LUV Options History — September 2011

In September 2011, LUV traded between $7.96 and $8.97. ATM implied volatility averaged 42.1%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 1.6% (HV 20d: 43.7%). Max pain ranged from $8.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2011-09-09: Highest Volume — 3,030 contracts
  • 2011-09-13: Largest IV drop — 32.1% change
  • 2011-09-23: Highest IV Rank — 81.3%
  • 2011-09-23: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.38$7.96$8.97$8.43$8.04
Max Pain$8.29$8.00$11.00$11.00$8.00
ATM IV42.1%31.6%49.2%40.3%49.1%
Expected Move12.6%10.8%14.1%11.6%14.1%
HV 20d43.7%39.9%50.8%46.2%50.8%
HV 60d40.6%37.6%45.0%37.6%45.0%
IV Rank64.6%39.9%81.3%60.4%81.2%
IV Percentile93.4%75.8%98.8%94.4%98.4%
Term Structure-0.8%-4.2%5.3%2.1%-1.9%
VWIV42.6%30.9%49.0%34.6%47.4%
Skew 25d8.2%-8.0%16.0%5.0%-8.0%
Skew 10d16.5%-5.5%46.8%46.8%-0.7%
Call IV 25d38.2%28.7%46.6%37.9%45.0%
Put IV 25d46.4%37.1%55.7%42.9%37.1%
Bid-Ask Spread %14.179.9332.7510.8911.03
Gamma HHI0.280.230.490.230.27
Net GEX244.5K152.5K547.0K241.1K174.3K
Net DEX4.3M-2.2M10.6M9.5M524.3K
Net VEX-71.1K-82.9K-63.0K-69.4K-67.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.022.090.610.95
Total Volume1,211.5713503,0308601,247
Total OI72,265.04852,73890,51784,97556,658

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$8.43$11.0040.3%11.6%46.2%60.4%34.6%5.0%2.1%241.1K9.5M-69.4K0.6110.8953532560,12924,846
2011-09-02$8.25$11.0038.8%11.1%44.3%56.8%30.9%8.3%5.1%234.5K9.9M-67.6K0.1410.7697113960,64524,791
2011-09-06$8.06$8.0044.8%12.9%41.8%70.8%44.7%9.0%-2.3%227.4K10.6M-63.3K0.4312.6776732861,28024,890
2011-09-07$8.35$8.0041.2%12.7%40.7%62.6%42.2%11.1%-3.1%263.4K9.5M-67.4K0.2518.7167016861,79424,854
2011-09-08$8.13$8.0037.6%12.4%40.2%54.1%42.9%6.7%0.3%256.7K10.1M-65.3K0.2912.953088862,03024,987
2011-09-09$8.06$8.0044.3%13.3%39.9%69.7%45.6%9.5%-3.5%240.3K10.3M-63.9K0.0213.882,9785262,11525,024
2011-09-12$7.96$8.0046.5%13.9%40.1%75.0%49.0%4.7%-4.2%266.5K10.6M-63.0K1.7517.1933859364,47425,049
2011-09-13$8.31$8.0031.6%13.4%42.3%39.9%45.8%13.1%-3.4%273.1K8.7M-70.1K0.2816.841,08230564,51125,150
2011-09-14$8.50$8.0035.6%13.3%43.1%49.4%42.8%15.2%-1.3%234.9K7.6M-72.5K0.7413.701,01874964,85725,047
2011-09-15$8.60$8.0040.0%11.5%43.2%59.6%41.5%5.4%-1.6%253.1K7.5M-73.8K0.149.961,44619665,11025,407
2011-09-16$8.97$8.0037.7%10.8%40.8%54.2%38.2%9.3%0.6%547.0K5.0M-82.9K0.1815.671,48426765,05625,009
2011-09-19$8.67$8.0040.3%11.6%42.4%60.4%41.5%3.6%-0.1%219.6K-1.4M-76.0K0.1912.751,06120440,32512,413
2011-09-20$8.49$8.0045.4%13.0%43.2%72.3%40.6%6.0%0.7%207.2K-931.9K-73.8K0.2511.991,10427140,97012,449
2011-09-21$8.30$8.0044.0%12.6%43.8%69.2%43.9%-2.8%0.4%190.8K51.3K-69.4K2.0910.6431365441,50612,538
2011-09-22$8.03$8.0047.7%13.7%44.5%77.8%45.5%12.2%-1.7%152.5K1.1M-66.1K0.2332.751,02823641,69212,920
2011-09-23$8.38$8.0049.2%14.1%47.0%81.3%43.7%11.7%-3.1%195.6K-478.2K-73.6K0.2416.831,14027342,04413,035
2011-09-26$8.71$8.0044.4%12.7%48.7%70.0%45.3%14.6%-2.0%242.6K-2.2M-77.6K0.099.939668842,31213,000
2011-09-27$8.53$8.0042.8%12.3%45.0%66.3%43.7%11.9%-1.6%228.2K-1.5M-75.8K0.4512.7470831742,66313,018
2011-09-28$8.53$8.0044.0%12.6%44.6%69.0%45.0%10.3%-1.1%233.0K-1.6M-75.4K0.2014.6756511143,09213,235
2011-09-29$8.63$8.0038.4%11.0%44.7%55.9%39.3%16.0%5.3%253.1K-2.1M-78.2K0.4110.9824810243,37313,268
2011-09-30$8.04$8.0049.1%14.1%50.8%81.2%47.4%-8.0%-1.9%174.3K524.3K-67.3K0.9511.0364060743,39113,267