LUV Options History — August 2010

In August 2010, LUV traded between $10.82 and $12.31. ATM implied volatility averaged 31.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.4% (HV 20d: 25.7%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2010-08-11: Highest Volume — 1,529 contracts
  • 2010-08-18: Largest IV drop — 19.8% change
  • 2010-08-13: Highest IV Rank — 32.1%
  • 2010-08-13: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.49$10.82$12.31$12.31$11.05
Max Pain$12.68$11.00$13.00$11.00$13.00
ATM IV31.0%25.3%34.5%31.0%33.2%
Expected Move9.0%7.8%9.9%8.9%9.5%
HV 20d25.7%23.4%31.4%30.6%25.2%
HV 60d32.2%28.8%34.7%34.6%28.8%
IV Rank26.4%16.8%32.1%26.3%29.9%
IV Percentile22.0%1.2%38.1%19.0%34.9%
Term Structure2.7%-0.6%5.3%-0.6%1.2%
VWIV29.8%21.4%34.2%30.5%33.2%
Skew 25d5.0%-6.9%15.8%0.9%3.2%
Skew 10d10.1%-10.3%39.1%0.6%2.8%
Call IV 25d27.4%20.0%32.2%27.6%24.3%
Put IV 25d32.4%22.3%39.5%28.4%27.5%
Bid-Ask Spread %19.3210.6733.5710.6721.51
Gamma HHI0.170.160.190.180.17
Net GEX81.0K-24.6K221.1K221.1K17.8K
Net DEX2.4M-3.3M6.0M-3.3M4.7M
Net VEX-65.8K-79.9K-53.9K-79.2K-55.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.041.250.260.04
Total Volume577.364691,5291,073222
Total OI53,697.86444,64458,32456,99946,271

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$12.31$11.0031.0%8.9%30.6%26.3%30.5%0.9%-0.6%221.1K-3.3M-79.2K0.2610.6785521826,37130,628
2010-08-03$12.07$11.0030.4%8.7%31.4%25.2%30.7%-6.9%0.8%132.4K-1.9M-79.9K0.2614.712817426,14330,706
2010-08-04$12.15$11.0030.7%8.8%24.1%25.7%30.7%-6.8%0.3%163.4K-2.4M-79.7K0.0813.434323326,27430,775
2010-08-05$12.06$12.0027.3%7.8%24.2%20.1%27.3%2.4%4.2%194.5K-1.8M-77.9K0.1915.072815226,52330,794
2010-08-06$11.95$13.0025.3%8.7%24.2%16.8%29.2%4.9%2.6%180.8K-630.0K-75.3K0.0618.185773526,66630,810
2010-08-09$12.14$13.0026.5%9.0%23.4%18.8%28.7%6.9%1.7%211.1K-1.8M-75.8K0.1829.003265826,69530,802
2010-08-10$11.90$13.0029.8%8.5%23.5%24.3%29.7%7.5%3.4%158.9K-163.9K-72.6K0.8921.2322520126,73730,812
2010-08-11$11.43$13.0034.4%9.8%27.3%31.9%31.6%4.0%2.6%35.6K2.7M-69.5K0.0619.671,4369326,78630,956
2010-08-12$11.43$13.0033.7%9.7%27.4%30.8%31.6%9.2%2.5%59.8K3.0M-68.4K0.4520.6235816227,08630,982
2010-08-13$11.40$13.0034.5%9.9%26.3%32.1%34.2%5.1%1.4%58.3K3.2M-67.5K0.3933.57903527,11130,951
2010-08-16$11.34$13.0033.9%9.7%25.2%31.1%30.6%8.1%1.9%76.7K4.0M-64.0K0.0620.423552027,16230,956
2010-08-17$11.50$13.0034.4%9.9%25.7%31.9%29.5%12.0%1.8%103.3K3.2M-63.8K0.4422.2931013727,36330,961
2010-08-18$11.54$13.0027.6%7.9%25.5%20.6%26.8%12.1%5.3%103.0K2.8M-64.2K0.5327.22452427,34930,899
2010-08-19$11.20$13.0033.0%9.5%25.6%29.6%32.1%4.6%3.5%37.7K4.7M-60.0K1.2521.5036245227,34730,899
2010-08-20$11.27$13.0032.9%9.4%25.3%29.4%30.6%7.0%3.1%29.0K4.5M-60.5K0.1319.593644927,25631,002
2010-08-23$11.05$13.0029.4%8.4%24.5%23.6%28.3%5.0%5.1%9.2K4.9M-57.1K0.1918.712234324,83119,820
2010-08-24$11.01$13.0031.5%9.0%24.5%27.1%31.4%3.4%4.1%6.2K5.5M-56.0K0.5715.2130417324,93219,859
2010-08-25$10.94$13.0033.3%9.6%24.4%30.1%34.2%15.8%2.2%3.8K5.4M-56.0K0.5818.4352130124,98619,658
2010-08-26$10.82$13.0029.7%8.5%24.4%24.1%28.8%5.2%4.2%-24.6K6.0M-53.9K1.0214.2529029524,89019,808
2010-08-27$11.13$13.0030.8%8.8%27.1%26.0%21.4%4.4%2.9%4.3K5.0M-54.7K0.4015.231,06742324,92219,762
2010-08-30$10.99$13.0029.9%8.6%25.5%24.5%24.6%1.3%4.5%6755.1M-55.1K0.9114.4547142925,70120,111
2010-08-31$11.05$13.0033.2%9.5%25.2%29.9%33.2%3.2%1.2%17.8K4.7M-55.8K0.0421.51214825,88620,385