LUV Options History — April 2012

In April 2012, LUV traded between $7.88 and $8.38. ATM implied volatility averaged 34.4%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.4% (HV 20d: 29.0%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2012-04-19: Highest Volume — 3,754 contracts
  • 2012-04-12: Largest IV drop — 26.7% change
  • 2012-04-11: Highest IV Rank — 68.1%
  • 2012-04-04: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.10$7.88$8.38$8.26$8.28
Max Pain$8.20$8.00$9.00$9.00$8.00
ATM IV34.4%27.4%47.3%38.0%30.6%
Expected Move9.5%7.9%11.5%10.9%8.8%
HV 20d29.0%24.6%34.1%25.1%33.4%
HV 60d28.4%27.3%29.7%27.4%28.7%
IV Rank41.2%26.7%68.1%48.8%33.2%
IV Percentile55.5%21.4%94.4%76.2%40.5%
Term Structure-1.0%-6.3%2.9%-4.7%-1.0%
VWIV33.4%26.8%42.3%34.5%30.6%
Skew 25d2.6%-3.3%9.6%-2.1%9.6%
Skew 10d5.2%-7.1%19.2%-0.9%12.8%
Call IV 25d31.5%19.6%41.5%39.7%21.0%
Put IV 25d34.0%22.6%43.8%37.6%30.6%
Bid-Ask Spread %9.996.2022.746.207.89
Gamma HHI0.260.220.360.260.24
Net GEX110.4K-45.7K203.3K164.5K180.5K
Net DEX-300.9K-2.4M1.8M-1.1M-2.1M
Net VEX-62.2K-73.8K-55.3K-69.5K-60.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.033.521.583.52
Total Volume955.251993,754590199
Total OI54,855.352,92459,41153,41253,483

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$8.26$9.0038.0%10.9%25.1%48.8%34.5%-2.1%-4.7%164.5K-1.1M-69.5K1.586.2022936139,46713,945
2012-04-03$8.20$9.0036.6%10.5%24.6%45.8%42.3%-3.2%-3.7%150.0K-726.2K-68.3K0.176.824127039,61914,023
2012-04-04$8.38$9.0040.0%11.5%25.7%52.9%39.8%2.7%-6.3%203.3K-2.4M-73.8K0.717.7453938539,68414,024
2012-04-05$8.31$9.0037.3%10.7%25.9%47.2%38.4%-2.5%-2.1%178.6K-1.6M-69.8K0.038.895121539,75914,187
2012-04-09$8.22$8.0044.4%10.4%26.1%62.1%35.4%5.4%-1.9%160.0K-1.1M-67.6K1.4910.1336454340,06814,201
2012-04-10$7.91$8.0044.9%11.0%28.2%63.2%38.2%6.9%-5.7%83.4K1.1M-60.5K0.9210.2981775540,15514,549
2012-04-11$7.95$8.0047.3%10.1%27.5%68.1%35.3%2.4%-2.3%76.9K1.2M-61.3K0.388.1647017940,42015,113
2012-04-12$8.14$8.0034.7%9.9%27.4%41.8%34.7%7.9%-1.9%92.3K137.4K-63.5K0.877.9919016640,67815,181
2012-04-13$7.94$8.0033.7%9.7%25.8%39.8%36.1%1.9%-0.6%49.2K1.3M-60.7K0.809.3843334740,67315,163
2012-04-16$7.99$8.0035.1%10.1%25.5%42.6%37.3%4.3%-1.1%46.0K875.5K-60.2K0.168.5674211940,90215,304
2012-04-17$8.08$8.0035.4%10.1%25.5%43.3%35.9%5.3%-1.6%57.7K489.7K-59.9K0.3920.8940215641,21615,349
2012-04-18$7.89$8.0032.2%9.2%26.6%36.6%34.1%1.7%1.2%14.1K1.8M-56.7K0.1322.741,66621241,44415,277
2012-04-19$8.23$8.0029.0%8.3%31.0%30.0%28.9%-3.3%2.2%96.5K-1.7M-63.0K0.2310.073,06069442,25115,193
2012-04-20$7.91$8.0027.7%7.9%33.6%27.2%26.8%0.3%1.1%-45.7K1.4M-58.2K2.058.197351,50643,89015,521
2012-04-23$7.88$8.0028.6%8.2%33.5%29.2%28.6%-2.7%2.9%120.7K106.0K-56.9K0.508.6061130640,71512,209
2012-04-24$8.02$8.0028.3%8.1%33.7%28.6%28.3%2.4%1.4%133.1K-526.4K-57.8K0.339.3140513340,91712,297
2012-04-25$7.98$8.0027.4%7.9%33.4%26.7%27.5%1.6%2.6%125.0K-259.9K-55.3K0.1810.361793241,07412,311
2012-04-26$8.09$8.0027.4%7.9%33.3%26.7%27.4%4.3%1.8%147.2K-1.0M-59.4K2.538.6318647041,20812,308
2012-04-27$8.25$8.0028.7%8.2%34.1%29.3%28.7%8.7%0.5%174.1K-1.9M-60.6K0.208.854208540,81712,511
2012-04-30$8.28$8.0030.6%8.8%33.4%33.2%30.6%9.6%-1.0%180.5K-2.1M-60.3K3.527.894415541,03712,446