LUV Options History — July 2012

In July 2012, LUV traded between $8.47 and $9.63. ATM implied volatility averaged 32.5%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.3% (HV 20d: 31.2%). 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 7 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2012-07-19: Highest Volume — 5,184 contracts
  • 2012-07-25: Largest IV spike — 32.5% change
  • 2012-07-11: Highest IV Rank — 49.9%
  • 2012-07-25: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.15$8.47$9.63$9.31$9.19
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV32.5%25.2%39.6%32.7%31.3%
Expected Move9.1%7.2%10.8%9.4%9.0%
HV 20d31.2%29.0%34.2%29.4%32.1%
HV 60d29.4%27.5%30.5%30.5%30.2%
IV Rank35.1%18.6%49.9%37.7%31.9%
IV Percentile40.6%4.4%78.6%44.8%29.4%
Term Structure-0.6%-5.9%3.2%-1.4%-2.4%
VWIV31.3%25.2%36.1%30.4%31.2%
Skew 25d4.6%-1.3%12.1%9.1%7.5%
Skew 10d7.7%-1.1%17.7%5.9%8.8%
Call IV 25d26.8%20.5%34.6%22.1%21.5%
Put IV 25d31.5%21.4%39.2%31.2%29.0%
Bid-Ask Spread %12.216.6822.9210.6211.71
Gamma HHI0.330.310.410.330.35
Net GEX390.9K304.2K487.0K412.5K424.4K
Net DEX-7.6M-11.6M-2.6M-10.8M-8.2M
Net VEX-70.9K-79.0K-60.1K-74.0K-68.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.215.805.800.31
Total Volume1,902.6674795,1844,196479
Total OI54,414.14349,90660,50749,90653,329

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$9.31$9.0032.7%9.4%29.4%37.7%30.4%9.1%-1.4%412.5K-10.8M-74.0K5.8010.626173,57937,97411,932
2012-07-03$9.28$9.0032.6%9.4%29.4%37.6%32.6%7.6%-2.0%380.9K-8.4M-75.0K3.288.2318360038,12814,363
2012-07-05$9.15$9.0032.0%9.2%29.7%36.2%32.0%6.3%-0.4%355.9K-7.0M-74.2K2.356.6833678838,09014,853
2012-07-06$9.27$9.0030.8%8.9%29.9%33.7%30.4%4.6%1.1%361.8K-7.9M-74.8K0.2110.4259612338,14615,266
2012-07-09$9.24$9.0034.6%9.2%29.0%41.6%29.3%7.5%-0.5%363.1K-7.8M-74.0K0.6511.8932421138,39515,294
2012-07-10$9.63$9.0038.6%8.8%32.0%47.7%30.6%6.7%0.5%383.0K-11.6M-77.9K0.3913.523,1691,24638,41915,306
2012-07-11$9.56$9.0039.6%9.1%32.3%49.9%31.0%4.4%-0.9%408.0K-11.3M-79.0K0.3720.9871226139,69215,552
2012-07-12$9.31$9.0035.9%10.3%33.1%41.8%36.1%-0.8%-1.7%402.4K-9.2M-76.2K0.7013.5760942840,00415,711
2012-07-13$9.44$9.0035.6%10.2%33.4%41.3%33.9%3.8%-3.1%406.4K-10.1M-76.4K0.7412.2156941940,08515,951
2012-07-16$9.42$9.0035.4%10.2%31.4%40.8%35.3%0.4%-0.6%411.3K-9.6M-74.4K1.2322.4252264140,37016,230
2012-07-17$9.39$9.0033.4%9.6%31.3%36.3%34.8%-1.0%-0.5%404.1K-9.5M-73.0K0.4920.8375737340,60316,560
2012-07-18$9.42$9.0031.7%9.1%30.4%32.8%33.4%0.1%2.9%396.3K-10.4M-73.2K0.299.881,37940641,09716,549
2012-07-19$9.15$9.0028.3%8.1%32.0%25.4%26.7%7.5%0.9%487.0K-8.2M-66.9K0.476.793,5181,66641,26116,571
2012-07-20$8.86$9.0028.1%8.1%33.8%25.0%27.4%0.3%1.5%479.9K-3.0M-64.9K0.317.833,6521,13342,65217,855
2012-07-23$8.71$9.0030.9%8.8%34.2%30.9%31.0%7.2%-0.9%328.8K-3.6M-63.8K0.348.811,56953738,08613,295
2012-07-24$8.66$9.0028.3%8.1%29.3%25.4%31.0%12.1%1.1%319.1K-3.5M-63.9K1.0722.921,3001,38538,44613,287
2012-07-25$8.47$9.0037.5%10.8%29.8%45.5%34.7%2.2%-5.9%304.2K-2.6M-60.1K0.6511.721,08270439,31413,441
2012-07-26$8.68$9.0029.9%8.6%29.1%28.7%31.2%6.4%-3.0%354.6K-3.8M-63.6K0.408.3775930539,72213,596
2012-07-27$8.90$9.0025.2%7.2%30.5%18.6%25.2%-1.3%3.2%397.5K-5.6M-67.2K0.238.5467515439,85713,677
2012-07-30$9.15$9.0029.3%8.4%32.3%27.6%29.3%6.1%-0.5%427.3K-7.9M-68.6K0.868.511,1801,01040,07613,662
2012-07-31$9.19$9.0031.3%9.0%32.1%31.9%31.2%7.5%-2.4%424.4K-8.2M-68.0K0.3111.7136511439,68113,648