LUV Options History — April 2010

In April 2010, LUV traded between $13.16 and $13.96. ATM implied volatility averaged 28.0%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 9.6% (HV 20d: 18.4%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2010-04-07: Highest Volume — 3,649 contracts
  • 2010-04-08: Largest IV drop — 46.1% change
  • 2010-04-27: Highest IV Rank — 29.7%
  • 2010-04-27: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.43$13.16$13.96$13.21$13.18
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV28.0%15.2%33.1%26.3%31.1%
Expected Move8.7%7.5%9.5%7.5%8.9%
HV 20d18.4%14.3%27.4%14.3%27.4%
HV 60d22.9%21.3%24.3%24.3%23.8%
IV Rank18.5%0.0%29.7%5.4%26.4%
IV Percentile10.1%0.0%22.2%1.6%19.4%
Term Structure-0.0%-1.9%4.1%4.1%1.0%
VWIV29.8%26.1%33.1%26.1%30.3%
Skew 25d3.8%-7.9%11.5%4.2%-4.0%
Skew 10d4.8%-14.7%17.8%2.0%-1.7%
Call IV 25d26.6%18.9%33.2%18.9%31.5%
Put IV 25d30.4%23.1%34.3%23.1%27.5%
Bid-Ask Spread %15.9011.0524.3613.0119.57
Gamma HHI0.190.150.260.200.17
Net GEX304.3K190.5K382.7K190.5K354.9K
Net DEX-16.5M-20.5M-13.9M-14.1M-14.5M
Net VEX-125.4K-129.9K-119.4K-123.0K-128.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.095.980.260.60
Total Volume1,409.192133,6492,151213
Total OI58,634.90554,64561,37654,65061,376

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$13.21$13.0026.3%7.5%14.3%5.4%26.1%4.2%4.1%190.5K-14.1M-123.0K0.2613.011,70444728,31626,334
2010-04-05$13.16$13.0029.8%8.8%14.4%11.1%29.2%7.0%-0.2%211.0K-14.1M-123.2K1.3411.8921328529,27726,696
2010-04-06$13.45$13.0031.2%8.8%15.3%13.6%30.6%10.9%-0.5%261.4K-17.3M-119.4K0.5613.6189749929,39926,750
2010-04-07$13.30$13.0028.1%9.1%15.9%8.4%30.7%10.0%-1.0%294.7K-15.6M-123.8K5.9811.055233,12629,95327,168
2010-04-08$13.40$13.0015.2%9.0%15.7%0.0%31.5%4.9%-0.1%332.6K-17.2M-120.1K0.4813.5157327429,95327,168
2010-04-09$13.30$13.0021.9%9.0%16.1%10.1%29.0%8.5%-1.4%318.2K-15.4M-125.8K0.0913.914444030,21329,509
2010-04-12$13.35$13.0030.1%9.2%15.6%22.3%30.7%9.9%-0.3%322.7K-16.2M-124.3K0.2912.8181823730,57129,547
2010-04-13$13.34$13.0026.0%9.1%15.6%16.2%29.5%9.4%-0.9%320.4K-16.2M-127.6K0.1614.8289614031,09629,648
2010-04-14$13.50$13.0022.2%8.8%15.4%10.4%30.0%10.7%-0.1%351.6K-18.2M-125.6K0.2012.3888818231,44929,642
2010-04-15$13.54$13.0028.1%8.0%14.7%19.2%29.8%11.5%-0.1%275.2K-19.2M-123.9K0.9315.0532930531,38129,677
2010-04-16$13.38$13.0030.5%8.7%15.5%25.5%30.2%7.6%-0.1%289.9K-17.8M-123.2K0.3615.141,43151531,42529,687
2010-04-19$13.75$13.0029.5%8.5%16.1%23.7%30.0%4.6%-0.1%259.2K-17.7M-122.6K0.3221.271,90760728,78425,861
2010-04-20$13.74$13.0028.9%8.3%16.0%22.9%29.1%2.3%-0.6%285.4K-17.6M-127.4K0.1613.641,06717029,88626,257
2010-04-21$13.58$13.0030.9%8.9%16.7%26.2%31.6%-1.0%-0.6%294.8K-16.5M-125.3K0.4915.081,30664230,41626,276
2010-04-22$13.44$13.0028.2%8.1%17.2%21.6%26.8%-2.9%1.0%300.2K-15.3M-128.4K0.4719.591,31361330,94926,854
2010-04-23$13.96$13.0027.0%7.7%21.5%19.6%28.9%1.8%1.8%336.2K-20.5M-127.0K0.1221.742,12426131,51526,815
2010-04-26$13.57$13.0028.5%8.2%24.3%22.1%29.9%-0.4%1.0%366.7K-18.1M-127.1K0.2916.8949814232,77426,929
2010-04-27$13.18$13.0033.1%9.5%26.4%29.7%32.7%-7.9%-1.9%318.5K-14.4M-128.9K0.9724.3689386632,94027,033
2010-04-28$13.23$13.0031.9%9.1%26.3%27.7%33.1%-7.1%-0.9%323.2K-13.9M-129.4K0.7415.4392468833,27527,300
2010-04-29$13.42$13.0030.4%8.7%26.6%25.3%26.8%-0.4%-0.5%382.7K-16.1M-129.9K1.6719.1322237133,84127,393
2010-04-30$13.18$13.0031.1%8.9%27.4%26.4%30.3%-4.0%1.0%354.9K-14.5M-128.1K0.6019.571338033,87427,502