LUV Options History — June 2012

In June 2012, LUV traded between $8.60 and $9.31. ATM implied volatility averaged 32.9%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.4% (HV 20d: 30.5%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2012-06-07: Highest Volume — 3,713 contracts
  • 2012-06-14: Largest IV spike — 48.0% change
  • 2012-06-04: Highest IV Rank — 57.8%
  • 2012-06-04: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.02$8.60$9.31$8.95$9.22
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV32.9%24.4%42.3%34.3%31.6%
Expected Move9.9%8.9%10.8%9.8%9.1%
HV 20d30.5%26.4%33.8%26.4%33.1%
HV 60d29.2%27.9%30.9%28.2%30.6%
IV Rank38.2%20.4%57.8%41.0%35.4%
IV Percentile47.7%6.0%86.9%59.1%35.3%
Term Structure-0.1%-3.2%3.5%3.5%0.5%
VWIV34.2%29.2%39.6%34.1%29.2%
Skew 25d5.4%-3.3%14.7%-0.1%7.7%
Skew 10d8.3%-5.6%19.7%0.4%2.2%
Call IV 25d29.7%17.8%41.0%28.2%21.1%
Put IV 25d35.1%26.5%43.4%28.1%28.8%
Bid-Ask Spread %10.556.4314.5210.148.90
Gamma HHI0.360.260.560.300.33
Net GEX428.4K295.3K753.5K448.1K394.5K
Net DEX-8.6M-12.7M-5.1M-8.9M-10.0M
Net VEX-77.0K-87.0K-69.9K-87.0K-74.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.082.020.100.39
Total Volume1,529.9056793,7131,326711
Total OI56,81045,48965,39964,27149,638

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$8.95$9.0034.3%9.8%26.4%41.0%34.1%-0.1%3.5%448.1K-8.9M-87.0K0.1010.141,20711947,17417,097
2012-06-04$8.60$9.0042.3%10.8%30.1%57.8%37.6%-2.8%0.2%302.5K-5.2M-78.9K0.1812.601,21222246,91417,142
2012-06-05$8.66$9.0033.1%10.8%29.5%38.6%39.6%7.3%-2.0%298.1K-5.1M-76.0K0.6414.5253434347,14917,198
2012-06-06$8.80$9.0033.7%10.2%29.9%39.9%36.0%2.3%1.4%380.6K-6.9M-78.7K0.4412.7159726347,27317,192
2012-06-07$8.86$9.0032.1%10.1%29.6%36.4%35.0%6.0%0.8%420.3K-7.6M-80.4K0.2611.682,95376047,41617,086
2012-06-08$9.06$9.0027.8%10.4%29.6%27.5%36.4%5.1%-1.3%526.5K-9.4M-79.5K0.1111.892,29724747,38916,564
2012-06-11$8.98$9.0032.6%10.6%29.8%37.5%36.8%5.4%-1.9%538.6K-8.7M-76.0K0.0814.371,52812247,95416,606
2012-06-12$8.99$9.0029.4%10.4%29.8%30.8%36.0%6.0%-1.7%607.0K-9.3M-76.6K0.1713.8898616748,51716,689
2012-06-13$9.19$9.0024.4%10.2%30.3%20.4%35.9%4.4%-0.6%582.4K-11.9M-79.0K0.129.861,97623848,57116,622
2012-06-14$9.20$9.0036.1%10.4%30.0%44.8%35.9%4.7%0.4%536.4K-12.7M-79.5K0.1210.622,41129548,65216,658
2012-06-15$8.93$9.0034.4%9.9%32.2%41.2%35.6%5.9%-0.7%753.5K-7.4M-76.2K2.0211.946071,22548,69516,704
2012-06-18$9.03$9.0032.3%9.2%30.6%36.8%30.2%14.7%2.0%311.6K-7.8M-73.7K0.136.431,55820334,98310,506
2012-06-19$9.23$9.0031.1%8.9%30.5%34.4%29.7%10.6%0.3%364.6K-9.4M-77.0K0.416.501,08444735,88310,609
2012-06-20$9.31$9.0031.9%9.1%30.1%36.0%31.0%0.5%0.3%381.0K-10.0M-77.8K0.308.1395128536,40010,911
2012-06-21$9.21$9.0031.2%8.9%30.6%34.5%30.5%-3.2%1.7%386.3K-9.7M-78.2K0.568.6860533636,92911,042
2012-06-22$9.21$9.0031.7%9.1%26.8%35.6%31.7%-3.3%2.6%374.1K-9.0M-74.6K0.657.6041226736,65211,310
2012-06-25$8.76$9.0035.6%10.2%32.7%43.7%39.6%8.4%-0.2%295.3K-5.6M-69.9K0.479.161,11351936,76811,513
2012-06-26$8.87$9.0035.7%10.2%32.2%44.0%35.8%14.0%-3.1%328.9K-6.9M-70.8K0.4311.3066028137,64111,597
2012-06-27$9.14$9.0035.9%10.3%33.8%44.4%30.4%7.1%-3.2%373.7K-9.3M-75.0K1.3610.1838352237,84311,575
2012-06-28$9.21$9.0034.5%9.9%33.3%41.4%31.6%12.7%-1.2%392.6K-10.0M-78.0K0.0910.461,36511738,01211,936
2012-06-29$9.22$9.0031.6%9.1%33.1%35.4%29.2%7.7%0.5%394.5K-10.0M-74.4K0.398.9051219937,68711,951