7.5059.1%16.9%73.1%29.8%54.2%31.6%3.0%94.5K11.2M-184.1K0.599.251,47186262,06368,534
2009-04-27$6.88$7.5064.1%18.4%81.1%34.6%64.1%15.7%4.5%36.2K16.8M-149.8K0.3312.166,0011,96662,73069,083
2009-04-28$6.95$7.5054.4%15.6%80.9%25.2%59.6%20.9%3.6%86.6K13.7M-164.9K0.1719.953,42558265,57770,386
2009-04-29$7.20$7.5057.6%16.5%81.3%28.3%57.8%20.7%3.5%69.3K14.6M-170.9K0.5110.421,57280065,16570,332
2009-04-30$6.98$7.5063.3%18.2%82.3%33.9%70.2%17.0%1.7%50.3K15.4M-160.5K2.0319.331,1832,40765,50970,616