LUV Options History — March 2012

In March 2012, LUV traded between $8.18 and $8.96. ATM implied volatility averaged 30.7%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 5.2% (HV 20d: 25.5%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2012-03-02: Highest Volume — 8,337 contracts
  • 2012-03-15: Largest IV spike — 53.2% change
  • 2012-03-26: Highest IV Rank — 46.1%
  • 2012-03-26: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.43$8.18$8.96$8.88$8.24
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV30.7%20.6%36.8%27.6%35.4%
Expected Move9.6%7.8%10.5%7.9%10.1%
HV 20d25.5%22.3%28.8%26.5%26.2%
HV 60d29.1%27.4%31.3%31.0%27.4%
IV Rank33.6%12.4%46.1%27.1%43.2%
IV Percentile44.4%2.8%71.4%27.0%65.9%
Term Structure0.5%-3.2%5.0%4.4%-0.5%
VWIV32.9%27.4%35.9%27.6%35.2%
Skew 25d1.1%-4.6%8.9%-1.8%-1.8%
Skew 10d2.2%-6.9%10.9%-1.9%-0.9%
Call IV 25d31.0%25.2%36.8%25.9%36.8%
Put IV 25d32.0%24.0%37.5%24.0%35.0%
Bid-Ask Spread %10.256.3617.0412.206.94
Gamma HHI0.330.260.440.260.26
Net GEX200.4K148.1K297.5K214.1K162.3K
Net DEX-2.3M-5.2M-478.3K-4.5M-1.0M
Net VEX-73.3K-82.0K-67.3K-72.0K-70.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.072.750.620.46
Total Volume1,550.1362478,337634687
Total OI51,482.09142,26556,68242,26553,135

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$8.88$9.0027.6%7.9%26.5%27.1%27.6%-1.8%4.4%214.1K-4.5M-72.0K0.6212.2039224232,17410,091
2012-03-02$8.96$9.0027.4%7.8%26.9%26.6%27.4%0.2%5.0%224.0K-5.2M-75.4K0.0913.087,66567232,47710,244
2012-03-05$8.74$9.0027.6%9.3%24.7%27.0%34.7%4.5%1.5%297.5K-5.1M-80.6K0.428.861,11847439,17210,511
2012-03-06$8.60$9.0035.8%10.0%23.5%44.1%34.2%8.9%-1.6%273.9K-4.5M-82.0K1.388.9240556039,38610,799
2012-03-07$8.49$9.0026.0%9.9%23.6%23.8%34.6%4.3%1.1%244.8K-3.0M-76.5K0.9410.491,7141,61339,58611,170
2012-03-08$8.50$9.0020.6%10.0%23.6%12.4%31.4%6.8%-0.7%226.7K-2.5M-74.5K1.068.8454357540,22712,252
2012-03-09$8.48$9.0022.8%9.5%22.3%17.1%31.7%4.6%1.9%215.6K-2.5M-75.0K1.258.1561877240,43512,488
2012-03-12$8.28$9.0025.4%9.2%22.8%22.5%32.0%0.5%0.9%177.6K-827.0K-67.9K2.7511.565021,37940,93812,858
2012-03-13$8.41$9.0026.3%9.3%23.4%24.4%31.2%2.2%2.5%185.3K-1.8M-72.1K0.8716.1946840941,23013,358
2012-03-14$8.18$9.0022.3%9.8%24.5%16.0%33.8%-1.8%-0.7%148.1K-478.3K-67.3K1.379.177471,02541,25913,665
2012-03-15$8.45$9.0034.1%9.8%28.4%40.7%31.8%3.0%-1.4%191.8K-2.2M-76.3K0.319.721,06332741,72714,355
2012-03-16$8.31$9.0035.4%10.1%28.2%43.3%34.1%-1.9%-0.0%173.8K-1.3M-71.2K0.2813.501,27936142,19314,489
2012-03-19$8.41$9.0034.2%9.8%28.8%40.7%34.0%-0.0%1.0%193.1K-2.1M-73.9K0.7711.6385566236,89012,278
2012-03-20$8.39$9.0034.7%9.9%26.5%41.9%33.5%-0.2%1.4%188.5K-2.1M-74.2K0.1217.0493011537,52512,872
2012-03-21$8.32$9.0033.7%9.6%26.5%39.7%31.7%-0.8%1.6%186.1K-2.0M-74.5K0.7011.2814510237,97712,929
2012-03-22$8.19$9.0034.0%9.7%26.4%40.4%33.8%-4.6%0.4%164.0K-1.2M-71.3K0.486.3963630738,09612,932
2012-03-23$8.23$9.0035.6%10.2%25.8%43.7%33.7%-3.3%-0.5%170.0K-1.3M-73.7K0.076.362772038,47513,171
2012-03-26$8.35$9.0036.8%10.5%25.6%46.1%35.9%2.2%-3.2%178.8K-1.4M-70.0K0.086.902,20618638,52813,173
2012-03-27$8.23$9.0033.4%9.6%25.1%39.2%33.5%-2.7%-2.2%177.5K-1.3M-70.8K0.686.8026017839,22113,262
2012-03-28$8.36$9.0032.4%9.3%25.9%37.0%32.1%0.8%1.1%200.4K-2.0M-71.1K0.1213.085366339,20913,256
2012-03-29$8.40$9.0035.0%10.0%25.9%42.4%35.2%4.1%-1.1%214.3K-2.4M-72.1K1.668.3438263339,31513,278
2012-03-30$8.24$9.0035.4%10.1%26.2%43.2%35.2%-1.8%-0.5%162.3K-1.0M-70.3K0.466.9447021739,31913,816