LUV Options History — July 2009

In July 2009, LUV traded between $6.48 and $7.85. ATM implied volatility averaged 38.7%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 0.1% (HV 20d: 38.8%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2009-07-21: Highest Volume — 9,798 contracts
  • 2009-07-09: Largest IV drop — 40.8% change
  • 2009-07-07: Highest IV Rank — 29.3%
  • 2009-07-07: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.03$6.48$7.85$6.80$7.85
Max Pain$6.82$6.00$7.00$7.00$7.00
ATM IV38.7%26.0%54.9%39.7%37.9%
Expected Move12.6%9.6%15.8%11.4%10.9%
HV 20d38.8%31.2%43.2%31.2%38.2%
HV 60d42.0%37.3%49.7%49.7%37.4%
IV Rank14.4%2.7%29.3%15.3%13.6%
IV Percentile10.4%0.4%38.1%3.2%6.3%
Term Structure0.7%-4.4%7.6%7.6%1.7%
VWIV43.6%33.1%53.4%40.8%37.7%
Skew 25d7.1%-1.5%18.0%18.0%14.3%
Skew 10d13.9%1.9%35.4%27.8%22.2%
Call IV 25d39.4%25.3%51.1%36.2%30.2%
Put IV 25d46.4%28.5%58.0%54.1%44.5%
Bid-Ask Spread %12.928.3919.2515.488.64
Gamma HHI0.330.230.750.280.31
Net GEX222.0K96.6K797.9K101.3K363.3K
Net DEX11.6M2.3M15.3M14.1M2.3M
Net VEX-114.8K-145.2K-90.8K-111.1K-145.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.042.050.040.09
Total Volume3,334.8186349,7985,2673,241
Total OI121,881.773114,689131,199114,689131,199

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$6.80$7.0039.7%11.4%31.2%15.3%40.8%18.0%7.6%101.3K14.1M-111.1K0.0415.485,05521260,19354,496
2009-07-02$6.50$6.0053.3%15.3%34.6%27.9%43.2%6.9%-1.4%105.4K15.0M-106.5K0.6617.701,39792863,58154,570
2009-07-06$6.60$7.0044.9%14.6%35.1%20.1%52.2%5.1%3.3%112.7K14.9M-107.1K0.2018.9474314764,27155,293
2009-07-07$6.48$7.0054.9%15.8%35.5%29.3%51.5%6.1%-0.4%96.6K15.3M-102.7K1.139.9053960963,85955,303
2009-07-08$6.61$7.0045.8%14.7%36.3%21.0%53.4%6.9%1.2%108.0K14.8M-107.8K0.3018.073,7921,12063,74355,486
2009-07-09$6.50$7.0027.2%15.7%35.8%3.8%50.5%17.4%-1.1%108.9K14.7M-106.4K2.0510.6724650466,21655,988
2009-07-10$6.59$7.0026.8%14.6%36.2%3.4%51.3%6.1%-0.0%122.7K14.4M-108.8K0.1610.7769011266,29055,969
2009-07-13$6.80$7.0026.0%13.5%37.9%2.7%52.2%8.3%-1.3%183.1K13.2M-111.2K1.2910.4472894166,78755,924
2009-07-14$6.82$6.0029.5%13.3%37.0%6.0%46.1%3.2%-1.3%184.3K13.3M-107.9K0.4810.812,2671,07867,06156,270
2009-07-15$7.07$6.0037.9%13.8%38.7%13.7%46.8%10.9%-3.4%304.3K10.0M-121.4K1.0517.7083086869,03856,459
2009-07-16$7.07$6.0044.7%12.8%37.6%19.9%45.1%9.4%-0.5%458.1K10.0M-112.4K0.2115.471,87239269,26356,751
2009-07-17$7.02$7.0044.1%12.6%37.8%19.4%44.3%5.5%-0.1%797.9K9.9M-120.4K0.188.392,62147768,88056,182
2009-07-20$7.30$7.0046.3%13.3%39.9%21.4%45.5%-1.5%-4.4%156.4K11.0M-119.7K0.4610.752,4961,15563,31652,516
2009-07-21$6.87$7.0035.9%10.3%43.0%11.8%35.9%-0.1%-0.2%188.4K15.0M-90.8K1.009.404,8944,90464,22652,246
2009-07-22$6.92$7.0033.6%9.6%42.3%9.7%33.1%2.1%3.8%179.4K14.7M-99.1K1.388.852,7013,72865,34654,177
2009-07-23$7.13$7.0035.0%10.0%43.2%11.0%33.2%6.9%4.4%200.1K13.6M-106.3K0.3610.8246516966,57855,453
2009-07-24$7.45$7.0036.5%10.5%42.7%12.4%35.4%2.4%2.7%204.0K9.5M-122.8K0.4017.264,2781,71466,70654,775
2009-07-27$7.42$7.0040.0%11.5%42.5%15.6%38.6%1.2%0.4%213.4K9.5M-122.3K0.1619.252,78245267,71355,217
2009-07-28$7.51$7.0036.9%10.6%42.4%12.8%38.3%4.5%1.2%223.2K8.5M-123.3K0.3012.511,30438768,50254,976
2009-07-29$7.67$7.0038.4%11.0%42.7%14.1%46.4%12.8%0.6%232.8K6.6M-130.6K0.5711.952,2701,29769,14455,126
2009-07-30$7.73$7.0037.0%10.6%42.7%12.9%37.2%8.9%3.8%239.5K4.6M-140.9K0.1510.506,05890370,44255,868
2009-07-31$7.85$7.0037.9%10.9%38.2%13.6%37.7%14.3%1.7%363.3K2.3M-145.2K0.098.642,98525674,99056,209