LUV Options History — November 2011

In November 2011, LUV traded between $7.40 and $8.59. ATM implied volatility averaged 38.6%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 6.1% (HV 20d: 32.4%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2011-11-23: Highest Volume — 1,772 contracts
  • 2011-11-07: Largest IV spike — 35.6% change
  • 2011-11-07: Highest IV Rank — 60.1%
  • 2011-11-09: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.09$7.40$8.59$8.46$8.38
Max Pain$8.86$8.00$9.00$8.00$9.00
ATM IV38.6%32.0%43.4%41.1%37.2%
Expected Move11.0%9.6%11.9%11.8%10.7%
HV 20d32.4%24.3%39.0%39.0%37.1%
HV 60d45.4%43.6%47.3%47.3%46.0%
IV Rank49.9%36.3%60.1%55.3%47.0%
IV Percentile79.4%66.3%89.7%87.3%73.4%
Term Structure2.7%-2.5%6.0%-0.1%-1.5%
VWIV37.4%29.6%40.9%40.9%32.8%
Skew 25d8.8%1.4%21.9%1.4%21.9%
Skew 10d18.3%3.5%76.0%3.5%76.0%
Call IV 25d34.1%24.5%40.9%40.9%24.5%
Put IV 25d42.8%33.1%47.3%42.3%46.5%
Bid-Ask Spread %13.547.7924.4616.807.79
Gamma HHI0.280.230.340.310.27
Net GEX156.2K67.1K245.3K219.1K206.7K
Net DEX1.6M-1.1M4.4M-874.6K1.4K
Net VEX-59.0K-69.4K-46.9K-69.4K-60.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.062.020.670.62
Total Volume832.3333161,7723451,729
Total OI59,037.09556,63761,17858,12759,244

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$8.46$8.0041.1%11.8%39.0%55.3%40.9%1.4%-0.1%219.1K-874.6K-69.4K0.6716.8020613943,52714,600
2011-11-02$8.48$8.0040.8%11.7%39.0%54.7%39.9%2.8%4.2%224.0K-792.7K-68.7K1.5714.4713421143,52314,646
2011-11-03$8.59$8.0033.6%9.6%37.2%39.6%39.3%5.9%1.1%245.3K-1.1M-69.2K0.1116.4691610443,56514,854
2011-11-04$8.53$9.0032.0%10.0%36.2%36.3%31.9%13.4%2.5%238.4K-698.9K-68.0K0.2115.753557343,75314,907
2011-11-07$8.42$9.0043.4%11.3%34.8%60.1%36.8%10.7%-1.5%221.6K-106.2K-66.3K0.3321.9483327443,84614,960
2011-11-08$8.47$9.0040.6%11.3%34.1%54.1%35.9%11.5%-2.5%240.0K-150.0K-64.9K0.3210.1263420544,34214,946
2011-11-09$8.17$9.0042.4%11.9%35.8%57.8%39.1%7.6%3.8%173.4K1.2M-60.8K1.0024.4628628644,52915,061
2011-11-10$8.11$9.0040.0%11.5%33.5%52.9%39.7%5.1%3.6%151.9K1.5M-60.6K0.0614.332991744,65215,279
2011-11-11$8.21$9.0038.5%11.0%33.9%49.8%39.3%5.0%4.2%165.2K1.2M-60.7K0.1610.152984844,81515,296
2011-11-14$8.19$9.0039.2%11.2%33.9%51.2%39.0%7.3%5.2%161.1K1.3M-59.7K2.0213.9728958344,91315,313
2011-11-15$8.20$9.0038.3%11.0%32.4%49.3%36.4%7.2%6.0%149.2K1.3M-59.7K0.5512.4945324744,85415,735
2011-11-16$8.05$9.0037.4%10.7%32.7%47.5%37.6%5.2%5.2%130.3K2.1M-57.8K0.347.8434111544,76615,908
2011-11-17$7.78$9.0038.9%11.1%29.1%50.6%39.8%16.3%3.7%101.9K3.2M-54.1K1.1112.8461668644,88415,913
2011-11-18$7.81$9.0038.6%11.1%28.6%49.9%39.8%18.6%3.5%105.3K3.1M-54.8K0.239.1073317045,12916,049
2011-11-21$7.73$9.0036.8%10.5%26.7%46.1%36.1%12.8%4.4%88.3K3.4M-51.7K0.1014.991,03810942,03414,603
2011-11-22$7.65$9.0037.0%10.6%24.3%46.6%37.6%8.3%5.4%79.9K4.0M-49.1K0.1415.656729342,33014,659
2011-11-23$7.40$9.0039.7%11.4%26.0%52.2%29.6%3.4%2.9%67.1K4.4M-46.9K0.1614.691,52824442,53714,736
2011-11-25$7.50$9.0040.4%11.6%24.3%53.8%40.0%1.7%-0.4%81.0K4.0M-49.0K0.2813.663239043,23214,912
2011-11-28$7.87$9.0037.1%10.6%31.5%46.8%36.9%15.3%4.5%109.8K2.9M-53.7K0.248.9569216343,40314,902
2011-11-29$7.93$9.0036.9%10.6%30.8%46.5%36.7%3.0%2.9%120.2K2.7M-53.7K0.127.921,11213543,67914,943
2011-11-30$8.38$9.0037.2%10.7%37.1%47.0%32.8%21.9%-1.5%206.7K1.4K-60.7K0.627.791,07065944,27314,971