LUV Options History — December 2010

In December 2010, LUV traded between $12.60 and $13.42. ATM implied volatility averaged 28.6%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 10.1% (HV 20d: 18.5%). Max pain ranged from $12.50 to $13.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2010-12-15: Highest Volume — 2,949 contracts
  • 2010-12-14: Largest IV spike — 59.5% change
  • 2010-12-14: Highest IV Rank — 67.8%
  • 2010-12-27: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.98$12.60$13.42$13.42$12.98
Max Pain$12.57$12.50$13.00$13.00$12.50
ATM IV28.6%22.6%36.1%29.6%30.2%
Expected Move8.4%7.4%9.1%8.5%8.7%
HV 20d18.5%15.5%20.2%20.1%15.5%
HV 60d25.1%20.2%28.3%27.8%20.2%
IV Rank43.5%24.2%67.8%46.9%48.7%
IV Percentile28.1%2.0%79.0%31.0%42.1%
Term Structure0.3%-3.6%5.8%-1.0%0.4%
VWIV28.2%25.3%30.7%25.9%30.7%
Skew 25d3.2%-4.5%23.9%2.8%23.9%
Skew 10d10.3%-7.6%100.4%4.5%100.4%
Call IV 25d27.7%24.7%30.7%25.9%30.7%
Put IV 25d30.9%25.6%54.6%28.7%54.6%
Bid-Ask Spread %29.3612.3559.1450.2312.35
Gamma HHI0.350.290.520.310.30
Net GEX-212.5K-792.0K150.9K-36.3K117.4K
Net DEX-1.7M-7.8M6.5M-7.8M-5.2M
Net VEX-105.6K-117.9K-97.2K-117.9K-110.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.041.310.070.26
Total Volume1,341.5912772,9497171,817
Total OI68,38857,57377,58072,07363,619

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$13.42$13.0029.6%8.5%20.1%46.9%25.9%2.8%-1.0%-36.3K-7.8M-117.9K0.0750.236704733,68638,387
2010-12-02$13.28$13.0028.9%8.3%20.2%44.4%28.8%-1.1%0.2%-167.8K-5.0M-113.2K0.8942.6458852433,90638,407
2010-12-03$13.20$13.0025.9%7.4%19.7%34.8%25.3%-4.5%5.8%-317.9K-3.9M-114.3K0.0841.045534234,10538,854
2010-12-06$13.01$12.5026.3%8.4%20.1%36.0%28.6%5.3%2.5%-449.4K-1.3M-109.5K0.3228.651,06233534,27538,883
2010-12-07$12.95$12.5026.1%8.5%19.8%35.5%27.7%5.9%1.4%-522.2K167.4K-108.7K1.1431.2257465534,42139,005
2010-12-08$12.82$12.5027.9%8.5%18.7%41.2%28.9%5.4%0.1%-572.8K2.5M-105.7K0.7228.3666447634,46338,738
2010-12-09$12.85$12.5026.8%8.4%18.1%37.9%29.5%4.3%0.7%-611.7K1.9M-104.7K0.8527.0581268734,32338,849
2010-12-10$12.90$12.5027.3%8.8%18.3%39.4%29.2%6.6%-0.5%-620.6K981.1K-104.7K0.0532.311,3647034,64638,551
2010-12-13$12.84$12.5022.6%8.8%18.1%24.2%30.3%5.6%-0.7%-792.0K1.7M-103.5K0.1433.176629535,47038,437
2010-12-14$12.88$12.5036.1%8.3%18.2%67.8%28.8%-1.0%1.6%-668.6K595.3K-103.6K0.5719.341,39178835,69038,446
2010-12-15$12.60$12.5029.5%8.5%19.0%46.5%28.8%-2.2%1.0%-469.4K6.5M-97.2K0.1235.862,63031936,05739,073
2010-12-16$12.64$12.5029.9%8.6%19.0%47.8%28.7%4.8%0.1%-509.9K6.2M-98.5K0.3823.211,22046537,64739,202
2010-12-17$12.93$12.5028.9%8.3%19.7%44.7%28.6%-1.7%0.9%62.0K4.5M-101.3K0.3917.3665325638,21739,363
2010-12-20$12.94$12.5029.2%8.4%19.7%45.5%26.2%2.8%-2.3%57.6K-3.0M-100.2K0.1320.211,36618129,55128,022
2010-12-21$13.10$12.5027.8%8.0%20.2%40.8%26.1%3.0%1.2%113.2K-4.9M-100.8K0.5527.7465535930,09728,081
2010-12-22$13.09$12.5027.8%8.0%19.5%41.1%26.1%1.8%-0.5%109.1K-4.9M-101.1K0.3121.9449715330,51228,129
2010-12-23$12.94$12.5027.4%7.9%17.3%39.8%26.6%0.5%0.2%80.9K-3.6M-100.0K0.2129.502,25247030,81828,191
2010-12-27$12.99$12.5031.6%9.1%16.7%53.2%29.2%2.0%-3.6%118.9K-4.8M-106.5K1.3159.1412015732,49028,425
2010-12-28$13.08$12.5030.3%8.7%17.0%49.2%30.3%1.2%-1.1%139.6K-5.9M-106.6K0.6026.5866339532,55228,530
2010-12-29$13.06$12.5029.1%8.3%16.0%45.2%29.0%2.7%-0.8%150.9K-6.6M-107.2K0.5222.6380841833,08428,818
2010-12-30$12.97$12.5029.1%8.3%15.8%45.2%27.3%2.1%1.1%114.3K-5.4M-107.6K0.0415.311,5445833,39229,124
2010-12-31$12.98$12.5030.2%8.7%15.5%48.7%30.7%23.9%0.4%117.4K-5.2M-110.9K0.2612.351,43937834,44429,175