LUV Options History — May 2009

In May 2009, LUV traded between $6.60 and $7.52. ATM implied volatility averaged 55.2%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 2.3% (HV 20d: 57.6%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2009-05-04: Highest Volume — 7,270 contracts
  • 2009-05-13: Largest IV drop — 32.4% change
  • 2009-05-12: Highest IV Rank — 38.5%
  • 2009-05-13: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.03$6.60$7.52$7.06$6.74
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV55.2%46.0%68.0%50.4%61.1%
Expected Move16.1%13.5%17.5%14.5%17.5%
HV 20d57.6%39.5%76.4%75.6%39.5%
HV 60d64.1%60.6%65.9%65.8%60.6%
IV Rank23.1%12.3%38.5%21.4%26.8%
IV Percentile40.6%23.4%64.7%34.9%50.4%
Term Structure1.2%-8.7%9.6%9.6%-8.7%
VWIV56.7%47.5%64.0%50.5%59.5%
Skew 25d9.6%3.0%19.4%19.4%11.7%
Skew 10d14.8%1.6%41.8%29.4%9.0%
Call IV 25d53.1%42.8%62.6%49.4%48.0%
Put IV 25d62.7%56.1%68.8%68.8%59.7%
Bid-Ask Spread %11.427.9818.8812.078.33
Gamma HHI0.310.200.460.360.23
Net GEX62.4K4.5K170.2K58.8K33.1K
Net DEX15.5M9.3M18.9M16.5M18.3M
Net VEX-152.2K-181.6K-124.5K-159.0K-126.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.032.080.370.77
Total Volume2,145.756077,2703,389950
Total OI142,182.4134,079148,129138,336142,045

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$7.06$7.5050.4%14.5%75.6%21.4%50.5%19.4%9.6%58.8K16.5M-159.0K0.3712.072,48090966,22772,109
2009-05-04$7.38$7.5054.5%17.5%76.4%25.3%60.8%9.7%-1.0%98.6K12.6M-174.4K0.2818.885,6971,57368,23472,302
2009-05-05$7.45$7.5062.6%16.9%72.6%33.2%58.5%7.5%0.1%132.0K10.1M-181.6K0.4310.711,26354272,26572,506
2009-05-06$7.52$7.5060.4%17.1%65.4%31.1%59.9%9.2%0.7%146.4K9.3M-181.0K0.038.822,2467773,85672,680
2009-05-07$7.22$7.5053.3%16.6%66.2%24.2%57.9%4.6%1.4%136.8K13.3M-167.9K0.5211.2778740873,67572,646
2009-05-08$7.36$7.5049.2%16.5%63.9%20.2%58.6%8.7%1.7%170.2K12.3M-172.4K1.2210.6648158573,76072,730
2009-05-11$7.16$7.5059.2%17.0%64.7%29.9%60.5%3.2%1.4%149.2K13.7M-164.8K0.0610.501,5789173,91472,977
2009-05-12$7.13$7.5068.0%17.1%64.6%38.5%64.0%5.0%-0.0%124.7K14.1M-163.3K0.2315.2472417073,92472,956
2009-05-13$6.90$7.5046.0%17.5%62.6%17.1%63.5%6.8%-1.1%6.5K17.0M-150.7K0.667.981,30486474,14572,975
2009-05-14$6.95$7.5057.8%16.6%57.3%23.5%61.8%17.4%1.4%5.0K17.3M-156.7K1.1211.5183493573,77473,440
2009-05-15$6.89$7.5056.7%16.3%57.0%22.4%59.3%3.0%1.0%8.1K17.6M-147.0K1.729.116651,14274,09774,032
2009-05-18$7.12$7.5051.0%14.6%57.5%16.5%56.5%16.9%4.1%33.1K15.4M-148.1K1.928.851,2392,37365,13768,942
2009-05-19$7.08$7.5053.0%15.2%51.1%18.5%53.8%18.1%4.6%33.4K15.4M-151.5K0.769.561,23293265,93869,530
2009-05-20$6.93$7.5054.7%15.7%51.5%20.3%55.9%11.9%0.2%26.8K16.0M-146.8K0.4510.701,72477666,80769,614
2009-05-21$6.76$7.5049.2%14.1%52.1%14.5%54.9%8.1%5.7%13.4K17.9M-134.8K0.7613.791,01577567,93470,096
2009-05-22$6.70$7.5056.3%16.1%51.1%21.8%52.5%6.3%-0.8%13.1K18.2M-133.5K2.0813.2619741068,26370,748
2009-05-26$6.91$7.5047.2%13.5%39.6%12.3%47.5%10.4%8.3%43.2K17.6M-134.2K0.7316.3349836268,39170,461
2009-05-27$6.60$7.5057.5%16.5%42.6%23.0%50.1%7.2%-3.2%4.5K18.8M-124.5K0.9312.701,2431,15268,79670,731
2009-05-28$6.67$7.5056.7%16.3%40.5%22.2%48.5%6.3%-1.8%11.2K18.9M-125.6K0.288.072,09758569,57371,418
2009-05-29$6.74$7.5061.1%17.5%39.5%26.8%59.5%11.7%-8.7%33.1K18.3M-126.7K0.778.3353641470,49871,547