LUV Options History — June 2010

In June 2010, LUV traded between $11.11 and $12.62. ATM implied volatility averaged 35.3%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.3% (HV 20d: 37.6%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2010-06-18: Highest Volume — 1,772 contracts
  • 2010-06-04: Largest IV spike — 31.2% change
  • 2010-06-07: Highest IV Rank — 51.2%
  • 2010-06-07: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.96$11.11$12.62$12.20$11.11
Max Pain$12.05$12.00$13.00$12.00$12.00
ATM IV35.3%30.3%46.0%39.6%36.5%
Expected Move9.9%8.7%11.5%11.4%10.5%
HV 20d37.6%32.1%42.6%38.9%32.1%
HV 60d31.9%28.8%34.0%28.8%33.6%
IV Rank33.3%25.2%51.2%40.6%35.3%
IV Percentile37.7%16.3%83.7%60.7%45.6%
Term Structure1.3%-3.3%4.0%-0.8%3.5%
VWIV34.4%27.2%39.2%38.1%36.0%
Skew 25d6.6%-9.7%12.1%6.0%5.9%
Skew 10d12.2%-10.7%26.9%17.3%11.7%
Call IV 25d31.9%26.8%37.9%37.9%35.8%
Put IV 25d38.6%21.5%45.1%43.9%41.7%
Bid-Ask Spread %21.8613.3729.5724.2815.87
Gamma HHI0.180.140.270.200.16
Net GEX68.0K-63.6K188.1K78.2K64.5K
Net DEX-1.3M-7.5M2.8M-3.9M2.8M
Net VEX-91.0K-108.1K-73.5K-108.1K-73.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.061.490.280.59
Total Volume709.4091281,772277539
Total OI54,181.09138,26763,34662,47540,151

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$12.20$12.0039.6%11.4%38.9%40.6%38.1%6.0%-0.8%78.2K-3.9M-108.1K0.2824.282176031,84130,634
2010-06-02$12.62$12.0031.5%9.0%40.0%27.1%34.9%9.8%0.4%162.4K-7.2M-106.8K0.6219.7126416431,85730,681
2010-06-03$12.61$12.0030.3%8.7%40.0%25.2%34.7%12.1%2.5%177.2K-7.5M-107.5K0.4621.8525411831,91130,690
2010-06-04$12.02$13.0039.8%11.1%41.6%40.9%37.8%9.0%-0.6%17.7K-1.8M-103.1K0.2727.7541511332,00430,720
2010-06-07$11.66$12.0046.0%11.5%42.6%51.2%39.1%7.3%-3.3%-63.6K2.1M-97.3K0.1018.246216431,68030,805
2010-06-08$11.89$12.0040.2%11.0%39.6%41.5%36.5%9.1%-0.1%-44.4K1.0M-98.2K0.0723.234753531,93530,820
2010-06-09$11.84$12.0043.7%11.2%39.6%47.3%39.2%7.6%-1.3%-40.3K908.3K-96.9K0.0726.531,54310432,05530,806
2010-06-10$12.05$12.0035.9%10.3%39.3%34.4%34.8%7.3%0.9%47.1K-1.6M-97.2K1.4922.4022333232,67230,565
2010-06-11$12.07$12.0037.2%10.7%39.0%36.6%33.4%9.4%-0.1%-38.2K-1.6M-95.0K0.1625.731,50823932,72130,625
2010-06-14$12.04$12.0036.3%10.4%38.9%35.0%36.0%10.2%0.4%56.4K-1.6M-91.6K0.5020.6798949631,87330,614
2010-06-15$12.35$12.0033.6%9.6%40.0%30.6%32.6%8.4%1.3%188.1K-3.8M-91.6K0.3422.5829610131,75930,583
2010-06-16$12.09$12.0034.7%10.0%40.1%32.4%34.4%5.2%1.9%86.0K-1.7M-88.0K0.1922.783175931,58830,656
2010-06-17$12.37$12.0033.6%9.6%39.8%30.6%33.3%9.8%1.2%87.3K-4.2M-87.7K0.6029.5764838831,55630,612
2010-06-18$12.26$12.0031.3%9.0%35.1%26.7%27.2%6.3%3.0%98.0K-3.7M-87.3K0.0824.421,63913331,60030,625
2010-06-21$12.20$12.0032.5%9.3%34.5%28.8%32.2%-2.4%1.8%102.9K-1.6M-86.2K0.0621.126123921,11217,155
2010-06-22$11.87$12.0030.8%8.8%35.9%26.0%29.9%-9.7%3.6%96.3K-737.0K-83.4K0.5613.3734419321,41717,190
2010-06-23$11.84$12.0031.3%9.0%34.6%26.7%31.6%4.9%4.0%92.6K-41.2K-83.4K0.6623.8831720921,69417,370
2010-06-24$11.68$12.0032.0%9.2%34.5%28.0%32.3%3.7%2.7%85.5K275.7K-83.9K0.1916.813657021,94417,538
2010-06-25$11.64$12.0030.6%8.8%32.7%25.7%31.7%6.7%2.5%87.4K923.1K-81.2K0.2322.003538022,26217,595
2010-06-28$11.61$12.0030.5%8.7%32.4%25.4%34.2%10.0%3.6%92.3K892.1K-80.1K0.2816.131002822,49917,654
2010-06-29$11.11$12.0037.8%10.8%35.1%37.5%36.8%9.4%1.0%63.8K2.8M-73.6K0.4522.0537516822,28917,626
2010-06-30$11.11$12.0036.5%10.5%32.1%35.3%36.0%5.9%3.5%64.5K2.8M-73.5K0.5915.8733820122,49517,656