LUV Options History — August 2011

In August 2011, LUV traded between $7.85 and $9.72. ATM implied volatility averaged 42.5%, placing in the 72.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 2.5% (HV 20d: 45.0%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.33.

Notable Days

  • 2011-08-05: Highest Volume — 5,910 contracts
  • 2011-08-05: Largest IV spike — 25.3% change
  • 2011-08-02: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.48$7.85$9.72$9.72$8.62
Max Pain$11.48$10.00$12.00$11.00$11.00
ATM IV42.5%33.2%57.2%35.5%35.7%
Expected Move11.8%9.5%14.5%10.2%10.2%
HV 20d45.0%21.3%56.8%21.3%54.9%
HV 60d32.4%21.6%37.9%21.6%37.6%
IV Rank72.1%43.8%100.0%87.9%49.6%
IV Percentile96.8%84.1%100.0%98.0%90.1%
Term Structure-0.3%-4.7%4.0%-1.9%2.7%
VWIV39.7%32.2%47.2%36.7%36.8%
Skew 25d6.1%-2.6%16.9%10.6%5.0%
Skew 10d10.4%-5.0%24.1%19.2%8.8%
Call IV 25d37.0%25.6%47.2%29.3%34.0%
Put IV 25d43.1%30.9%52.2%39.9%39.0%
Bid-Ask Spread %15.148.4228.4620.3010.26
Gamma HHI0.240.140.430.200.23
Net GEX100.2K-4.9K236.8K-4.9K236.8K
Net DEX12.7M8.6M15.5M12.0M8.6M
Net VEX-63.7K-83.5K-55.3K-83.5K-73.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.041.710.110.08
Total Volume1,931.6965325,9101,5192,186
Total OI88,316.65277,15597,48184,98784,066

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$9.72$11.0035.5%10.2%21.3%87.9%36.7%10.6%-1.9%-4.9K12.0M-83.5K0.1120.301,36515459,60425,383
2011-08-02$9.39$11.0042.9%12.3%22.7%100.0%41.1%2.1%-2.6%-1.5K13.6M-73.7K0.4213.141,15748160,46525,394
2011-08-03$9.65$10.0037.8%10.8%25.8%82.0%38.4%11.0%-3.2%9.7K12.5M-80.4K0.1712.812,14535561,28125,581
2011-08-04$8.84$10.0037.8%10.8%36.9%82.1%38.1%0.4%-2.8%17.3K15.5M-59.6K0.3913.672,07780662,39825,721
2011-08-05$8.47$12.0047.4%11.7%38.3%100.0%39.6%-2.6%-0.4%31.0K15.2M-58.5K0.4128.464,1781,73263,61625,998
2011-08-08$8.08$12.0057.2%14.5%39.6%100.0%42.1%5.0%-4.3%72.7K14.2M-58.1K1.7122.669701,65866,33726,824
2011-08-09$8.44$12.0050.9%12.7%44.8%85.4%45.8%4.2%-1.0%83.9K13.9M-61.2K0.4027.231,54061866,94826,522
2011-08-10$8.17$12.0055.8%13.3%45.2%96.8%35.5%8.7%-1.3%89.8K13.5M-61.9K0.1412.941,00713967,89826,763
2011-08-11$8.29$12.0046.9%13.5%46.3%75.9%46.4%5.4%-2.9%94.2K13.4M-63.8K0.0419.031,4086268,39326,783
2011-08-12$8.31$12.0042.3%12.1%46.5%65.1%38.2%6.6%0.7%109.7K13.5M-60.3K0.7112.5640729168,95626,677
2011-08-15$8.50$12.0040.7%11.7%47.9%61.4%37.2%6.6%-1.0%98.7K13.2M-62.0K0.0512.701,2195769,09226,847
2011-08-16$8.53$12.0036.7%10.5%47.5%52.0%37.4%6.1%1.4%89.8K13.2M-61.0K0.1412.542,64637269,37426,809
2011-08-17$8.47$12.0038.0%10.9%47.6%54.9%35.5%3.9%1.6%87.0K13.6M-60.1K0.1412.701,38119869,41327,012
2011-08-18$8.04$12.0043.5%12.5%49.6%68.0%43.4%9.3%-0.8%145.4K14.2M-57.0K0.2217.301,04622569,78127,060
2011-08-19$7.89$12.0047.4%13.6%49.6%77.0%47.2%5.9%-4.7%169.9K14.3M-56.7K0.1418.751,15616370,33727,144
2011-08-22$7.85$12.0043.9%12.6%49.6%68.9%43.6%2.6%1.7%77.5K12.6M-55.3K0.4118.5865626952,64024,515
2011-08-23$8.01$12.0041.9%12.0%51.0%64.1%41.6%16.9%3.1%84.0K12.7M-56.1K0.0710.372,33216052,88524,685
2011-08-24$8.21$11.0041.0%11.7%52.6%62.0%37.4%-0.9%0.7%145.8K11.1M-62.1K0.5610.4134219054,94324,327
2011-08-25$8.12$11.0041.3%11.8%52.5%62.8%44.3%7.9%2.3%140.5K11.2M-61.5K0.388.4260422855,20724,430
2011-08-26$8.20$11.0039.7%11.4%52.1%58.9%32.2%11.1%3.3%158.3K11.0M-61.6K0.748.7052338855,55624,448
2011-08-29$8.68$11.0039.8%11.4%56.8%59.3%39.4%4.3%-0.6%155.9K9.7M-68.4K0.089.863,39625855,60324,746
2011-08-30$8.54$11.0033.2%9.5%56.0%43.8%36.3%9.9%4.0%213.0K9.4M-68.2K0.0514.881,7978758,02924,792
2011-08-31$8.62$11.0035.7%10.2%54.9%49.6%36.8%5.0%2.7%236.8K8.6M-73.3K0.0810.262,02216459,26424,802