LUV Options History — May 2012

In May 2012, LUV traded between $8.05 and $9.03. ATM implied volatility averaged 30.9%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.3% (HV 20d: 27.6%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2012-05-03: Highest Volume — 4,609 contracts
  • 2012-05-07: Largest IV spike — 15.1% change
  • 2012-05-18: Highest IV Rank — 39.3%
  • 2012-05-18: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.36$8.05$9.03$8.28$9.03
Max Pain$8.86$8.00$9.00$8.00$9.00
ATM IV30.9%25.1%33.5%25.9%33.1%
Expected Move9.0%7.2%9.6%7.4%9.5%
HV 20d27.6%20.4%33.6%33.4%26.0%
HV 60d27.6%26.7%28.7%27.9%28.3%
IV Rank34.0%22.0%39.3%23.6%38.6%
IV Percentile40.2%9.9%54.8%13.1%51.6%
Term Structure2.0%-1.6%5.7%1.7%1.2%
VWIV30.4%25.0%33.7%25.9%33.6%
Skew 25d4.0%-4.1%18.7%6.4%1.8%
Skew 10d6.1%-4.6%15.9%15.2%3.4%
Call IV 25d26.3%15.3%34.6%19.6%26.2%
Put IV 25d30.2%25.6%36.7%26.0%28.0%
Bid-Ask Spread %8.686.1413.316.179.14
Gamma HHI0.230.210.310.240.31
Net GEX180.1K57.1K433.3K180.6K433.3K
Net DEX-3.1M-8.8M-803.6K-2.3M-8.8M
Net VEX-67.2K-82.6K-58.3K-60.6K-82.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.033.840.030.07
Total Volume1,317.51874,6094343,395
Total OI58,642.09153,47761,77253,47761,772

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$8.28$8.0025.9%7.4%33.4%23.6%25.9%6.4%1.7%180.6K-2.3M-60.6K0.036.174211341,03912,438
2012-05-02$8.17$8.0027.2%7.8%33.6%26.2%27.3%4.6%3.2%144.4K-1.5M-58.3K3.399.764021,36441,30912,428
2012-05-03$8.22$8.0025.1%7.2%32.7%22.0%25.0%4.6%3.3%116.7K-1.7M-60.8K0.926.802,4022,20741,43413,756
2012-05-04$8.10$9.0026.1%8.4%33.0%24.0%29.5%-4.1%3.4%96.0K-1.1M-68.4K3.849.9211845344,60816,925
2012-05-07$8.26$9.0030.1%9.2%33.6%32.3%30.8%-0.8%1.1%156.4K-2.5M-68.7K0.4213.311,22851343,63115,684
2012-05-08$8.27$9.0031.4%9.3%30.3%35.0%27.9%3.0%0.4%154.0K-2.5M-68.3K0.038.095521543,68315,713
2012-05-09$8.20$9.0030.0%9.0%30.5%32.1%30.6%0.1%1.6%128.7K-2.1M-68.4K0.379.2237213943,83115,724
2012-05-10$8.10$9.0032.6%9.3%29.8%37.5%32.6%-3.9%1.2%102.0K-1.5M-67.1K0.608.831619744,04915,681
2012-05-11$8.05$9.0032.0%9.2%28.4%36.2%30.5%-3.3%0.6%78.2K-1.0M-63.7K0.936.7615714644,10915,663
2012-05-14$8.08$9.0032.2%9.2%28.4%36.8%30.2%7.3%1.7%64.4K-906.2K-62.5K0.898.0630527244,16915,689
2012-05-15$8.07$9.0031.5%9.0%28.1%35.2%25.2%6.2%2.1%57.1K-803.6K-60.4K2.608.4011730444,19515,524
2012-05-16$8.21$9.0033.4%9.6%27.2%39.1%33.0%-0.5%1.5%114.7K-2.4M-65.8K0.426.1480033544,26415,565
2012-05-17$8.35$9.0033.1%9.5%23.5%38.6%32.4%3.1%3.7%164.7K-3.4M-66.4K0.368.3874727244,53415,561
2012-05-18$8.15$9.0033.5%9.6%20.4%39.3%33.6%-1.7%2.7%85.2K-2.4M-65.6K0.219.271,02921244,39615,682
2012-05-21$8.34$9.0033.4%9.6%21.7%39.2%31.7%18.7%1.8%174.3K-2.5M-63.1K1.449.9339356642,40814,194
2012-05-22$8.27$9.0033.2%9.5%21.3%38.8%32.4%14.0%0.9%147.9K-1.9M-62.9K1.378.207910842,59114,443
2012-05-23$8.36$9.0031.5%9.0%21.4%35.2%30.0%15.2%3.5%161.5K-2.5M-63.2K0.848.3950942742,61414,457
2012-05-24$8.74$9.0032.5%9.3%25.9%37.3%33.7%6.2%-1.6%292.6K-5.7M-72.0K0.138.442,60833142,79314,716
2012-05-25$8.76$9.0031.1%8.9%25.2%34.3%33.1%8.8%1.3%333.5K-6.4M-75.7K0.668.6995563443,98814,759
2012-05-29$8.94$9.0031.3%9.0%26.0%34.7%30.7%0.1%2.4%412.4K-8.0M-76.0K1.099.359981,08844,18015,167
2012-05-30$8.87$9.0030.1%8.6%26.3%32.3%29.4%1.4%5.7%364.9K-7.1M-77.9K2.499.754991,24244,63316,127
2012-05-31$9.03$9.0033.1%9.5%26.0%38.6%33.6%1.8%1.2%433.3K-8.8M-82.6K0.079.143,17921644,79616,976