LUV Options History — June 2011

In June 2011, LUV traded between $10.77 and $11.59. ATM implied volatility averaged 26.9%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.7% (HV 20d: 20.2%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-06-21: Highest Volume — 12,453 contracts
  • 2011-06-07: Largest IV spike — 16.0% change
  • 2011-06-17: Highest IV Rank — 51.7%
  • 2011-06-07: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.20$10.77$11.59$11.59$11.42
Max Pain$11.59$11.00$12.00$12.00$11.00
ATM IV26.9%21.8%30.3%24.3%23.8%
Expected Move7.9%6.6%8.9%7.0%6.8%
HV 20d20.2%14.7%25.5%17.3%24.5%
HV 60d20.9%19.4%26.4%26.4%20.4%
IV Rank33.0%6.3%51.7%16.0%18.6%
IV Percentile35.3%1.6%67.1%8.7%7.1%
Term Structure2.1%-1.4%5.4%0.7%5.4%
VWIV26.5%19.6%30.8%19.6%23.8%
Skew 25d3.3%-10.0%14.0%-10.0%9.7%
Skew 10d6.5%-3.7%22.8%-3.7%7.4%
Call IV 25d25.3%13.8%32.4%24.0%13.8%
Put IV 25d28.6%14.0%33.4%14.0%23.6%
Bid-Ask Spread %22.378.5673.6620.018.99
Gamma HHI0.360.260.510.430.40
Net GEX695.6K-54.3K1.2M1.0M1.1M
Net DEX-4.8M-16.0M10.3M-10.3M-14.7M
Net VEX-142.9K-168.4K-115.0K-156.5K-157.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.018.910.620.04
Total Volume3,592.18253612,4531,9417,832
Total OI97,091.13661,742117,374102,88680,368

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$11.59$12.0024.3%7.0%17.3%16.0%19.6%-10.0%0.7%1.0M-10.3M-156.5K0.6220.011,19774473,02129,865
2011-06-02$11.57$12.0028.1%8.1%17.1%30.9%28.5%1.4%-1.2%999.5K-11.1M-158.4K0.0648.096,82840773,59930,155
2011-06-03$11.56$12.0024.2%7.5%14.7%15.6%0.0%3.7%2.3%1.2M-10.3M-158.8K4.4124.072861,26179,99330,200
2011-06-06$11.23$12.0021.8%8.3%16.1%6.3%27.8%-3.2%1.2%779.8K-2.9M-146.4K0.2626.912,36961080,00030,927
2011-06-07$11.34$12.0025.2%8.9%16.6%21.7%27.8%8.9%-1.4%811.0K-4.0M-145.7K0.3973.6682032179,84131,142
2011-06-08$11.08$12.0028.8%8.0%17.6%36.8%27.7%4.3%0.9%352.8K2.9M-135.9K0.6335.1332920780,03831,151
2011-06-09$11.05$12.0027.5%7.9%17.4%37.5%29.0%3.6%2.3%216.6K4.0M-131.6K0.3625.8358520980,09131,054
2011-06-10$10.93$12.0027.2%7.8%17.4%35.9%27.2%2.5%2.4%62.1K7.1M-126.3K0.3719.5385831680,24431,093
2011-06-13$10.93$12.0028.4%8.1%17.5%42.0%25.2%-0.8%2.2%129.3K6.6M-122.9K0.3822.824,3671,64380,81131,019
2011-06-14$11.09$12.0028.5%8.2%18.5%42.5%27.1%2.7%0.6%123.8K3.7M-125.6K0.0922.001,60214484,45631,524
2011-06-15$10.77$12.0028.9%8.3%19.9%44.5%26.1%-0.2%2.7%6499.8M-116.6K0.3423.171,66956485,90731,393
2011-06-16$10.77$12.0029.0%8.3%19.7%45.0%28.6%8.5%2.4%86.3K10.3M-115.0K0.4518.251,72077786,05431,320
2011-06-17$10.94$12.0030.3%8.7%20.4%51.7%30.3%2.7%0.4%-54.3K7.4M-118.4K0.1819.879,2911,63685,68831,125
2011-06-20$11.04$11.0029.7%8.5%21.0%48.6%30.8%3.4%2.3%754.1K-8.3M-129.0K0.5410.681,41076045,99815,744
2011-06-21$11.16$11.0027.6%7.9%21.6%37.7%22.9%14.0%3.1%822.8K-9.1M-130.3K0.0112.1912,3817246,71116,324
2011-06-22$11.02$11.0027.7%7.9%21.6%38.4%24.8%11.9%1.9%1.2M-11.1M-145.2K8.9119.286125,45358,73916,375
2011-06-23$11.41$11.0027.4%7.9%25.4%36.9%26.8%2.7%3.0%1.2M-16.0M-168.4K0.2415.044,1661,01558,84921,604
2011-06-24$11.36$11.0026.5%7.6%25.4%32.4%26.4%-0.2%3.7%1.1M-14.3M-167.6K0.0714.629957359,52722,085
2011-06-27$11.39$11.0027.7%7.9%25.4%38.2%28.1%0.4%2.5%1.1M-14.9M-165.5K0.0110.671,6912158,48822,125
2011-06-28$11.43$11.0026.6%7.6%25.5%32.9%26.5%0.2%4.0%1.2M-15.2M-163.9K0.8612.8158349959,02322,134
2011-06-29$11.39$11.0023.1%6.6%24.5%15.1%21.9%6.6%5.2%1.1M-14.6M-158.7K0.708.5641429157,88422,316
2011-06-30$11.42$11.0023.8%6.8%24.5%18.6%23.8%9.7%5.4%1.1M-14.7M-157.9K0.048.997,53130157,84122,527