LUV Options History — September 2010

In September 2010, LUV traded between $11.44 and $13.35. ATM implied volatility averaged 28.5%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.3% (HV 20d: 28.1%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2010-09-27: Highest Volume — 37,165 contracts
  • 2010-09-09: Largest IV spike — 55.6% change
  • 2010-09-28: Highest IV Rank — 30.5%
  • 2010-09-07: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.02$11.44$13.35$11.50$13.07
Max Pain$11.43$11.00$13.00$13.00$13.00
ATM IV28.5%20.1%33.6%26.2%31.9%
Expected Move8.5%7.5%9.8%7.5%9.1%
HV 20d28.1%23.5%37.4%29.5%36.0%
HV 60d29.5%27.7%33.0%29.7%30.4%
IV Rank22.1%8.2%30.5%18.4%27.7%
IV Percentile16.4%0.4%44.4%2.4%35.3%
Term Structure2.5%0.2%8.6%8.6%1.2%
VWIV29.3%24.6%33.5%24.6%31.8%
Skew 25d2.8%-5.7%11.7%0.0%-5.7%
Skew 10d6.4%-6.2%53.4%53.4%-6.2%
Call IV 25d25.8%16.1%34.5%27.6%31.7%
Put IV 25d28.6%23.0%36.0%27.6%25.9%
Bid-Ask Spread %19.9013.6032.2127.7813.60
Gamma HHI0.230.160.430.190.29
Net GEX190.4K77.4K496.5K105.1K77.4K
Net DEX-2.0M-12.5M2.7M2.7M-6.7M
Net VEX-67.1K-147.9K-52.8K-56.2K-147.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.013.280.513.28
Total Volume2,956.23810737,1651,1405,286
Total OI46,044.8131,87869,27646,40869,276

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$11.50$13.0026.2%7.5%29.5%18.4%24.6%0.0%8.6%105.1K2.7M-56.2K0.5127.7875538526,05620,352
2010-09-02$11.53$13.0027.2%7.8%29.5%19.9%26.8%-0.5%0.5%124.4K2.2M-58.8K0.5920.2024214426,36320,504
2010-09-03$11.57$11.0020.8%8.3%29.5%9.3%29.7%2.8%3.1%136.5K1.9M-57.8K0.4916.481457126,44320,534
2010-09-07$11.44$11.0027.1%9.8%28.9%19.9%30.7%10.5%0.2%101.6K2.7M-55.1K0.1922.534188026,43720,569
2010-09-08$11.51$11.0020.1%8.6%28.4%8.2%30.4%7.5%2.2%122.8K2.3M-56.0K0.5514.4938721426,67820,607
2010-09-09$11.48$11.0031.3%9.0%24.5%26.8%30.7%2.0%2.2%117.2K2.4M-55.2K0.2215.07881926,91520,772
2010-09-10$11.52$11.0030.1%8.6%24.5%24.9%31.2%3.2%1.0%116.9K2.3M-53.5K0.1115.524054626,90820,789
2010-09-13$11.48$11.0033.1%9.5%24.5%29.8%31.0%3.5%1.6%85.8K2.4M-52.9K0.1217.602663227,13520,779
2010-09-14$11.50$11.0030.1%8.6%24.4%24.8%29.5%2.0%3.5%109.2K2.2M-52.8K1.9622.9013526427,12620,806
2010-09-15$11.80$11.0027.2%7.8%25.6%20.0%27.5%10.3%4.5%405.8K773.1K-54.5K1.2120.1634541927,10721,043
2010-09-16$11.95$11.0028.1%8.1%25.9%21.4%28.2%11.2%2.7%496.5K-372.3K-54.0K0.4232.2165627627,19221,288
2010-09-17$11.83$11.0028.4%8.1%23.5%22.0%28.4%11.7%2.5%443.0K764.9K-54.1K1.2521.5636345427,36821,367
2010-09-20$12.17$11.0027.8%8.0%25.2%20.9%27.6%-3.4%4.1%164.7K-4.9M-53.1K0.0416.881,2855518,16613,712
2010-09-21$12.16$11.0026.9%7.7%23.7%19.5%26.9%-1.9%2.8%212.4K-5.7M-54.9K0.1318.624726319,21813,740
2010-09-22$12.08$11.0028.2%8.1%23.9%21.6%28.2%4.3%1.5%216.4K-5.6M-56.0K0.0120.05265319,46513,751
2010-09-23$11.87$11.0026.7%7.6%24.9%19.1%26.7%6.8%3.7%208.9K-4.7M-54.8K0.6122.221579519,66613,752
2010-09-24$12.28$11.0026.8%7.7%26.3%19.2%26.8%8.9%3.0%242.6K-6.4M-55.4K0.2821.522908119,74413,830
2010-09-27$13.35$11.0033.3%9.5%37.4%30.1%33.5%-5.3%0.5%263.1K-12.5M-59.3K1.0319.1718,29918,86620,00113,847
2010-09-28$13.24$12.0033.6%9.6%37.1%30.5%33.0%-3.2%0.5%133.3K-9.2M-128.2K0.7020.774,0042,81731,14030,157
2010-09-29$13.19$13.0032.7%9.4%37.4%29.0%32.6%-5.2%1.4%115.5K-8.7M-139.6K1.7318.551,2592,17533,91732,421
2010-09-30$13.07$13.0031.9%9.1%36.0%27.7%31.8%-5.7%1.2%77.4K-6.7M-147.9K3.2813.601,2354,05134,74134,535