LUV Options History — March 2010

In March 2010, LUV traded between $12.55 and $13.22. ATM implied volatility averaged 29.0%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 10.7% (HV 20d: 18.3%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-03-02: Highest Volume — 8,583 contracts
  • 2010-03-11: Largest IV spike — 14.9% change
  • 2010-03-16: Highest IV Rank — 11.3%
  • 2010-03-16: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.90$12.55$13.22$12.71$13.22
Max Pain$12.17$10.00$13.00$10.00$13.00
ATM IV29.0%26.3%31.8%31.3%27.2%
Expected Move8.5%7.7%9.1%9.0%7.8%
HV 20d18.3%12.6%28.3%28.3%14.3%
HV 60d28.5%26.3%33.6%33.5%26.3%
IV Rank7.7%4.2%11.3%10.6%7.0%
IV Percentile5.0%1.2%9.9%5.2%3.6%
Term Structure2.1%-0.0%4.2%3.5%4.2%
VWIV30.2%25.2%35.7%34.2%26.9%
Skew 25d4.5%-6.4%12.4%9.2%-3.1%
Skew 10d8.5%-9.1%20.4%8.7%-5.4%
Call IV 25d28.1%18.6%31.4%26.4%27.0%
Put IV 25d32.5%22.9%35.6%35.6%23.9%
Bid-Ask Spread %20.088.7234.6413.7813.89
Gamma HHI0.250.150.520.240.20
Net GEX128.7K-457.1K328.2K259.5K172.9K
Net DEX-18.1M-24.7M-11.4M-20.4M-14.3M
Net VEX-111.9K-123.9K-94.0K-94.0K-122.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.064.970.330.44
Total Volume1,962.1742968,583895767
Total OI57,827.1350,04169,71553,93754,216

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$12.71$10.0031.3%9.0%28.3%10.6%34.2%9.2%3.5%259.5K-20.4M-94.0K0.3313.7867122428,78225,155
2010-03-02$12.63$10.0030.4%8.7%28.0%9.5%35.7%8.3%1.5%267.8K-18.3M-94.3K0.4115.796,0822,50127,64025,294
2010-03-03$12.55$10.0028.3%8.1%28.2%6.7%29.2%7.0%2.1%313.8K-19.0M-108.4K0.0616.491,2007030,94427,102
2010-03-04$12.60$10.0028.8%8.3%27.9%7.4%29.1%6.7%2.8%325.8K-19.7M-108.9K0.3715.6762923131,66327,124
2010-03-05$12.68$12.0026.4%8.7%22.6%4.3%30.3%5.3%1.6%290.7K-20.3M-107.0K0.0626.913472031,60227,305
2010-03-08$12.55$12.0026.3%8.6%22.5%4.2%30.5%4.0%1.8%328.2K-19.7M-106.2K0.3629.6182429531,79027,315
2010-03-09$12.68$12.0028.5%8.5%22.3%7.1%34.2%6.9%2.0%318.4K-20.7M-106.6K1.8430.9936466932,02927,411
2010-03-10$12.82$12.0027.6%9.0%19.7%5.9%31.6%3.0%2.6%264.0K-22.0M-107.7K0.3324.7382127332,12128,006
2010-03-11$12.84$13.0031.7%9.1%19.0%11.1%32.6%4.9%1.5%216.5K-21.7M-108.3K0.1434.647069831,96928,165
2010-03-12$13.00$13.0030.7%8.8%17.0%9.8%30.2%5.1%1.8%177.8K-23.1M-105.1K0.0628.121,86012031,95528,160
2010-03-15$13.00$13.0031.1%8.9%16.8%10.4%32.3%5.4%1.1%137.9K-22.9M-104.4K0.4027.4933013231,99028,174
2010-03-16$13.18$13.0031.8%9.1%13.2%11.3%34.6%4.9%0.5%177.8K-24.7M-105.1K3.9519.201,2514,94132,03328,296
2010-03-17$13.03$13.0030.5%8.7%13.0%9.5%29.7%5.5%0.4%-343.8K-21.5M-107.1K0.9420.723,0422,86532,67333,013
2010-03-18$13.06$12.0030.0%8.6%12.6%9.0%30.5%6.3%-0.0%-457.1K-22.6M-116.9K4.9720.003891,93534,81734,708
2010-03-19$12.81$12.0028.7%8.2%14.7%7.3%30.8%2.9%2.1%-410.7K-17.7M-117.4K0.1323.032,77235234,92634,789
2010-03-22$12.93$12.0028.9%8.3%14.9%7.5%28.8%4.8%2.1%134.5K-11.4M-119.8K0.4711.552,12399325,90324,138
2010-03-23$13.03$13.0028.4%8.1%14.6%6.9%25.2%3.3%2.7%131.5K-12.3M-120.6K1.2618.7450964126,79224,927
2010-03-24$13.00$13.0028.1%8.1%14.7%6.5%28.0%3.1%3.7%113.0K-12.0M-122.7K0.0819.352742227,14525,548
2010-03-25$13.07$13.0027.6%7.9%14.7%5.8%30.2%5.9%3.2%134.9K-12.9M-122.5K0.8922.9294183327,31125,560
2010-03-26$13.05$13.0028.2%8.1%14.3%6.7%28.3%12.4%2.9%126.4K-12.2M-123.9K0.359.0772325027,49526,159
2010-03-29$13.18$13.0029.8%8.5%14.3%8.7%25.2%-2.7%0.5%141.4K-13.5M-123.2K1.198.7224729527,65626,250
2010-03-30$13.09$13.0026.9%7.7%14.3%4.9%27.4%-6.4%3.8%139.9K-12.7M-121.7K0.5910.5131418427,77126,202
2010-03-31$13.22$13.0027.2%7.8%14.3%7.0%26.9%-3.1%4.2%172.9K-14.3M-122.3K0.4413.8953123627,92726,289