LUV Options History — October 2010

In October 2010, LUV traded between $12.69 and $13.76. ATM implied volatility averaged 29.5%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 4.6% (HV 20d: 34.1%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2010-10-21: Highest Volume — 5,507 contracts
  • 2010-10-14: Largest IV spike — 25.2% change
  • 2010-10-20: Highest IV Rank — 64.2%
  • 2010-10-20: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.17$12.69$13.76$12.94$13.76
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV29.5%25.9%35.1%28.5%26.5%
Expected Move8.9%7.4%10.1%8.2%7.6%
HV 20d34.1%23.9%39.2%36.5%23.9%
HV 60d30.1%29.0%30.9%30.4%30.4%
IV Rank35.1%18.0%64.2%22.1%36.4%
IV Percentile22.8%2.8%60.7%15.5%6.0%
Term Structure0.2%-3.4%6.4%6.4%1.4%
VWIV31.1%25.2%36.8%27.6%26.8%
Skew 25d3.4%-0.4%8.4%-0.4%8.4%
Skew 10d2.6%-10.8%17.9%0.9%9.3%
Call IV 25d28.8%20.7%35.8%23.6%20.7%
Put IV 25d32.2%23.3%37.8%23.3%29.1%
Bid-Ask Spread %24.7112.7946.0212.7927.13
Gamma HHI0.310.250.460.320.28
Net GEX-82.9K-814.8K252.0K-61.6K252.0K
Net DEX-5.5M-15.5M2.1M-3.2M-15.2M
Net VEX-151.9K-156.5K-147.8K-156.5K-149.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.056.930.700.43
Total Volume1,606.8572825,507727436
Total OI76,901.33371,76180,24773,73780,247

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$12.94$13.0028.5%8.2%36.5%22.1%27.6%-0.4%6.4%-61.6K-3.2M-156.5K0.7012.7942829935,44838,289
2010-10-04$12.82$13.0030.9%10.0%36.8%26.1%36.8%2.0%-0.8%-97.9K-861.1K-154.0K1.9118.579751,86235,54138,455
2010-10-05$13.02$13.0030.3%9.7%36.5%25.1%33.8%2.6%-0.1%-113.2K-3.4M-156.3K0.8624.7471962035,65439,807
2010-10-06$12.94$13.0032.0%9.9%36.8%27.9%34.3%0.9%-0.7%-134.0K-1.9M-156.0K0.2625.562245836,09940,341
2010-10-07$12.88$13.0030.3%9.6%36.8%25.1%33.1%3.1%-0.6%-165.4K-1.4M-154.5K0.1126.203073436,17340,392
2010-10-08$13.04$13.0029.1%9.4%36.9%23.1%33.5%5.0%-1.2%-146.8K-3.3M-154.9K0.5220.1629015136,39340,378
2010-10-11$12.86$13.0032.9%9.6%37.4%29.5%33.5%0.5%-0.9%-212.7K-371.0K-150.0K0.7216.7630622036,50840,422
2010-10-12$12.99$13.0027.5%9.3%37.4%20.5%32.2%2.3%-0.6%-268.9K-2.8M-149.4K0.0519.784762636,66740,398
2010-10-13$12.97$13.0026.0%9.4%36.8%18.0%32.3%1.6%0.7%-317.7K-2.6M-147.8K6.9321.464312,98636,99740,401
2010-10-14$12.86$13.0032.6%9.3%37.0%28.8%32.5%6.2%-0.7%-451.8K1.6M-152.9K0.7620.1749437337,03742,182
2010-10-15$12.95$13.0032.3%9.2%36.6%54.4%32.3%4.4%-1.3%-814.8K-237.9K-151.4K0.5826.741,01659137,16942,183
2010-10-18$13.02$13.0031.2%8.9%35.5%51.8%32.2%2.9%-0.5%-117.6K-1.6M-149.0K0.0927.661,21511232,87838,883
2010-10-19$12.69$13.0033.7%9.6%37.0%59.6%34.9%1.7%-1.4%-146.2K2.1M-148.2K1.4330.711,5802,25633,51538,941
2010-10-20$13.16$13.0035.1%10.1%38.7%64.2%33.6%7.0%-3.4%-47.9K-4.5M-154.8K0.2521.342,91672934,56240,517
2010-10-21$13.62$13.0027.4%7.8%39.2%39.4%27.6%3.3%1.0%148.5K-12.6M-152.7K0.0831.595,08742036,17240,763
2010-10-22$13.47$13.0027.6%7.9%38.3%40.0%26.9%6.6%1.1%155.9K-10.2M-154.9K0.4419.601,43062637,21540,844
2010-10-25$13.54$13.0025.9%7.4%24.6%34.8%26.2%3.0%1.0%180.6K-11.9M-151.2K0.7726.4587567637,52241,276
2010-10-26$13.57$13.0026.6%7.6%24.3%36.8%27.9%3.9%0.6%145.8K-11.9M-149.9K1.1046.0246050737,38541,785
2010-10-27$13.76$13.0026.4%7.6%24.7%36.2%25.2%6.7%2.0%228.5K-15.0M-148.2K0.2134.6751210637,53642,104
2010-10-28$13.76$13.0027.0%7.8%24.3%38.3%29.2%0.3%1.4%244.7K-15.5M-147.9K0.3120.8070021537,71442,135
2010-10-29$13.76$13.0026.5%7.6%23.9%36.4%26.8%8.4%1.4%252.0K-15.2M-149.0K0.4327.1330413238,04042,207