LUV Options History — May 2011

In May 2011, LUV traded between $11.54 and $12.40. ATM implied volatility averaged 26.1%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.7% (HV 20d: 18.4%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2011-05-10: Highest Volume — 11,513 contracts
  • 2011-05-05: Largest IV spike — 21.2% change
  • 2011-05-10: Highest IV Rank — 41.4%
  • 2011-05-11: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.00$11.54$12.40$11.61$11.83
Max Pain$11.81$11.00$12.00$11.00$12.00
ATM IV26.1%20.3%30.9%25.1%23.9%
Expected Move7.5%5.8%8.5%7.2%6.9%
HV 20d18.4%15.7%21.6%20.8%15.7%
HV 60d27.7%26.1%29.1%29.0%26.1%
IV Rank23.2%0.8%41.4%19.4%14.6%
IV Percentile24.7%0.4%62.7%11.5%6.7%
Term Structure1.9%-0.7%5.5%1.2%-0.3%
VWIV26.8%23.3%29.9%25.3%23.8%
Skew 25d1.7%-9.0%8.3%3.1%-3.8%
Skew 10d7.5%-7.9%26.1%5.4%-3.5%
Call IV 25d25.1%19.6%30.2%24.1%21.2%
Put IV 25d26.8%15.7%32.1%27.2%17.4%
Bid-Ask Spread %29.1912.6965.3723.7345.30
Gamma HHI0.460.340.630.340.45
Net GEX2.3M1.2M3.6M2.0M1.3M
Net DEX-49.3M-83.5M-16.3M-33.0M-17.5M
Net VEX-197.6K-216.7K-164.8K-214.5K-164.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.024.620.060.85
Total Volume2,506.57136811,5132,4161,260
Total OI135,170.095100,371157,880136,584102,671

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$11.61$11.0025.1%7.2%20.8%19.4%25.3%3.1%1.2%2.0M-33.0M-214.5K0.0623.732,26914799,65736,927
2011-05-03$11.54$11.0023.4%6.7%20.3%12.8%23.5%1.6%4.4%2.2M-31.0M-211.4K0.2665.371,432378100,89736,932
2011-05-04$11.64$11.0020.3%5.8%19.7%0.8%25.2%6.7%5.5%2.2M-35.2M-210.8K0.3621.8827098101,72837,210
2011-05-05$11.91$11.0024.7%7.1%21.6%17.5%24.2%-1.8%2.2%2.2M-47.2M-216.7K0.0246.116,079143101,80137,209
2011-05-06$12.11$12.0025.2%7.6%19.7%19.8%28.4%0.7%2.9%2.3M-60.0M-215.4K0.1233.604,575569105,76337,127
2011-05-09$12.00$12.0025.9%7.9%19.6%22.4%27.8%1.7%3.0%2.4M-55.0M-209.8K0.0919.7386582107,57236,999
2011-05-10$12.10$12.0030.9%8.4%19.6%41.4%29.7%1.8%0.3%2.3M-60.1M-211.1K0.0836.0910,682831107,42136,951
2011-05-11$12.14$12.0029.0%8.5%19.6%34.3%29.3%5.4%0.9%3.2M-67.1M-211.7K0.1430.652,519354115,98736,695
2011-05-12$12.14$12.0029.1%8.3%19.3%34.5%29.0%2.1%1.5%3.3M-70.0M-210.5K0.1939.791,674314117,08236,859
2011-05-13$12.07$12.0028.9%8.3%18.8%34.0%28.7%1.5%1.4%3.5M-66.2M-208.2K1.3525.971,0501,418117,53736,779
2011-05-16$12.14$12.0029.0%8.3%18.8%34.4%29.9%1.9%1.6%3.6M-72.0M-200.1K0.2030.951,291263117,82237,327
2011-05-17$12.22$12.0028.1%8.1%18.6%30.9%28.7%3.5%1.6%3.4M-74.3M-198.2K4.6212.696492,997117,82537,325
2011-05-18$12.27$12.0028.1%8.1%18.6%30.9%28.6%4.6%2.1%3.3M-78.9M-198.9K0.4820.52611291117,76940,111
2011-05-19$12.40$12.0028.1%8.1%18.7%30.9%26.3%7.4%1.6%2.3M-83.5M-195.1K0.2113.621,602339117,45139,808
2011-05-20$12.27$12.0025.9%7.4%15.7%22.2%25.8%-3.9%3.3%3.2M-80.1M-190.8K0.2620.35564147117,46039,827
2011-05-23$12.14$12.0027.6%7.9%15.7%28.8%29.1%-9.0%0.8%1.5M-28.7M-185.5K0.4621.911,07349672,26528,106
2011-05-24$11.97$12.0025.9%7.4%16.1%22.3%28.1%0.9%-0.7%1.4M-23.3M-181.0K0.9020.841,5821,42972,52028,365
2011-05-25$11.84$12.0024.0%6.9%16.4%15.1%24.5%8.3%1.7%1.2M-18.2M-175.1K0.2718.2287723672,56429,479
2011-05-26$11.79$12.0022.8%6.5%16.5%10.5%23.3%7.0%2.2%1.2M-16.3M-171.3K0.3440.8748116472,77129,546
2011-05-27$11.83$12.0022.5%6.4%16.4%9.1%23.9%-4.2%2.8%1.3M-17.1M-169.1K0.4124.8538115672,85629,571
2011-05-31$11.83$12.0023.9%6.9%15.7%14.6%23.8%-3.8%-0.3%1.3M-17.5M-164.8K0.8545.3068257873,03029,641