LUV Options History — March 2011

In March 2011, LUV traded between $11.57 and $12.81. ATM implied volatility averaged 30.9%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 4.9% (HV 20d: 35.8%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.37.

Notable Days

  • 2011-03-04: Highest Volume — 12,732 contracts
  • 2011-03-17: Largest IV drop — 17.3% change
  • 2011-03-16: Highest IV Rank — 75.4%
  • 2011-03-16: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.28$11.57$12.81$11.71$12.63
Max Pain$12.13$12.00$13.00$13.00$12.00
ATM IV30.9%24.0%38.4%30.5%26.9%
Expected Move8.7%6.9%11.0%8.7%7.7%
HV 20d35.8%27.3%42.0%27.7%36.7%
HV 60d27.8%22.8%30.0%22.8%30.0%
IV Rank51.1%28.8%75.4%49.7%38.2%
IV Percentile55.7%4.4%94.0%59.5%24.2%
Term Structure0.9%-3.3%6.1%-0.9%1.8%
VWIV30.1%23.9%37.4%31.4%27.3%
Skew 25d2.9%-5.2%11.9%8.6%2.2%
Skew 10d3.0%-13.8%17.4%14.5%5.2%
Call IV 25d28.3%22.1%36.7%25.4%25.6%
Put IV 25d31.2%20.0%40.0%34.0%27.8%
Bid-Ask Spread %26.9715.3037.1719.5617.75
Gamma HHI0.340.170.560.310.31
Net GEX754.4K-273.0K1.5M-273.0K1.3M
Net DEX-12.9M-31.3M12.5M11.3M-27.7M
Net VEX-144.6K-173.7K-107.9K-109.0K-170.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.031.380.150.52
Total Volume4,150.17441512,7321,391714
Total OI81,943.08751,971106,09769,51974,584

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$11.71$13.0030.5%8.7%27.7%49.7%31.4%8.6%-0.9%-273.0K11.3M-109.0K0.1519.561,21417738,55430,965
2011-03-02$11.57$13.0033.0%9.5%28.0%57.8%35.1%-5.0%-1.9%-144.2K12.5M-107.9K0.0326.979,14328239,50031,056
2011-03-03$11.78$13.0031.7%9.1%27.5%53.5%33.2%-1.3%-1.0%85.5K7.8M-117.6K0.1122.672,02622646,16731,242
2011-03-04$11.80$12.0035.2%9.1%27.3%64.9%32.4%1.6%-0.7%152.9K7.4M-118.8K0.1330.4111,2741,45847,51331,274
2011-03-07$11.77$12.0033.3%9.7%27.3%58.9%33.3%0.7%-2.1%803.0K4.1M-122.0K0.5027.491,56177657,01032,324
2011-03-08$12.66$12.0035.8%8.7%36.7%66.9%31.4%10.8%0.7%399.1K-19.8M-135.9K0.1931.619,0391,70257,16732,775
2011-03-09$12.31$12.0034.0%9.1%38.0%60.9%30.3%5.6%0.6%675.1K-10.8M-136.7K0.3125.727,1702,24960,07833,666
2011-03-10$12.50$12.0036.0%10.3%38.3%67.4%33.3%11.9%-2.6%614.8K-21.4M-154.4K0.1624.992,96847565,84734,880
2011-03-11$12.72$12.0031.1%8.9%38.7%51.6%31.1%2.1%1.9%431.2K-30.8M-155.4K0.1421.191,49820867,06234,929
2011-03-14$12.40$12.0033.6%9.6%39.9%59.6%32.0%1.7%-0.7%656.3K-20.9M-147.2K1.3825.052,3483,24366,50434,906
2011-03-15$12.38$12.0034.7%10.0%39.4%63.4%33.4%7.0%-0.5%756.8K-14.3M-156.0K0.5728.801,01057767,26037,925
2011-03-16$12.02$12.0038.4%11.0%40.4%75.4%37.4%4.6%-3.3%1.0M-3.0M-149.6K0.5230.441,26365767,30538,048
2011-03-17$11.85$12.0031.8%9.1%40.7%53.9%32.6%4.2%2.4%1.2M3.5M-140.9K0.2634.791,10628267,22438,308
2011-03-18$12.20$12.0031.7%9.1%42.0%53.5%29.8%4.8%1.1%1.5M-13.4M-139.1K0.9123.901,06797567,66138,436
2011-03-21$12.28$12.0028.7%8.2%42.0%43.8%28.6%-5.2%2.3%627.0K-12.9M-134.8K0.4629.7979036137,59214,379
2011-03-22$12.32$12.0028.7%8.2%36.6%43.8%27.6%-3.4%2.6%646.5K-13.7M-135.8K0.0424.207,11225537,86514,576
2011-03-23$12.42$12.0027.7%7.9%36.0%40.6%26.0%1.1%2.9%864.6K-19.3M-148.7K0.0734.794,37632743,95114,641
2011-03-24$12.54$12.0024.0%6.9%36.1%28.8%24.0%6.5%6.1%1.0M-23.0M-158.5K0.0923.214,18937647,70114,854
2011-03-25$12.68$12.0025.9%7.4%36.2%34.9%25.9%5.1%2.7%1.2M-28.7M-166.9K0.4430.406,0352,67951,64515,153
2011-03-28$12.58$12.0026.4%7.6%36.4%36.3%27.0%2.0%2.6%1.3M-27.6M-173.7K0.9234.0250046156,08517,762
2011-03-29$12.51$12.0025.3%7.2%36.2%32.7%24.4%2.7%5.0%1.3M-25.7M-173.4K0.1337.173674856,13217,971
2011-03-30$12.81$12.0027.3%7.8%36.4%39.5%23.9%-2.1%2.1%1.3M-31.3M-172.3K0.3815.3064624456,22017,994
2011-03-31$12.63$12.0026.9%7.7%36.7%38.2%27.3%2.2%1.8%1.3M-27.7M-170.6K0.5217.7547124356,51118,073