LUV Options History — October 2009

In October 2009, LUV traded between $8.40 and $10.04. ATM implied volatility averaged 52.2%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 9.2% (HV 20d: 43.0%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2009-10-14: Highest Volume — 15,634 contracts
  • 2009-10-15: Largest IV drop — 38.2% change
  • 2009-10-14: Highest IV Rank — 48.3%
  • 2009-10-02: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.12$8.40$10.04$8.99$8.40
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV52.2%38.9%75.5%56.6%43.4%
Expected Move13.4%11.1%16.7%16.2%12.5%
HV 20d43.0%38.5%47.9%39.8%40.6%
HV 60d41.2%39.0%42.4%41.2%39.0%
IV Rank30.2%20.2%48.3%30.9%26.0%
IV Percentile34.8%8.3%78.6%41.7%21.0%
Term Structure-0.3%-7.3%4.3%-5.5%3.0%
VWIV45.9%38.5%58.2%57.2%44.5%
Skew 25d4.4%-2.3%13.3%0.2%-2.3%
Skew 10d10.7%-1.1%26.7%11.3%0.9%
Call IV 25d44.0%31.7%58.1%58.1%42.0%
Put IV 25d48.4%38.3%60.3%58.3%39.7%
Bid-Ask Spread %13.728.2219.5516.5217.23
Gamma HHI0.300.210.470.300.22
Net GEX1.2M223.4K2.7M1.6M228.2K
Net DEX-10.5M-56.5M15.6M-12.2M15.6M
Net VEX-218.3K-276.4K-152.2K-270.3K-152.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.271.721.020.92
Total Volume3,560.13667715,6342,6321,642
Total OI224,943.5173,946272,797262,585179,243

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$8.99$9.0056.6%16.2%39.8%30.9%57.2%0.2%-5.5%1.6M-12.2M-270.3K1.0216.521,3001,332184,28478,301
2009-10-02$9.20$9.0058.3%16.7%39.0%32.5%58.2%8.4%-7.3%1.8M-18.5M-276.4K0.6310.721,460920184,36178,059
2009-10-05$9.08$9.0068.7%15.5%38.8%42.0%52.7%7.5%-2.2%1.7M-14.1M-260.7K0.5518.453,1221,726184,73078,120
2009-10-06$9.16$9.0066.9%15.6%38.9%40.4%51.2%4.3%-3.6%1.8M-16.2M-262.4K0.7219.55940680185,44778,671
2009-10-07$9.20$9.0067.5%15.4%38.5%41.0%52.6%6.7%-2.7%1.8M-17.9M-265.4K0.6612.861,171769185,48378,887
2009-10-08$9.72$9.0055.8%14.2%39.5%30.2%49.1%3.9%-2.0%2.4M-39.6M-275.2K0.9610.452,1292,048185,94679,298
2009-10-09$9.61$9.0056.6%13.8%39.7%30.9%49.1%5.3%-1.5%2.4M-34.4M-272.4K0.9715.53990965186,17079,256
2009-10-12$9.54$9.0066.5%14.5%39.1%40.0%50.6%5.0%-2.4%2.4M-30.0M-254.3K0.3715.091,290471185,79979,475
2009-10-13$9.58$9.0071.0%13.9%38.7%44.2%48.3%3.4%-0.3%2.5M-32.4M-255.1K1.3412.399831,320186,02579,530
2009-10-14$10.04$9.0075.5%13.9%41.7%48.3%49.1%6.7%-1.3%2.7M-56.5M-258.7K0.4919.4410,5025,132186,36480,101
2009-10-15$9.47$9.0046.6%13.4%46.3%21.7%43.2%4.8%-0.6%1.4M-23.9M-217.8K1.729.651,8573,200192,34579,210
2009-10-16$9.25$9.0042.8%12.3%47.0%25.2%42.5%1.0%2.7%1.6M-18.2M-210.9K1.3015.422,1662,815192,56780,230
2009-10-19$9.19$9.0042.9%12.3%46.8%25.3%42.2%7.8%-0.6%443.2K252.6K-197.6K0.2711.692,580705102,38971,557
2009-10-20$9.26$9.0040.6%11.7%46.0%22.5%39.7%4.2%1.9%474.5K-939.6K-199.2K0.678.501,283861103,33871,680
2009-10-21$8.85$9.0039.4%11.3%47.9%20.9%38.5%4.6%2.4%356.2K6.9M-176.2K0.5312.083,6761,961103,42872,009
2009-10-22$8.95$9.0038.9%11.1%47.8%20.2%38.7%1.0%1.4%365.3K6.2M-180.2K0.818.221,3291,071103,28672,761
2009-10-23$8.84$9.0039.4%11.3%47.4%20.8%39.6%3.5%1.9%337.0K7.8M-172.5K1.0711.121,0871,164102,99272,323
2009-10-26$8.80$9.0041.4%11.9%46.9%23.4%40.4%-1.0%3.7%327.8K8.1M-170.8K0.4618.471,673775102,78072,680
2009-10-27$8.65$9.0039.4%11.3%47.0%20.8%39.1%13.3%4.3%281.3K10.8M-163.6K0.3514.361,719610103,15473,338
2009-10-28$8.49$9.0045.9%13.2%47.3%29.2%42.8%5.0%-1.7%234.1K13.8M-157.1K0.5511.18436241103,26373,191
2009-10-29$8.47$9.0044.4%12.7%41.7%27.3%40.9%3.3%2.9%223.4K14.8M-152.2K0.5612.983,9872,235103,38973,297
2009-10-30$8.40$9.0043.4%12.5%40.6%26.0%44.5%-2.3%3.0%228.2K15.6M-152.6K0.9217.23856786105,88373,360