LUV Options History — August 2012

In August 2012, LUV traded between $8.89 and $9.46. ATM implied volatility averaged 25.7%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 1.6% (HV 20d: 27.3%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.61.

Notable Days

  • 2012-08-16: Highest Volume — 12,920 contracts
  • 2012-08-14: Largest IV drop — 32.4% change
  • 2012-08-13: Highest IV Rank — 37.7%
  • 2012-08-03: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.12$8.89$9.46$9.18$8.94
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV25.7%22.1%34.0%28.9%22.6%
Expected Move7.4%6.3%8.6%8.3%6.5%
HV 20d27.3%19.2%34.0%32.1%19.2%
HV 60d29.7%27.9%31.0%30.0%27.9%
IV Rank19.8%11.8%37.7%26.7%12.9%
IV Percentile10.4%1.6%55.6%19.0%2.8%
Term Structure3.8%-1.4%7.7%-0.7%7.4%
VWIV25.5%22.1%36.8%28.6%22.6%
Skew 25d3.3%-5.8%13.9%6.4%0.2%
Skew 10d4.4%-6.1%22.8%8.0%0.5%
Call IV 25d21.3%15.9%27.8%21.4%20.8%
Put IV 25d24.6%20.5%32.8%27.8%21.0%
Bid-Ask Spread %12.287.0126.1011.739.51
Gamma HHI0.380.300.530.360.32
Net GEX451.9K255.2K670.3K446.3K321.6K
Net DEX-7.1M-10.0M-4.3M-8.2M-5.0M
Net VEX-61.3K-68.0K-55.8K-67.9K-55.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.148.000.480.54
Total Volume1,24817912,920519244
Total OI56,608.26153,02063,85053,69859,829

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$9.18$9.0028.9%8.3%32.1%26.7%28.6%6.4%-0.7%446.3K-8.2M-67.9K0.4811.7335116840,05113,647
2012-08-02$8.94$9.0028.0%8.0%33.1%24.8%27.8%2.9%0.5%422.5K-5.9M-65.4K5.758.7510661040,18913,725
2012-08-03$9.13$9.0030.1%8.6%33.7%29.2%30.1%6.1%-1.4%443.4K-7.2M-66.9K0.6910.1329420440,17814,166
2012-08-06$9.26$9.0028.6%8.5%34.0%26.0%26.8%8.8%0.9%467.1K-8.3M-68.0K0.4014.3834914139,58913,911
2012-08-07$9.09$9.0027.1%8.3%30.9%22.7%28.7%-3.8%1.5%459.9K-7.0M-63.1K0.177.011,23220739,76213,906
2012-08-08$9.10$9.0028.4%7.9%30.9%25.6%26.7%-4.1%3.1%501.3K-7.3M-64.9K5.969.047343540,51313,957
2012-08-09$9.04$9.0026.2%7.7%29.6%20.8%26.6%-5.8%3.6%522.5K-7.0M-63.5K0.627.931137040,53413,741
2012-08-10$9.07$9.0027.8%7.8%29.1%24.2%24.9%6.6%2.6%527.6K-7.0M-62.0K0.6223.7520512740,56813,715
2012-08-13$9.12$9.0034.0%7.7%29.3%37.7%22.5%7.3%2.7%573.2K-7.3M-60.6K4.047.484171,68640,54013,778
2012-08-14$9.01$9.0023.0%7.0%29.5%13.8%24.3%13.4%4.6%633.0K-5.9M-58.9K0.4013.8363625339,71813,608
2012-08-15$9.02$9.0022.7%7.1%29.5%13.1%24.5%4.4%4.5%670.3K-5.9M-58.3K2.007.3247094039,61113,411
2012-08-16$9.07$9.0023.6%6.8%27.8%15.2%36.8%13.9%5.4%657.7K-7.2M-57.7K8.009.091,43611,48439,49513,525
2012-08-17$9.13$9.0024.9%7.1%25.2%17.9%24.3%5.1%3.9%389.7K-7.4M-62.4K0.268.7443111239,76124,089
2012-08-20$9.44$9.0025.6%7.3%26.6%19.4%24.6%3.7%5.0%404.7K-9.4M-62.0K0.148.481,09615636,33721,761
2012-08-21$9.46$9.0027.0%7.7%26.3%22.6%24.2%4.5%2.7%421.3K-10.0M-62.6K0.618.7264639636,78021,764
2012-08-22$9.32$9.0023.4%6.7%25.5%14.7%23.6%-1.4%6.1%417.5K-8.9M-61.3K0.508.871979837,06021,889
2012-08-23$9.30$9.0024.2%6.9%24.5%16.4%24.4%-2.5%4.0%412.5K-8.7M-61.6K1.3910.3614119637,20521,929
2012-08-24$9.21$9.0024.0%6.9%23.5%16.0%24.0%7.0%4.9%396.2K-7.7M-60.2K0.8810.18958437,21722,039
2012-08-27$9.07$9.0022.9%6.6%22.1%13.6%22.8%3.5%6.7%391.7K-6.8M-58.1K1.0714.8011712537,25722,053
2012-08-28$8.98$9.0022.6%6.5%22.3%12.9%22.6%0.7%7.6%333.4K-5.3M-56.1K2.0221.5424549437,22022,129
2012-08-29$8.89$9.0024.1%6.9%22.5%16.3%24.1%-1.2%4.0%255.2K-4.3M-55.8K0.2526.103478637,34822,485
2012-08-30$8.96$9.0022.1%6.3%20.7%11.8%22.1%0.2%7.7%324.0K-5.2M-55.9K0.1724.791,18620537,51022,490
2012-08-31$8.94$9.0022.6%6.5%19.2%12.9%22.6%0.2%7.4%321.6K-5.0M-55.9K0.549.511588637,24722,582