LUV Options History — September 2009

In September 2009, LUV traded between $8.02 and $9.88. ATM implied volatility averaged 51.5%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 15.0% (HV 20d: 36.5%). Max pain ranged from $7.50 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2009-09-17: Highest Volume — 51,753 contracts
  • 2009-09-10: Largest IV spike — 27.5% change
  • 2009-09-17: Highest IV Rank — 32.2%
  • 2009-09-17: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.28$8.02$9.88$8.02$9.60
Max Pain$8.69$7.50$9.00$7.50$9.00
ATM IV51.5%39.4%58.0%53.9%52.9%
Expected Move15.2%11.9%16.6%15.5%15.2%
HV 20d36.5%29.9%42.1%37.7%29.9%
HV 60d40.1%38.5%41.3%40.4%38.5%
IV Rank26.2%15.0%32.2%28.5%27.5%
IV Percentile31.3%8.3%46.0%35.7%33.3%
Term Structure-4.0%-8.6%8.9%-2.8%-3.2%
VWIV53.0%42.1%61.5%52.7%54.1%
Skew 25d5.8%-1.5%25.1%2.9%-1.5%
Skew 10d11.2%-11.7%27.0%4.9%-11.7%
Call IV 25d50.6%25.5%60.3%51.1%53.7%
Put IV 25d56.4%50.6%62.1%54.0%52.2%
Bid-Ask Spread %13.668.3718.759.8011.85
Gamma HHI0.340.250.470.300.29
Net GEX1.5M185.8K2.2M259.9K2.1M
Net DEX-31.2M-56.5M8.7M8.7M-37.2M
Net VEX-272.4K-329.0K-154.0K-154.0K-302.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.023.033.032.83
Total Volume9,983.3332,10651,75310,2633,253
Total OI219,765.143142,812270,463142,812261,408

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$8.02$7.5053.9%15.5%37.7%28.5%52.7%2.9%-2.8%259.9K8.7M-154.0K3.039.802,5467,71781,38661,426
2009-09-02$8.13$7.5052.2%15.0%35.5%26.8%50.6%25.1%-1.1%185.8K8.0M-167.4K2.029.782,0074,05381,67967,795
2009-09-03$8.41$7.5041.5%11.9%37.6%17.0%42.1%10.6%8.9%261.3K3.8M-180.2K0.0215.4733,39079682,16169,634
2009-09-04$8.60$8.0040.4%14.7%38.7%16.0%49.3%6.0%-3.7%788.1K-7.1M-222.9K0.0615.3318,9251,150112,70470,216
2009-09-08$8.65$8.0039.4%15.2%37.8%15.0%50.4%5.4%-5.9%1.1M-12.0M-235.8K0.4118.754,4171,821129,21370,615
2009-09-09$8.81$9.0040.1%14.6%38.4%15.7%50.3%7.2%-3.0%1.3M-16.8M-243.5K1.039.561,2121,248132,19571,144
2009-09-10$9.25$9.0051.1%14.6%42.1%25.8%49.7%8.0%-3.5%1.5M-28.9M-260.8K0.318.793,7591,151132,65171,878
2009-09-11$9.34$9.0052.1%14.9%41.2%26.8%51.3%7.6%-3.5%1.6M-33.7M-267.2K0.5216.072,4711,289133,72672,892
2009-09-14$9.54$9.0054.2%15.5%41.3%28.7%58.1%8.1%-6.8%1.1M-39.7M-267.6K0.0815.219,710818134,05072,882
2009-09-15$9.70$9.0052.8%15.1%37.9%27.4%53.2%4.6%-4.7%1.6M-50.2M-282.4K0.3812.677,0752,689141,01173,389
2009-09-16$9.88$9.0053.9%15.4%38.1%28.4%54.6%5.7%-5.9%1.7M-55.7M-287.1K0.2516.6410,9902,786143,85975,654
2009-09-17$9.70$9.0058.0%16.6%35.0%32.2%61.5%1.8%-7.6%1.7M-52.0M-294.4K0.0714.5848,5563,197149,05476,407
2009-09-18$9.68$9.0057.7%16.5%35.1%31.9%57.5%2.1%-8.6%2.2M-56.5M-329.0K0.5317.243,4561,838191,78178,682
2009-09-21$9.77$9.0057.5%16.5%34.7%31.7%58.1%5.7%-6.3%1.9M-45.8M-327.0K0.9210.351,6621,531175,45470,330
2009-09-22$9.50$9.0057.1%16.4%35.1%31.4%55.9%1.7%-6.1%1.8M-35.8M-312.4K0.3916.702,8351,099176,57871,573
2009-09-23$9.68$9.0051.9%14.9%34.7%26.6%52.0%1.1%-2.1%2.0M-43.5M-323.2K0.7113.573,5042,495178,72872,279
2009-09-24$9.49$9.0055.2%15.8%35.5%29.6%52.5%3.2%-5.8%1.9M-34.5M-311.5K0.7117.172,3181,652181,38774,163
2009-09-25$9.65$9.0052.5%15.1%34.7%27.2%53.1%5.9%-3.7%2.0M-39.8M-324.7K0.6017.652,7511,651181,99975,241
2009-09-28$9.78$9.0053.4%15.3%34.8%27.9%52.5%0.7%-2.9%2.2M-46.4M-318.4K0.2311.301,714392182,85975,657
2009-09-29$9.66$9.0053.9%15.4%31.1%28.4%52.4%8.8%-4.7%2.1M-39.8M-308.5K0.918.371,9541,772183,51975,809
2009-09-30$9.60$9.0052.9%15.2%29.9%27.5%54.1%-1.5%-3.2%2.1M-37.2M-302.2K2.8311.858502,403184,08377,325