LUV Options History — April 2011

In April 2011, LUV traded between $11.31 and $12.67. ATM implied volatility averaged 27.0%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.5% (HV 20d: 24.4%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2011-04-07: Highest Volume — 24,460 contracts
  • 2011-04-04: Largest IV spike — 43.2% change
  • 2011-04-04: Highest IV Rank — 64.3%
  • 2011-04-04: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.81$11.31$12.67$12.67$11.75
Max Pain$11.25$11.00$12.00$12.00$11.00
ATM IV27.0%22.0%35.9%24.4%23.3%
Expected Move7.8%6.3%9.2%7.0%6.7%
HV 20d24.4%19.9%37.4%36.7%20.8%
HV 60d30.1%28.9%30.7%30.0%28.9%
IV Rank28.4%7.3%64.3%30.1%12.4%
IV Percentile26.8%1.2%87.7%6.7%4.4%
Term Structure1.4%0.2%3.8%3.6%1.5%
VWIV27.3%20.5%31.2%23.7%21.2%
Skew 25d1.5%-8.5%10.4%-8.5%-2.5%
Skew 10d2.0%-10.2%14.4%-2.5%0.7%
Call IV 25d25.9%19.4%31.1%23.4%20.6%
Put IV 25d27.4%14.9%33.3%14.9%18.1%
Bid-Ask Spread %21.3211.2045.3715.9923.18
Gamma HHI0.290.210.360.310.35
Net GEX1.4M512.5K2.1M1.4M2.0M
Net DEX-23.1M-41.5M-2.7M-28.5M-39.5M
Net VEX-191.8K-221.5K-165.8K-170.8K-219.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.106.470.310.61
Total Volume6,568.8534124,4603411,750
Total OI112,666.6575,050135,79875,050135,781

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$12.67$12.0024.4%7.0%36.7%30.1%23.7%-8.5%3.6%1.4M-28.5M-170.8K0.3115.992608156,80918,241
2011-04-04$12.46$12.0035.0%9.2%37.4%64.3%31.1%10.4%0.6%1.3M-23.9M-165.8K4.8613.593,39116,48156,88218,240
2011-04-05$12.20$12.0031.3%8.7%27.6%52.4%29.9%5.4%1.7%925.0K-15.5M-171.8K1.5317.253,0524,67358,50726,030
2011-04-06$12.15$12.0027.1%8.8%25.9%38.7%31.1%4.2%0.6%676.6K-11.4M-175.6K1.1716.011,2751,48659,90131,844
2011-04-07$11.80$12.0022.9%8.8%27.0%10.9%31.2%1.0%0.2%512.5K-2.7M-166.5K0.1014.3622,2442,21660,88432,200
2011-04-08$11.68$11.0026.5%8.1%26.0%24.7%28.5%1.9%0.5%1.2M-16.6M-188.2K0.2620.647,0271,82381,49732,829
2011-04-11$11.78$11.0029.0%7.8%25.1%34.2%27.7%3.3%1.8%1.4M-22.7M-194.6K6.4716.818855,72886,64133,380
2011-04-12$11.84$11.0027.3%8.4%25.3%27.7%29.5%-0.9%0.3%1.3M-25.0M-202.5K0.6320.232,9751,86987,02037,003
2011-04-13$11.75$11.0035.9%8.0%23.3%61.1%28.6%3.7%1.0%1.3M-22.5M-202.5K0.8919.6499988788,53937,577
2011-04-14$11.60$11.0029.8%8.5%23.2%37.3%29.7%0.3%0.4%1.3M-16.1M-199.9K1.2214.002,1322,59488,74737,733
2011-04-15$11.63$11.0028.8%8.2%20.3%33.4%29.4%-0.3%0.6%1.4M-16.9M-198.4K0.5713.943,2651,87789,24238,264
2011-04-18$11.55$11.0029.1%8.3%20.1%34.7%29.0%-3.3%0.6%1.5M-23.7M-191.8K1.5026.261,0071,51279,58529,226
2011-04-19$11.57$11.0024.4%7.0%20.0%16.6%28.7%6.0%2.4%1.5M-23.2M-189.3K3.9741.748313,29879,97830,503
2011-04-20$11.63$11.0026.3%7.5%19.9%23.7%25.9%-1.6%0.8%1.4M-25.5M-190.7K0.7327.4997971680,27833,236
2011-04-21$11.31$11.0023.8%6.8%21.0%14.3%26.2%-3.4%3.8%1.4M-14.4M-180.8K0.3745.374,4491,62680,64533,604
2011-04-25$11.51$11.0024.5%7.0%21.8%16.7%25.4%4.4%2.4%1.5M-21.2M-180.1K0.1028.5313,4731,28682,44434,724
2011-04-26$11.68$11.0024.3%7.0%22.8%16.1%24.5%4.0%1.2%1.8M-33.4M-212.6K0.8220.321,13092893,91635,260
2011-04-27$11.77$11.0023.3%6.7%23.2%12.1%23.2%6.4%2.1%1.9M-36.7M-213.9K0.1719.808,1081,35194,47135,874
2011-04-28$11.81$11.0022.0%6.3%21.1%7.3%20.5%-1.6%2.7%2.1M-41.5M-221.5K0.3311.201,28442999,70636,092
2011-04-29$11.75$11.0023.3%6.7%20.8%12.4%21.2%-2.5%1.5%2.0M-39.5M-219.5K0.6123.181,08766399,46536,316