LUV Options History — November 2010

In November 2010, LUV traded between $13.30 and $14.26. ATM implied volatility averaged 27.0%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.3% (HV 20d: 21.8%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2010-11-11: Highest Volume — 2,789 contracts
  • 2010-11-30: Largest IV spike — 15.2% change
  • 2010-11-17: Highest IV Rank — 50.4%
  • 2010-11-17: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.72$13.30$14.26$13.87$13.32
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV27.0%24.3%30.7%28.2%30.4%
Expected Move7.9%7.0%8.8%8.1%8.7%
HV 20d21.8%17.0%25.3%23.5%20.8%
HV 60d28.7%27.6%30.3%30.3%27.9%
IV Rank38.5%29.6%50.4%42.2%49.3%
IV Percentile13.1%2.0%37.7%17.1%36.5%
Term Structure1.9%-1.2%5.1%0.2%-0.1%
VWIV27.8%23.1%30.5%29.0%28.0%
Skew 25d3.5%-3.6%6.9%0.4%1.5%
Skew 10d5.7%-6.2%17.6%-4.2%-0.4%
Call IV 25d26.1%21.6%30.3%30.3%27.3%
Put IV 25d29.7%22.6%32.0%30.7%28.8%
Bid-Ask Spread %29.3613.5486.0432.9136.20
Gamma HHI0.290.280.310.280.31
Net GEX170.6K-226.3K546.3K312.0K-88.9K
Net DEX-14.0M-24.6M-6.5M-16.9M-6.6M
Net VEX-131.5K-144.3K-118.6K-144.3K-118.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.032.090.470.42
Total Volume1,057.3333672,7891,826367
Total OI79,164.71470,70284,09380,29472,021

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$13.87$13.0028.2%8.1%23.5%42.2%29.0%0.4%0.2%312.0K-16.9M-144.3K0.4732.911,24058638,01342,281
2010-11-02$14.08$13.0027.0%7.7%23.5%38.2%28.4%2.7%2.5%351.3K-20.4M-141.2K0.3119.451,59150137,91842,518
2010-11-03$14.11$13.0026.6%7.6%23.2%37.1%26.5%3.5%3.6%398.8K-21.2M-140.9K0.1333.827209538,50142,625
2010-11-04$14.24$13.0026.2%7.5%23.0%35.8%23.1%-3.6%1.3%491.8K-24.1M-138.0K0.3119.2597730438,92542,689
2010-11-05$14.19$13.0025.3%8.3%23.0%32.8%28.8%4.8%1.4%496.0K-23.4M-136.1K0.5127.1931215838,93642,645
2010-11-08$14.26$13.0024.9%8.3%22.0%31.5%29.1%6.4%1.0%546.3K-24.6M-132.3K0.2316.953528238,91942,651
2010-11-09$13.93$13.0025.4%8.0%24.1%33.2%28.2%2.8%1.9%434.4K-19.2M-134.3K0.2232.0463113838,95642,630
2010-11-10$13.69$13.0026.9%8.1%25.2%37.9%28.7%-0.2%1.8%271.6K-14.3M-136.9K0.6142.3760036938,93342,725
2010-11-11$13.69$13.0027.5%7.9%24.9%40.0%28.8%2.4%2.6%321.4K-14.7M-134.9K2.0928.369021,88739,13242,733
2010-11-12$13.56$13.0028.5%8.2%25.2%43.3%28.9%2.9%1.9%175.6K-11.9M-138.8K1.3324.7129539139,45643,822
2010-11-15$13.51$13.0028.0%8.0%25.3%41.4%29.4%3.0%2.0%64.7K-11.5M-133.5K0.0913.546715939,50444,132
2010-11-16$13.30$13.0030.5%8.7%24.0%49.7%30.5%4.6%1.2%-188.9K-6.5M-133.9K0.6738.7564042739,31444,127
2010-11-17$13.31$13.0030.7%8.8%20.4%50.4%29.6%5.1%-1.2%-226.3K-8.2M-130.2K0.0614.487254639,35543,986
2010-11-18$13.56$13.0026.6%7.6%17.5%37.1%28.0%6.9%3.7%56.2K-12.1M-128.8K0.2613.9286622339,54944,006
2010-11-19$13.57$13.0025.8%7.4%17.0%34.5%24.5%6.6%2.1%62.0K-12.6M-129.6K0.0720.971,3329739,99144,102
2010-11-22$13.64$13.0025.2%7.2%17.0%32.5%26.0%5.3%2.3%-2.0K-10.3M-121.1K0.1486.041,14216232,61138,091
2010-11-23$13.42$13.0029.0%8.3%18.0%44.7%25.8%2.2%1.1%-71.2K-6.6M-124.4K0.8331.9241034033,20238,217
2010-11-24$13.75$13.0024.8%7.1%19.4%31.2%26.5%6.6%3.5%106.7K-11.3M-122.9K0.0333.561,5594033,13538,285
2010-11-26$13.53$13.0024.3%7.0%20.2%29.6%27.1%5.7%5.1%25.5K-9.2M-121.4K0.0927.184474233,61138,263
2010-11-29$13.55$13.0026.4%7.6%20.3%36.3%28.0%4.7%2.7%45.2K-9.6M-118.7K1.1922.8921826033,66538,284
2010-11-30$13.32$13.0030.4%8.7%20.8%49.3%28.0%1.5%-0.1%-88.9K-6.6M-118.6K0.4236.2025910833,69138,330