LUV Options History — October 2011

In October 2011, LUV traded between $7.35 and $9.10. ATM implied volatility averaged 42.3%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 14.6% (HV 20d: 56.9%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2011-10-04: Highest Volume — 5,158 contracts
  • 2011-10-13: Largest IV drop — 17.4% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-03: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.40$7.35$9.10$7.35$8.55
Max Pain$7.48$7.00$8.00$8.00$8.00
ATM IV42.3%33.1%62.6%62.6%35.5%
Expected Move12.0%9.5%17.9%17.9%10.2%
HV 20d56.9%38.8%61.0%59.3%38.8%
HV 60d50.3%48.1%52.4%48.1%48.2%
IV Rank57.7%38.5%100.0%100.0%43.6%
IV Percentile85.7%69.4%100.0%100.0%75.0%
Term Structure-0.3%-4.4%4.3%-3.8%-1.9%
VWIV43.0%34.4%61.8%61.8%36.4%
Skew 25d12.5%3.8%18.7%5.0%3.8%
Skew 10d20.9%-0.2%37.3%14.4%6.4%
Call IV 25d34.8%22.0%54.6%54.6%35.4%
Put IV 25d47.2%38.6%59.5%59.5%39.2%
Bid-Ask Spread %13.087.7820.6313.9517.80
Gamma HHI0.300.210.540.230.31
Net GEX249.3K95.6K600.7K99.7K233.6K
Net DEX-1.8M-7.9M2.8M2.8M-1.3M
Net VEX-72.4K-84.1K-54.8K-54.8K-70.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.101.270.830.10
Total Volume1,436.814145,1582,645414
Total OI61,483.95256,35166,72757,36357,997

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$7.35$8.0062.6%17.9%59.3%100.0%61.8%5.0%-3.8%99.7K2.8M-54.8K0.8313.951,4461,19943,69713,666
2011-10-04$7.50$8.0061.1%17.5%59.6%96.8%57.2%11.0%-4.3%95.6K2.8M-58.1K0.6720.633,0942,06444,13114,411
2011-10-05$7.57$8.0051.5%14.8%58.0%77.0%51.8%12.1%-4.4%97.7K2.3M-63.1K0.2317.1389220645,78615,590
2011-10-06$7.86$8.0044.3%12.7%59.3%61.9%45.9%17.0%2.1%132.2K1.2M-66.9K0.127.7892511546,47515,716
2011-10-07$7.69$7.0049.1%13.5%59.7%71.9%52.0%6.3%-0.1%124.1K1.7M-64.9K0.4512.4387038947,16315,680
2011-10-10$7.97$7.0047.4%12.9%61.0%68.3%45.5%8.8%0.5%159.6K420.1K-67.9K0.2113.8479117047,70915,745
2011-10-11$8.15$7.0047.9%12.8%59.5%69.4%49.8%13.6%-0.1%195.8K-686.6K-71.5K0.3517.0887730647,81015,711
2011-10-12$8.33$7.0047.1%12.8%59.5%67.7%41.0%14.6%-1.4%228.6K-1.6M-72.6K0.4113.231,25150947,82815,741
2011-10-13$8.61$7.0038.9%11.2%60.6%50.6%40.0%14.4%-0.5%296.8K-3.5M-77.7K0.339.7689129748,05415,831
2011-10-14$8.61$7.0036.6%10.5%58.5%45.7%39.0%13.6%0.2%300.8K-3.2M-76.5K0.1212.4489310948,12616,043
2011-10-17$8.61$7.0039.5%11.3%57.3%52.0%40.6%14.5%-1.4%298.7K-3.3M-76.6K1.2711.0834343548,23216,031
2011-10-18$8.82$7.0038.6%11.1%57.3%49.9%40.3%18.7%-1.4%354.5K-4.8M-79.8K0.4710.9169633048,38616,342
2011-10-19$8.71$7.0039.9%11.5%56.9%52.8%43.7%14.8%-0.3%337.2K-4.2M-78.7K0.1712.1188515348,69816,538
2011-10-20$9.10$7.0038.5%11.0%57.1%49.7%39.4%12.3%-0.4%600.7K-7.9M-84.1K0.7313.292,1621,58548,85516,608
2011-10-21$8.87$7.0035.4%10.1%56.4%43.3%35.5%17.2%3.2%435.5K-4.2M-78.4K0.5411.1180143649,15117,576
2011-10-24$9.06$8.0033.7%9.7%55.3%39.8%35.0%17.7%4.3%252.3K-4.5M-80.5K0.3712.3160322642,51513,836
2011-10-25$8.72$8.0037.3%10.7%56.6%47.3%38.7%13.7%1.3%233.9K-2.6M-75.0K0.7612.6163848242,84313,892
2011-10-26$8.63$8.0036.4%10.4%56.7%45.4%39.0%8.9%0.4%232.9K-1.8M-73.1K0.5912.6891053843,19114,005
2011-10-27$8.85$8.0034.4%9.9%57.3%41.3%35.5%13.1%0.8%264.6K-3.3M-77.0K0.3810.3636613843,50114,434
2011-10-28$8.78$8.0033.1%9.5%50.8%38.5%34.4%10.8%0.8%261.4K-2.4M-72.8K0.7612.1541931943,26514,354
2011-10-31$8.55$8.0035.5%10.2%38.8%43.6%36.4%3.8%-1.9%233.6K-1.3M-70.6K0.1017.803773743,40914,588