LUV Options History — November 2009

In November 2009, LUV traded between $8.20 and $9.43. ATM implied volatility averaged 39.2%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 0.1% (HV 20d: 39.1%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2009-11-09: Highest Volume — 8,336 contracts
  • 2009-11-27: Largest IV spike — 15.0% change
  • 2009-11-02: Highest IV Rank — 29.5%
  • 2009-11-02: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.91$8.20$9.43$8.29$9.20
Max Pain$8.20$8.00$9.00$9.00$8.00
ATM IV39.2%32.0%46.2%46.2%38.0%
Expected Move11.4%9.2%13.2%13.2%10.9%
HV 20d39.1%34.6%42.7%40.6%38.5%
HV 60d39.8%38.7%40.6%39.0%39.3%
IV Rank20.6%11.5%29.5%29.5%19.2%
IV Percentile12.3%3.2%27.8%27.8%10.3%
Term Structure2.4%-0.2%4.9%3.7%1.6%
VWIV38.8%28.8%43.2%41.1%37.7%
Skew 25d0.5%-10.0%7.1%-6.3%-5.3%
Skew 10d4.2%-13.4%19.3%-5.5%-7.6%
Call IV 25d39.8%34.2%47.7%47.7%37.9%
Put IV 25d40.3%26.8%45.6%41.3%32.5%
Bid-Ask Spread %11.957.0416.1613.079.20
Gamma HHI0.290.190.380.200.38
Net GEX417.2K180.0K668.8K184.2K588.2K
Net DEX7.3M-4.4M18.6M17.9M2.7M
Net VEX-141.0K-169.8K-115.8K-142.6K-121.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.114.151.120.22
Total Volume2,625.68918,3361,5644,583
Total OI182,229.45175,820189,188179,633176,578

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$8.29$9.0046.2%13.2%40.6%29.5%41.1%-6.3%3.7%184.2K17.9M-142.6K1.1213.07739825105,91373,720
2009-11-03$8.28$9.0044.1%12.7%40.3%26.9%41.7%-1.6%4.4%196.5K18.2M-139.6K1.6811.57353592106,35073,378
2009-11-04$8.20$9.0045.1%12.9%40.2%28.1%40.5%-5.5%3.3%180.0K18.6M-137.8K0.5010.211,048527106,31773,911
2009-11-05$8.36$9.0042.2%12.1%34.6%24.5%37.6%1.8%4.9%203.7K16.8M-141.6K0.5914.47818486106,68673,835
2009-11-06$8.65$8.0037.8%12.0%37.6%18.9%42.2%2.2%0.6%290.7K12.3M-152.3K0.5411.591,369739106,77073,980
2009-11-09$9.06$8.0038.1%11.1%41.8%19.2%43.2%3.3%3.1%457.4K4.8M-157.3K1.6612.023,1325,204107,25173,741
2009-11-10$8.95$8.0036.0%11.3%41.9%16.5%39.6%1.2%1.7%399.1K6.5M-153.0K0.7914.181,002796107,85074,614
2009-11-11$9.43$8.0036.6%12.0%42.7%17.2%41.1%4.2%-0.2%617.2K-4.4M-169.8K0.1216.165,488681108,38874,645
2009-11-12$9.05$8.0041.4%11.9%40.1%23.4%40.3%3.7%-0.0%475.5K4.2M-156.7K0.5114.071,910968110,59876,269
2009-11-13$9.16$8.0040.2%11.5%39.6%21.8%39.8%3.3%0.9%529.3K2.2M-153.1K0.5914.171,261748110,80678,382
2009-11-16$9.33$8.0041.1%11.8%40.1%23.0%41.1%6.9%1.3%668.8K-2.1M-154.6K0.6410.452,2651,443111,07876,081
2009-11-17$9.16$8.0040.1%11.5%40.6%21.8%41.1%3.1%2.7%521.3K1.5M-149.3K0.8414.121,6791,414111,33276,143
2009-11-18$9.07$8.0040.4%11.6%37.2%22.1%40.5%2.4%2.4%444.4K4.2M-142.9K4.1515.902431,009111,46276,744
2009-11-19$8.91$8.0040.1%11.5%37.6%21.8%41.1%3.2%1.3%368.4K8.7M-134.8K0.5814.971,8101,054111,50676,849
2009-11-20$9.00$8.0037.0%10.6%37.5%17.9%37.2%2.9%3.8%381.9K6.4M-133.5K0.817.041,062859112,21076,380
2009-11-23$9.14$8.0035.7%10.2%37.7%16.3%37.2%7.1%2.8%492.8K4.9M-128.1K0.278.29704187104,28871,532
2009-11-24$8.94$8.0034.6%9.9%38.1%14.9%32.8%1.9%3.4%394.4K8.4M-118.3K0.249.672,128510104,73171,648
2009-11-25$9.10$8.0032.0%9.2%37.7%11.5%31.0%-8.2%4.7%496.7K6.2M-116.3K0.1110.031,393152105,07171,335
2009-11-27$8.99$8.0036.9%10.6%38.1%17.8%28.8%-10.0%1.7%453.5K7.7M-115.8K1.147.79621710105,14671,071
2009-11-30$9.20$8.0038.0%10.9%38.5%19.2%37.7%-5.3%1.6%588.2K2.7M-121.8K0.229.203,748835105,53371,045