LUV Options History — July 2010

In July 2010, LUV traded between $10.63 and $12.10. ATM implied volatility averaged 34.9%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 0.7% (HV 20d: 34.1%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2010-07-07: Highest Volume — 10,605 contracts
  • 2010-07-15: Largest IV spike — 28.1% change
  • 2010-07-06: Highest IV Rank — 41.0%
  • 2010-07-06: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.64$10.63$12.10$10.99$12.05
Max Pain$11.10$11.00$12.00$12.00$11.00
ATM IV34.9%28.1%39.9%38.1%29.5%
Expected Move10.3%8.5%11.6%10.9%8.5%
HV 20d34.1%27.4%36.9%32.0%31.7%
HV 60d35.7%33.6%36.9%33.6%35.0%
IV Rank32.7%21.5%41.0%38.0%23.8%
IV Percentile38.4%6.0%67.9%55.6%11.5%
Term Structure-0.6%-3.3%2.3%1.7%0.8%
VWIV35.2%29.5%43.3%39.2%29.5%
Skew 25d5.3%-1.9%13.1%5.2%3.4%
Skew 10d12.1%-5.0%31.8%7.4%7.1%
Call IV 25d33.6%28.7%43.9%39.4%29.6%
Put IV 25d38.8%32.5%44.6%44.6%33.0%
Bid-Ask Spread %19.1311.4323.9520.1315.24
Gamma HHI0.230.150.320.150.18
Net GEX30.2K-114.4K140.0K62.0K137.7K
Net DEX692.9K-2.2M4.5M3.3M-1.9M
Net VEX-83.7K-92.7K-66.3K-72.1K-82.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.0225.710.120.39
Total Volume1,347.28617710,605663491
Total OI52,238.14340,46356,86140,46356,861

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$10.99$12.0038.1%10.9%32.0%38.0%39.2%5.2%1.7%62.0K3.3M-72.1K0.1220.135907322,77917,684
2010-07-02$10.75$12.0038.4%11.0%28.8%38.5%39.5%-1.9%1.3%55.4K3.8M-68.8K2.2520.847216222,90517,702
2010-07-06$10.63$11.0039.9%11.6%27.4%41.0%30.0%6.6%-3.3%46.4K4.5M-66.3K0.0219.161,7223422,88017,743
2010-07-07$11.29$11.0037.1%10.8%34.9%36.3%43.3%13.1%-1.7%130.4K1.9M-72.2K25.7122.2139710,20823,85717,699
2010-07-08$11.43$11.0037.4%11.0%35.3%36.9%38.1%6.0%-0.6%-46.0K2.2M-87.1K0.2321.062816524,17027,886
2010-07-09$11.59$11.0031.9%10.0%35.1%27.8%35.9%7.2%-1.9%-28.9K1.4M-86.6K0.0819.212,68522324,23327,827
2010-07-12$11.86$11.0032.2%10.2%36.1%28.2%36.0%6.3%-0.7%14.4K-779.9K-89.8K3.1122.836832,12424,95228,045
2010-07-13$12.10$11.0030.4%10.0%36.9%25.3%35.1%6.1%0.1%50.7K-2.2M-92.6K0.8814.5064156625,42229,906
2010-07-14$12.06$11.0028.1%10.4%35.7%21.5%37.3%5.9%-1.6%65.6K-1.8M-92.7K0.4714.961205725,59930,175
2010-07-15$12.03$11.0036.0%10.3%34.9%34.6%33.4%6.9%-1.3%84.1K-1.4M-92.0K0.2116.701653525,62930,219
2010-07-16$11.76$11.0036.5%10.5%34.6%35.4%36.7%6.0%-0.9%-4.8K195.4K-92.1K0.4321.351,18651225,72530,181
2010-07-19$11.50$11.0037.7%10.8%35.3%37.4%34.4%4.8%-1.0%-88.1K2.8M-86.4K0.9022.3032529224,45529,721
2010-07-20$11.47$11.0039.1%11.2%35.3%39.6%31.8%11.7%-0.5%-104.3K3.3M-86.7K1.4720.3311216524,53829,948
2010-07-21$11.37$11.0039.5%11.3%34.2%40.3%35.1%10.3%-2.0%-114.4K3.5M-85.0K0.0921.395184524,61429,964
2010-07-22$11.69$11.0035.8%10.3%35.8%34.2%35.8%1.0%-1.9%-35.9K1.5M-85.4K0.1414.972643824,94829,969
2010-07-23$11.82$11.0034.1%9.8%35.7%31.4%35.2%5.8%-0.2%668501.6K-86.6K0.5219.6245823825,09330,001
2010-07-26$12.07$11.0033.1%9.5%36.3%29.7%34.3%2.0%1.4%89.2K-1.4M-84.0K0.9519.7937435425,14530,128
2010-07-27$12.00$11.0032.9%9.4%36.4%29.4%32.5%2.4%-0.6%83.3K-1.4M-83.4K0.1223.954835925,39330,400
2010-07-28$12.01$11.0034.6%9.9%32.2%32.2%35.3%-0.6%-3.0%95.9K-1.6M-83.2K0.2119.8364713925,66830,421
2010-07-29$12.01$11.0030.1%8.6%32.2%24.8%30.1%2.5%2.3%140.0K-1.8M-81.0K0.4211.4348520526,12830,388
2010-07-30$12.05$11.0029.5%8.5%31.7%23.8%29.5%3.4%0.8%137.7K-1.9M-82.9K0.3915.2435313826,32930,532