LUV Options History — January 2011

In January 2011, LUV traded between $11.85 and $13.32. ATM implied volatility averaged 27.3%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 9.7% (HV 20d: 17.6%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2011-01-21: Highest Volume — 3,784 contracts
  • 2011-01-10: Largest IV spike — 28.9% change
  • 2011-01-12: Highest IV Rank — 61.4%
  • 2011-01-18: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.87$11.85$13.32$13.24$11.85
Max Pain$12.85$12.00$13.00$12.50$12.00
ATM IV27.3%22.4%34.1%29.4%24.7%
Expected Move7.8%6.4%8.8%8.4%7.1%
HV 20d17.6%15.0%24.2%17.0%24.1%
HV 60d19.3%17.3%20.6%20.5%20.0%
IV Rank39.5%23.5%61.4%46.2%30.9%
IV Percentile24.4%2.0%76.2%35.7%4.8%
Term Structure1.1%-2.0%3.3%-1.3%2.8%
VWIV26.9%21.9%31.0%27.4%24.7%
Skew 25d3.0%-0.7%8.3%1.8%-0.7%
Skew 10d14.3%-2.2%83.2%83.2%1.4%
Call IV 25d25.3%19.1%31.6%26.5%21.0%
Put IV 25d28.3%20.3%33.2%28.3%20.4%
Bid-Ask Spread %26.9217.2751.7220.4751.72
Gamma HHI0.310.260.340.310.28
Net GEX138.0K-69.8K317.3K206.0K-69.8K
Net DEX-4.9M-12.3M10.1M-9.3M10.1M
Net VEX-119.7K-129.3K-94.6K-116.8K-94.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.041.660.290.59
Total Volume1,687.52213,7843,7181,146
Total OI65,272.750,61075,18264,99755,138

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$13.24$12.5029.4%8.4%17.0%46.2%27.4%1.8%-1.3%206.0K-9.3M-116.8K0.2920.472,88383535,65729,340
2011-01-04$13.32$12.5025.4%7.3%16.2%33.1%29.0%6.6%2.8%258.4K-10.9M-125.9K0.4317.7063527637,40629,852
2011-01-05$13.31$12.5023.2%6.7%16.1%26.2%24.7%3.0%2.6%284.2K-12.3M-128.7K0.2818.3476221137,93829,998
2011-01-06$13.16$12.5029.0%8.3%16.2%44.8%28.5%1.1%1.7%209.1K-10.1M-126.4K0.0920.371,0168837,95830,153
2011-01-07$13.29$13.0023.0%8.6%16.5%25.4%28.9%8.3%0.0%292.7K-11.6M-129.3K0.0922.631,54214238,72230,212
2011-01-10$13.30$13.0029.6%8.3%16.5%46.8%28.5%7.1%1.6%317.3K-11.7M-127.8K0.1019.452002139,72430,257
2011-01-11$13.07$13.0032.9%8.4%17.7%57.5%29.1%3.4%-0.3%224.1K-9.5M-125.3K0.0427.338533639,77330,263
2011-01-12$13.16$13.0034.1%8.0%17.8%61.4%27.7%2.9%0.3%260.8K-10.3M-125.0K0.6817.2738626240,03030,293
2011-01-13$13.09$13.0029.3%8.4%15.8%45.9%28.7%2.6%-1.1%222.1K-9.3M-124.0K0.2623.1058715240,23130,383
2011-01-14$13.24$13.0028.4%8.1%16.2%43.0%28.3%2.0%1.9%290.9K-11.5M-125.1K1.6623.739211,53040,42530,484
2011-01-18$13.08$13.0030.7%8.8%15.0%50.3%30.0%1.1%-0.9%185.4K-9.0M-124.9K0.9327.551,7781,65940,87031,590
2011-01-19$12.83$13.0030.5%8.7%16.6%49.8%31.0%-0.1%-2.0%89.2K-4.6M-124.5K0.8221.781,10590341,59032,787
2011-01-20$12.79$13.0026.6%7.6%15.9%37.0%26.4%1.3%1.6%33.3K-5.1M-121.7K0.2833.591,66547441,85733,102
2011-01-21$12.57$13.0026.5%7.6%16.9%36.6%26.2%4.6%0.8%31.4K-718.2K-116.2K0.8526.482,0471,73741,96933,213
2011-01-24$12.76$13.0022.4%6.4%17.6%23.5%21.9%6.5%3.3%2.7K502.2K-116.4K0.2739.241,68145629,68720,923
2011-01-25$12.50$13.0026.7%7.7%18.8%37.5%26.2%1.4%1.2%-26.2K3.3M-113.6K0.3042.811,51044630,80221,290
2011-01-26$12.46$13.0024.6%7.1%18.5%30.7%24.1%1.3%1.2%-11.5K2.7M-114.8K0.5721.8231017631,92521,581
2011-01-27$12.49$13.0025.3%7.2%18.6%32.7%23.5%3.7%3.0%18.8K3.1M-114.4K0.3937.2166125932,03121,658
2011-01-28$11.93$13.0024.4%7.0%24.2%29.9%24.0%1.2%2.8%-59.6K9.2M-99.5K0.4025.791,71068932,49321,849
2011-01-31$11.85$12.0024.7%7.1%24.1%30.9%24.7%-0.7%2.8%-69.8K10.1M-94.6K0.5951.7272042633,04422,094