LUV Options History — December 2009

In December 2009, LUV traded between $9.35 and $11.61. ATM implied volatility averaged 37.3%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.7% (HV 20d: 39.0%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2009-12-04: Highest Volume — 14,142 contracts
  • 2009-12-10: Largest IV spike — 12.0% change
  • 2009-12-11: Highest IV Rank — 23.0%
  • 2009-12-11: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.78$9.35$11.61$9.35$11.43
Max Pain$9.73$8.00$10.00$8.00$10.00
ATM IV37.3%34.7%40.9%38.1%34.7%
Expected Move10.8%9.9%11.7%10.9%9.9%
HV 20d39.0%36.7%44.1%38.1%37.4%
HV 60d40.9%39.1%42.5%39.2%39.3%
IV Rank18.4%15.0%23.0%19.3%15.0%
IV Percentile10.8%4.4%23.0%10.7%4.4%
Term Structure2.2%-2.2%5.2%1.3%4.1%
VWIV37.4%26.7%42.6%38.0%34.5%
Skew 25d4.8%-4.3%16.6%0.5%11.6%
Skew 10d10.4%-7.8%29.2%-0.9%9.3%
Call IV 25d35.2%22.0%40.1%35.0%22.0%
Put IV 25d40.0%33.6%44.2%35.6%33.6%
Bid-Ask Spread %9.196.9213.9410.107.36
Gamma HHI0.420.250.670.420.28
Net GEX840.1K263.5K1.5M708.7K338.3K
Net DEX-25.0M-51.9M1.4M1.4M-22.9M
Net VEX-130.7K-146.9K-108.5K-116.6K-108.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.112.560.901.84
Total Volume4,132.77394814,1423,439948
Total OI163,300.182128,454187,790177,313131,074

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$9.35$8.0038.1%10.9%38.1%19.3%38.0%0.5%1.3%708.7K1.4M-116.6K0.9010.101,8121,627106,18671,127
2009-12-02$9.41$8.0036.3%10.4%38.0%17.0%37.6%-4.3%4.7%715.9K-1.8M-125.8K0.3011.743,6221,102106,15172,504
2009-12-03$9.51$8.0036.3%10.4%37.5%17.0%36.1%2.5%-2.2%777.9K-3.0M-126.5K0.1112.591,908216106,57772,781
2009-12-04$10.23$10.0037.6%11.5%44.1%18.7%39.5%9.9%3.3%1.1M-24.6M-145.1K0.286.9211,0243,118107,28472,947
2009-12-07$10.10$10.0037.4%11.6%43.8%18.4%42.6%6.3%1.4%1.4M-23.4M-145.2K0.947.241,1241,052114,43373,357
2009-12-08$10.10$10.0039.0%11.4%41.4%20.6%39.7%4.4%1.3%1.3M-14.7M-141.2K0.7511.17935705105,92873,897
2009-12-09$10.23$10.0035.1%11.4%41.0%15.5%41.3%6.7%2.7%1.4M-18.0M-135.9K1.118.959871,099106,28973,632
2009-12-10$10.22$10.0039.3%11.3%37.3%20.9%38.9%3.8%1.0%1.4M-19.5M-139.3K0.1211.701,707200106,52974,468
2009-12-11$10.90$10.0040.9%11.7%39.1%23.0%40.3%4.0%0.5%1.3M-40.8M-146.9K0.2411.5910,2752,420106,68274,481
2009-12-14$10.91$10.0037.9%10.9%39.2%19.1%39.2%2.4%4.0%1.5M-41.3M-142.1K0.117.225,874645110,60775,578
2009-12-15$10.75$10.0038.2%10.9%39.9%19.5%38.9%0.5%3.5%1.3M-34.8M-138.4K1.607.341,0171,630107,52475,896
2009-12-16$11.20$10.0037.2%10.7%40.4%18.2%36.9%5.8%3.0%1.3M-48.2M-140.8K0.1413.943,611490106,96876,835
2009-12-17$11.29$10.0038.3%11.0%39.8%19.7%35.4%7.8%3.4%806.4K-51.9M-136.1K0.397.904,9601,928107,56077,093
2009-12-18$11.24$10.0037.1%10.7%38.8%18.2%39.5%6.6%4.3%987.3K-46.5M-125.6K1.168.492,0502,370108,55577,415
2009-12-21$11.31$10.0038.6%11.1%38.8%20.1%39.0%7.8%-0.1%309.4K-16.1M-118.9K1.037.841,2001,23369,03959,415
2009-12-22$11.45$10.0037.2%10.7%38.8%18.2%36.5%2.1%1.8%263.5K-24.6M-132.8K0.148.623,51349269,89059,752
2009-12-23$11.61$10.0037.3%10.7%36.7%18.4%35.6%1.6%0.2%267.9K-28.5M-131.4K0.199.944,33483271,37060,054
2009-12-24$11.55$10.0036.2%10.4%37.2%16.9%32.2%6.7%-0.8%315.0K-23.8M-129.9K0.697.691,7331,19871,17760,140
2009-12-28$11.45$10.0036.4%10.4%37.0%17.1%37.9%4.7%5.2%305.7K-22.8M-125.1K0.697.601,6381,12870,27459,881
2009-12-29$11.43$10.0036.5%10.5%37.0%17.3%36.8%-2.8%3.6%338.1K-23.0M-113.9K2.567.2436192370,72759,822
2009-12-30$11.38$10.0035.8%10.3%37.3%16.4%26.7%16.6%3.2%382.3K-21.5M-109.9K0.788.951,05482670,83359,872
2009-12-31$11.43$10.0034.7%9.9%37.4%15.0%34.5%11.6%4.1%338.3K-22.9M-108.5K1.847.3633461471,02260,052