LUV Options History — June 2009

In June 2009, LUV traded between $6.25 and $7.04. ATM implied volatility averaged 42.9%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 10.0% (HV 20d: 32.9%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2009-06-10: Highest Volume — 8,841 contracts
  • 2009-06-11: Largest IV spike — 57.6% change
  • 2009-06-15: Highest IV Rank — 28.5%
  • 2009-06-15: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.66$6.25$7.04$6.88$6.73
Max Pain$7.09$7.00$7.50$7.50$7.00
ATM IV42.9%23.1%53.9%52.4%35.1%
Expected Move13.4%10.1%15.5%15.0%10.1%
HV 20d32.9%27.5%40.0%40.0%31.0%
HV 60d56.9%51.6%60.1%60.0%51.6%
IV Rank16.5%0.0%28.5%17.8%11.1%
IV Percentile16.7%0.0%34.9%32.1%1.6%
Term Structure5.7%-0.6%12.0%-0.6%10.9%
VWIV46.2%35.8%52.0%52.0%35.8%
Skew 25d4.6%-14.0%14.8%8.4%14.0%
Skew 10d6.0%-14.1%22.7%12.2%22.7%
Call IV 25d42.8%34.9%51.3%51.3%34.9%
Put IV 25d47.4%31.9%59.7%59.7%48.9%
Bid-Ask Spread %12.816.3420.958.2717.92
Gamma HHI0.210.140.350.250.29
Net GEX49.1K10.9K109.4K52.6K95.8K
Net DEX17.6M14.9M20.4M16.9M15.2M
Net VEX-119.2K-140.4K-100.0K-132.5K-106.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.121.560.370.66
Total Volume1,9136048,8412,0431,699
Total OI137,538.273110,109154,094142,228114,631

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$6.88$7.5052.4%15.0%40.0%17.8%52.0%8.4%-0.6%52.6K16.9M-132.5K0.378.271,48755670,51871,710
2009-06-02$7.04$7.5046.0%13.2%37.4%11.0%47.0%-10.4%4.1%103.1K15.9M-140.4K0.549.492,0871,11871,32371,983
2009-06-03$6.97$7.5042.1%12.1%37.3%7.0%41.7%-9.4%6.2%109.4K17.0M-135.1K1.246.341,8812,33872,24972,591
2009-06-04$6.86$7.5045.4%13.0%37.2%10.4%46.4%-14.0%0.0%88.0K17.1M-134.0K0.948.0067463373,05073,323
2009-06-05$6.89$7.0023.1%13.5%34.8%0.0%46.0%7.4%3.9%64.6K18.2M-129.7K0.9620.9598694473,13073,653
2009-06-08$6.82$7.0026.7%14.4%33.9%3.3%48.5%2.0%2.3%39.3K18.5M-128.9K0.3817.761,56159372,74474,050
2009-06-09$6.81$7.0027.4%13.3%32.7%4.0%46.3%0.4%3.7%26.5K19.6M-122.9K0.4316.5448120773,14974,191
2009-06-10$6.65$7.0030.2%13.1%33.6%6.6%46.6%4.2%10.2%25.7K20.4M-113.2K0.2712.106,9781,86373,50274,249
2009-06-11$6.64$7.0047.6%13.7%31.7%22.7%47.6%11.0%8.2%29.9K19.0M-124.6K0.4714.071,06550579,16774,563
2009-06-12$6.61$7.0044.9%12.9%31.6%20.2%45.1%14.8%11.6%27.7K19.3M-121.1K0.4011.3043217277,92274,607
2009-06-15$6.48$7.0053.9%15.5%32.1%28.5%46.9%10.4%1.9%13.2K19.8M-111.2K0.4112.9748620078,25674,754
2009-06-16$6.43$7.0052.2%15.0%29.2%26.9%47.8%8.6%2.8%10.9K19.7M-112.1K0.1317.437519578,47974,694
2009-06-17$6.62$7.0048.6%13.9%31.6%23.5%48.6%12.3%6.4%31.9K18.9M-117.5K0.3614.3083130279,02874,454
2009-06-18$6.64$7.0048.9%14.0%30.9%23.8%48.9%10.2%5.6%42.2K18.6M-120.7K0.3214.5363020279,10074,556
2009-06-19$6.64$7.0042.8%12.3%29.7%18.2%42.2%11.8%12.0%53.0K19.4M-113.1K0.2912.6874021679,41274,682
2009-06-22$6.36$7.0049.4%14.2%33.2%24.2%50.4%-0.3%4.5%44.1K15.6M-109.4K1.5612.788721,35757,11652,993
2009-06-23$6.25$7.0052.4%15.0%31.1%27.1%50.9%-0.9%4.8%22.8K16.5M-100.0K0.618.8390755257,35153,753
2009-06-24$6.31$7.0049.3%14.1%27.5%24.2%47.7%2.1%4.7%28.8K15.6M-108.0K0.2310.6192121057,89353,898
2009-06-25$6.62$7.0039.8%11.4%32.5%15.4%40.1%6.4%8.8%53.8K14.9M-114.7K0.6611.641,19579358,33253,900
2009-06-26$6.56$7.0045.0%12.9%32.4%20.2%44.6%0.4%6.2%52.9K15.0M-115.2K0.1211.546077458,96454,477
2009-06-29$6.67$7.0040.8%11.7%32.1%16.4%44.9%11.2%7.4%65.0K15.0M-110.6K0.2011.841,57730859,11954,326
2009-06-30$6.73$7.0035.1%10.1%31.0%11.1%35.8%14.0%10.9%95.8K15.2M-106.6K0.6617.921,02267760,30354,328