LUV Options History — December 2011

In December 2011, LUV traded between $8.16 and $8.71. ATM implied volatility averaged 30.2%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 9.3% (HV 20d: 39.5%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2011-12-16: Highest Volume — 1,879 contracts
  • 2011-12-08: Largest IV spike — 90.8% change
  • 2011-12-14: Highest IV Rank — 52.5%
  • 2011-12-14: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.43$8.16$8.71$8.33$8.56
Max Pain$9.81$8.00$10.00$8.00$10.00
ATM IV30.2%16.7%39.8%32.9%31.7%
Expected Move9.6%7.9%12.1%9.4%9.1%
HV 20d39.5%35.9%44.3%37.1%35.9%
HV 60d43.2%36.9%45.4%45.4%37.0%
IV Rank32.5%4.3%52.5%38.2%35.6%
IV Percentile47.4%0.4%81.7%60.3%54.4%
Term Structure2.2%-4.7%8.2%2.1%-1.9%
VWIV32.8%22.3%40.7%33.0%23.9%
Skew 25d9.5%-8.5%16.3%11.3%15.6%
Skew 10d21.6%1.6%83.1%14.5%25.3%
Call IV 25d30.0%21.5%37.2%21.5%30.7%
Put IV 25d39.5%24.2%46.2%32.7%46.2%
Bid-Ask Spread %8.665.2114.7811.657.73
Gamma HHI0.290.240.380.250.34
Net GEX206.8K158.5K323.2K208.7K201.1K
Net DEX-742.3K-2.8M440.9K19.8K-889.3K
Net VEX-56.7K-61.2K-52.7K-60.1K-55.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.029.230.480.16
Total Volume867.4763151,8791,3781,765
Total OI55,861.47647,90960,77759,51650,817

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$8.33$8.0032.9%9.4%37.1%38.2%33.0%11.3%2.1%208.7K19.8K-60.1K0.4811.6593244644,66114,855
2011-12-02$8.28$8.0032.7%9.4%36.8%37.7%32.4%10.2%2.3%222.4K-46.6K-59.7K0.1912.9366912845,38314,758
2011-12-05$8.47$10.0030.8%10.0%37.7%33.7%35.7%12.5%3.5%260.1K-1.1M-61.2K0.238.4956913345,89614,713
2011-12-06$8.54$10.0016.7%9.7%37.6%4.3%31.2%12.7%0.5%273.7K-1.5M-61.1K1.717.5030752645,82914,687
2011-12-07$8.58$10.0018.2%9.4%37.5%7.5%30.9%14.8%1.8%251.9K-2.0M-60.7K0.287.4356416045,98714,562
2011-12-08$8.27$10.0034.7%10.1%37.6%41.9%39.1%10.3%3.5%223.7K-212.9K-57.7K1.3410.6427637146,02214,440
2011-12-09$8.44$10.0021.0%10.0%38.1%13.3%29.8%12.4%2.9%205.5K-1.5M-59.1K0.8811.4016814746,15814,377
2011-12-12$8.43$10.0027.1%9.2%38.0%26.0%32.5%14.3%6.6%195.3K-1.2M-57.1K9.239.541761,62446,22814,387
2011-12-13$8.16$10.0031.3%12.1%39.8%34.8%36.3%5.1%-4.7%186.9K440.9K-54.3K0.509.0138319046,16214,615
2011-12-14$8.17$10.0039.8%12.1%39.8%52.5%40.7%5.6%-2.1%189.7K343.3K-53.7K0.628.7329918546,12714,601
2011-12-15$8.42$10.0035.9%10.3%40.6%44.4%37.4%10.2%2.3%170.3K-1.5M-56.9K0.318.6336611246,00214,494
2011-12-16$8.71$10.0032.8%9.4%39.7%37.9%32.4%13.4%0.8%323.2K-2.8M-58.9K0.555.781,21166846,04014,495
2011-12-19$8.30$10.0034.4%9.9%44.0%41.2%39.2%5.4%1.1%158.5K-214.8K-53.2K0.668.3472948337,16510,744
2011-12-20$8.48$10.0033.0%9.5%44.2%38.4%33.6%8.0%5.9%184.3K-988.1K-56.6K0.238.8579218637,64011,018
2011-12-21$8.37$10.0031.8%9.1%44.3%35.9%37.4%7.3%5.3%176.3K-230.5K-52.7K3.8214.7817667238,08511,123
2011-12-22$8.40$10.0033.6%9.6%42.0%39.5%34.6%-8.5%2.6%172.5K-304.8K-55.0K0.676.5026117638,10811,669
2011-12-23$8.58$10.0029.1%8.3%42.3%30.2%22.3%-1.9%0.8%189.6K-804.3K-54.9K2.356.7010023538,23911,822
2011-12-27$8.51$10.0027.5%7.9%39.6%26.9%27.7%12.8%4.4%177.6K-216.6K-53.3K0.025.531,1542738,25412,007
2011-12-28$8.40$10.0028.8%8.3%40.1%29.6%28.9%11.6%8.2%171.8K103.7K-53.1K0.715.2125217838,28912,010
2011-12-29$8.60$10.0030.6%8.8%35.9%33.3%29.3%16.3%-0.5%200.3K-845.3K-55.6K0.086.493893238,45212,170
2011-12-30$8.56$10.0031.7%9.1%35.9%35.6%23.9%15.6%-1.9%201.1K-889.3K-55.5K0.167.731,51924638,64712,170