LUV Options History — August 2009

In August 2009, LUV traded between $8.18 and $9.24. ATM implied volatility averaged 42.3%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 0.6% (HV 20d: 43.0%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2009-08-04: Highest Volume — 12,466 contracts
  • 2009-08-07: Largest IV drop — 10.5% change
  • 2009-08-06: Highest IV Rank — 22.0%
  • 2009-08-10: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.74$8.18$9.24$8.36$8.18
Max Pain$7.40$7.00$7.50$7.00$7.50
ATM IV42.3%38.5%47.0%38.8%42.3%
Expected Move12.3%11.0%13.6%11.1%12.1%
HV 20d43.0%39.3%47.1%42.6%40.6%
HV 60d39.1%38.5%40.2%38.5%40.2%
IV Rank17.8%14.2%22.0%14.5%17.7%
IV Percentile15.1%7.5%24.2%7.5%14.3%
Term Structure3.1%-2.2%8.4%0.8%6.8%
VWIV42.7%34.6%47.6%37.4%34.6%
Skew 25d3.2%-9.2%12.3%1.6%0.1%
Skew 10d8.8%-11.7%31.6%0.4%8.4%
Call IV 25d42.0%34.1%47.5%36.5%40.9%
Put IV 25d45.2%35.6%50.9%38.2%41.0%
Bid-Ask Spread %11.116.6418.1812.606.64
Gamma HHI0.320.220.380.380.35
Net GEX390.3K296.3K486.2K379.6K297.9K
Net DEX-8.5M-19.7M5.0M-5.0M5.0M
Net VEX-182.2K-200.1K-154.5K-154.5K-157.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.021.860.411.53
Total Volume3,856.85757212,4667,2541,846
Total OI144,539133,183155,402133,183142,966

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$8.36$7.0038.8%11.1%42.6%14.5%37.4%1.6%0.8%379.6K-5.0M-154.5K0.4112.605,1612,09377,01156,172
2009-08-04$8.72$7.0042.5%12.2%42.4%17.9%43.0%12.3%-0.6%302.9K-10.4M-171.2K0.0914.1811,4091,05777,50856,289
2009-08-05$9.03$7.0043.4%12.4%42.9%18.7%43.8%-9.2%0.5%374.4K-15.7M-187.6K0.128.778,6691,04280,75656,488
2009-08-06$9.15$7.0047.0%13.5%41.2%22.0%45.6%-3.7%-2.2%452.3K-19.0M-192.9K0.439.392,7981,19284,87957,028
2009-08-07$9.11$7.5042.0%13.0%41.9%17.5%44.8%5.8%2.0%479.2K-18.6M-199.8K0.2215.275,2371,15985,47057,707
2009-08-10$8.87$7.5045.5%13.6%44.1%20.6%47.6%5.2%-0.8%425.2K-13.1M-190.4K0.6810.751,33590383,43657,908
2009-08-11$8.91$7.5041.9%12.9%44.1%17.4%44.7%2.3%2.1%428.8K-13.8M-189.7K0.3014.933,9531,19483,98958,266
2009-08-12$9.01$7.5041.7%12.4%43.3%17.2%43.8%2.5%3.8%486.2K-16.5M-190.5K0.3610.521,83565686,50859,045
2009-08-13$9.24$7.5045.8%13.1%43.3%20.9%45.5%5.8%1.2%466.7K-19.7M-198.1K1.698.373,5716,05186,95259,550
2009-08-14$9.08$7.5043.0%12.3%44.1%18.3%43.1%4.6%2.9%430.5K-15.8M-200.1K0.049.494,40415787,50064,740
2009-08-17$8.70$7.5044.3%12.7%47.1%19.6%44.3%-3.1%3.0%473.5K-10.3M-193.2K0.9210.3390082790,68664,716
2009-08-18$8.82$7.5043.4%12.4%39.3%18.8%45.0%1.1%2.6%437.5K-12.3M-196.2K0.2010.374759790,30364,958
2009-08-19$8.46$7.5044.0%12.6%43.7%19.3%46.8%2.1%3.6%371.7K-4.8M-178.4K0.1210.172,63930889,89164,511
2009-08-20$8.49$7.5040.0%11.5%43.1%15.6%40.2%6.0%6.7%355.9K-5.1M-177.3K0.6211.3953533489,57564,319
2009-08-21$8.68$7.5042.0%12.0%41.4%17.4%42.2%2.4%1.4%385.3K-8.2M-183.8K0.378.1791633789,56764,329
2009-08-24$8.47$7.5042.8%12.3%42.8%18.2%44.1%1.9%4.7%296.3K1.2M-173.8K0.3018.181,76152978,31260,072
2009-08-25$8.68$7.5039.5%11.3%43.2%15.1%40.3%3.8%5.1%340.1K-1.1M-175.3K0.399.111,26849179,39660,560
2009-08-26$8.60$7.5038.5%11.0%43.3%14.2%41.3%10.9%7.1%355.6K-162.8K-175.5K1.868.3833462180,34560,665
2009-08-27$8.45$7.5041.0%11.7%44.1%16.5%39.1%6.2%8.4%322.4K3.0M-166.6K0.7013.4433923780,31761,073
2009-08-28$8.51$7.5039.9%11.4%43.9%15.5%39.6%8.8%5.4%333.4K1.4M-173.7K0.0212.972,2863880,40761,149
2009-08-31$8.18$7.5042.3%12.1%40.6%17.7%34.6%0.1%6.8%297.9K5.0M-157.6K1.536.647301,11681,81461,152