LUV Options History — May 2010

In May 2010, LUV traded between $11.67 and $13.40. ATM implied volatility averaged 36.9%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 1.6% (HV 20d: 35.3%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2010-05-25: Highest Volume — 5,190 contracts
  • 2010-05-07: Largest IV spike — 27.1% change
  • 2010-05-20: Highest IV Rank — 50.0%
  • 2010-05-20: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.59$11.67$13.40$13.40$12.44
Max Pain$12.20$12.00$13.00$13.00$12.00
ATM IV36.9%32.6%45.3%32.6%36.4%
Expected Move10.5%9.3%13.0%9.3%10.4%
HV 20d35.3%28.0%40.1%28.0%39.2%
HV 60d25.1%22.4%28.5%22.4%28.5%
IV Rank36.1%28.8%50.0%28.9%35.3%
IV Percentile42.4%23.0%78.2%23.0%40.9%
Term Structure-0.4%-4.3%3.4%0.7%1.3%
VWIV36.5%30.0%44.4%31.2%36.3%
Skew 25d7.2%-7.3%14.4%0.1%11.7%
Skew 10d13.3%-9.0%26.9%-0.7%26.2%
Call IV 25d33.4%27.3%41.3%29.4%28.1%
Put IV 25d40.5%27.7%53.2%29.5%39.8%
Bid-Ask Spread %20.8313.1241.4420.1222.43
Gamma HHI0.190.160.230.170.20
Net GEX268.2K102.0K402.7K371.1K133.6K
Net DEX-7.8M-15.5M-285.7K-15.5M-5.9M
Net VEX-120.2K-132.0K-105.8K-128.8K-112.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.094.500.090.52
Total Volume1,253.853055,1902,366474
Total OI62,450.5557,71563,69961,49462,244

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$13.40$13.0032.6%9.3%28.0%28.9%31.2%0.1%0.7%371.1K-15.5M-128.8K0.0920.122,16520133,93027,564
2010-05-04$13.01$13.0035.8%10.3%28.8%34.2%35.4%4.8%-0.7%330.3K-12.0M-128.7K0.1420.592,34332634,40327,717
2010-05-05$13.03$13.0035.6%10.2%28.6%33.9%35.3%-7.3%-1.6%373.9K-13.1M-132.0K0.8121.3861049535,37527,733
2010-05-06$12.58$13.0034.0%9.7%30.8%31.2%30.0%6.3%3.4%285.4K-8.2M-129.3K0.3841.441,15744335,43727,922
2010-05-07$12.39$12.0043.2%11.8%31.1%46.5%39.5%6.2%-3.0%253.7K-7.1M-129.1K0.4418.2642518735,51227,881
2010-05-10$12.96$12.0035.8%10.0%35.5%34.2%37.2%5.1%-0.2%351.0K-11.3M-127.1K0.1121.133443835,49827,893
2010-05-11$12.86$12.0037.1%10.2%35.6%36.4%35.8%6.7%-1.2%342.3K-10.4M-127.9K0.6517.1318712135,58327,894
2010-05-12$13.14$12.0032.7%9.5%36.2%29.1%32.4%4.8%0.6%402.7K-13.2M-127.0K0.3219.4850015835,64727,941
2010-05-13$12.89$12.0033.3%9.6%36.7%30.1%33.0%4.4%-0.0%374.9K-11.4M-122.2K0.2420.692736535,21127,685
2010-05-14$12.78$12.0034.5%9.9%36.6%32.0%34.4%5.9%-0.3%347.0K-9.6M-123.1K0.2619.982426335,28427,738
2010-05-17$12.89$12.0034.5%9.9%35.2%32.0%36.5%9.2%0.2%363.8K-9.7M-120.4K0.2523.5243611135,28427,739
2010-05-18$12.64$12.0035.1%10.1%35.7%33.0%39.3%9.5%-1.6%308.4K-7.6M-118.9K0.3022.0363518835,28727,772
2010-05-19$12.28$12.0040.0%11.5%36.7%41.3%38.6%7.7%-1.9%199.9K-4.0M-117.3K0.6417.121,15473735,62727,778
2010-05-20$11.67$12.0045.3%13.0%40.1%50.0%42.5%10.3%-4.3%153.3K-285.7K-109.7K0.8120.211,20997936,01327,686
2010-05-21$11.91$12.0041.6%11.9%37.9%43.8%38.8%14.4%-0.8%184.9K-561.9K-110.5K1.2920.5746660136,07827,547
2010-05-24$11.85$12.0039.1%11.2%37.2%39.6%39.0%11.4%-0.1%136.5K-1.5M-105.8K0.3819.2041415831,55026,165
2010-05-25$12.16$12.0039.4%11.3%37.9%40.2%44.4%11.5%2.6%180.1K-3.0M-107.0K4.5018.959444,24631,75926,258
2010-05-26$12.30$12.0039.9%11.4%38.2%41.0%37.9%11.9%-1.1%102.0K-4.6M-113.7K0.4719.3468231831,81430,277
2010-05-27$12.64$12.0032.6%9.3%39.3%28.8%32.8%8.9%-0.4%168.3K-7.6M-113.6K0.3513.1272525731,83130,454
2010-05-28$12.44$12.0036.4%10.4%39.2%35.3%36.3%11.7%1.3%133.6K-5.9M-112.0K0.5222.4331116331,65630,588