LUV Options History — February 2011

In February 2011, LUV traded between $11.57 and $12.57. ATM implied volatility averaged 26.2%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.6% (HV 20d: 26.8%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.21.

Notable Days

  • 2011-02-09: Highest Volume — 5,566 contracts
  • 2011-02-03: Largest IV drop — 24.0% change
  • 2011-02-22: Highest IV Rank — 47.6%
  • 2011-02-22: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.05$11.57$12.57$11.85$11.83
Max Pain$12.84$12.00$13.00$12.00$13.00
ATM IV26.2%20.4%29.8%24.3%26.6%
Expected Move7.7%5.9%8.6%7.0%7.6%
HV 20d26.8%22.5%32.0%22.5%27.6%
HV 60d21.3%19.9%23.1%19.9%22.8%
IV Rank35.9%17.2%47.6%29.5%37.2%
IV Percentile20.6%0.8%50.0%3.6%19.8%
Term Structure0.5%-1.6%4.1%1.2%2.4%
VWIV26.7%22.8%29.2%24.3%28.3%
Skew 25d1.4%-10.8%11.1%0.2%11.1%
Skew 10d8.1%-9.2%45.2%1.6%45.2%
Call IV 25d24.8%20.8%30.8%20.8%22.1%
Put IV 25d26.2%17.3%33.2%21.0%33.2%
Bid-Ask Spread %33.6524.3546.4046.4034.34
Gamma HHI0.270.210.320.280.32
Net GEX-224.2K-486.4K57.7K-80.8K-305.6K
Net DEX6.9M-212.5K13.4M10.3M11.2M
Net VEX-110.0K-124.4K-85.0K-95.8K-108.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.089.810.180.44
Total Volume2,044.7372755,5661,416689
Total OI65,891.94755,64170,86455,64169,162

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$11.85$12.0024.3%7.0%22.5%29.5%24.3%0.2%1.2%-80.8K10.3M-95.8K0.1846.401,20221433,34022,301
2011-02-02$11.57$12.0026.9%7.7%22.9%38.1%27.6%4.3%-1.4%-20.6K12.4M-85.0K1.3342.731,8792,50634,16022,411
2011-02-03$11.68$12.0020.4%5.9%23.6%17.2%22.8%-5.7%4.1%-129.4K12.8M-94.4K0.1027.104,59947534,62124,792
2011-02-04$11.72$13.0022.4%7.6%23.8%23.5%26.8%1.3%0.1%-9.3K10.1M-98.7K0.4836.091,01048538,19624,986
2011-02-07$12.02$13.0024.4%7.4%25.7%29.9%26.6%0.3%1.3%-13.3K5.4M-110.2K0.0825.453,96132838,40024,697
2011-02-08$12.18$13.0024.2%7.4%26.4%29.2%25.8%2.5%1.2%57.7K1.3M-113.6K0.5637.1743424341,66024,869
2011-02-09$12.27$13.0024.6%8.3%26.2%30.5%28.9%4.3%-0.9%-8.7K2.7M-116.2K9.8136.405155,05138,87824,995
2011-02-10$12.31$13.0026.6%7.6%26.1%37.0%25.9%-3.9%1.3%-307.3K4.4M-120.9K1.4938.9723735339,12029,477
2011-02-11$12.39$13.0027.4%7.9%26.3%39.8%27.2%1.2%0.1%-257.3K2.0M-124.4K1.6135.216511,04739,19529,608
2011-02-14$12.19$13.0027.8%8.0%26.2%40.9%27.6%-4.8%-0.6%-273.6K5.1M-115.9K0.8429.8568357139,33129,401
2011-02-15$12.37$13.0029.3%8.4%26.8%45.9%26.1%3.2%-1.1%-350.6K2.7M-119.5K1.3634.318351,13339,65329,867
2011-02-16$12.38$13.0027.3%7.8%26.1%39.4%26.5%1.1%0.7%-455.0K3.9M-120.2K0.1131.152472839,88730,863
2011-02-17$12.50$13.0026.9%7.7%26.4%38.0%24.4%4.0%1.3%-486.4K1.8M-120.2K0.2027.5152510740,00230,862
2011-02-18$12.57$13.0024.9%7.1%25.8%31.7%25.1%1.1%-0.4%-370.1K-212.5K-118.4K1.1426.2741347240,09030,340
2011-02-22$11.88$13.0029.8%8.6%32.0%47.6%29.2%-10.8%-1.6%-362.3K10.1M-103.9K1.0328.921,1311,16434,87829,500
2011-02-23$11.69$13.0027.1%7.8%31.7%38.5%28.0%6.4%0.7%-299.6K13.4M-98.9K0.2640.102,79473835,44830,134
2011-02-24$11.76$13.0029.4%8.4%31.9%46.3%28.5%7.2%0.3%-286.7K10.9M-113.6K1.5137.0255183037,64830,427
2011-02-25$11.79$13.0027.9%8.0%31.9%41.2%28.1%4.6%-0.2%-300.8K11.4M-111.2K0.4724.3550824137,92230,826
2011-02-28$11.83$13.0026.6%7.6%27.6%37.2%28.3%11.1%2.4%-305.6K11.2M-108.9K0.4434.3447821138,32630,836