LUV Options History — October 2012

In October 2012, LUV traded between $8.71 and $9.14. ATM implied volatility averaged 25.7%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 7.9% (HV 20d: 17.9%). 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 14 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2012-10-16: Highest Volume — 6,704 contracts
  • 2012-10-02: Largest IV drop — 16.6% change
  • 2012-10-10: Highest IV Rank — 39.7%
  • 2012-10-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.87$8.71$9.14$8.86$8.82
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV25.7%21.9%29.8%29.8%22.5%
Expected Move7.3%6.3%8.5%8.5%6.4%
HV 20d17.9%15.7%21.5%21.3%15.8%
HV 60d22.1%18.6%25.2%25.1%18.6%
IV Rank27.5%17.3%39.7%28.6%19.0%
IV Percentile17.1%2.0%39.7%38.1%3.6%
Term Structure0.9%-1.7%5.1%-1.3%0.9%
VWIV25.6%21.9%29.8%29.8%22.5%
Skew 25d3.5%-3.3%10.1%-3.3%2.1%
Skew 10d6.2%-3.1%17.0%-3.1%2.5%
Call IV 25d22.0%19.7%26.4%26.4%22.7%
Put IV 25d25.4%21.3%31.8%23.1%24.8%
Bid-Ask Spread %22.2310.6530.8727.8127.07
Gamma HHI0.450.380.760.380.44
Net GEX438.3K278.3K1.4M280.9K345.3K
Net DEX-4.6M-8.3M-3.1M-4.3M-3.8M
Net VEX-46.4K-50.9K-42.2K-47.6K-42.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.011.710.310.01
Total Volume1,322.3332326,7042914,802
Total OI45,331.04842,12853,81542,12845,717

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$8.86$9.0029.8%8.5%21.3%28.6%29.8%-3.3%-1.3%280.9K-4.3M-47.6K0.3127.812226933,0619,067
2012-10-02$8.98$9.0024.9%7.1%21.5%17.8%24.9%1.9%4.3%317.7K-5.0M-48.5K0.0911.671,0749333,1789,111
2012-10-03$9.14$9.0028.1%8.1%20.2%25.7%27.7%6.3%-0.1%343.5K-6.3M-50.1K0.0825.807846433,5149,165
2012-10-04$9.10$9.0027.7%7.9%19.7%31.6%27.7%4.8%1.3%359.9K-6.4M-50.9K0.6121.8032019433,9929,229
2012-10-05$8.97$9.0025.7%7.9%20.3%27.9%27.4%1.2%-1.0%340.4K-5.4M-49.2K0.5421.7051527634,0219,375
2012-10-08$8.86$9.0029.4%7.8%20.7%39.4%27.3%8.9%-0.9%308.7K-4.5M-47.2K0.5421.4051127634,1279,577
2012-10-09$8.75$9.0027.8%8.3%19.6%35.7%29.1%9.3%-1.7%280.1K-3.4M-45.6K0.2714.043529534,2559,819
2012-10-10$8.77$9.0029.1%7.5%17.1%39.7%26.4%10.1%0.8%282.9K-3.3M-45.1K0.5025.711889434,2899,904
2012-10-11$8.71$9.0025.8%7.4%17.0%29.8%25.4%8.2%1.6%279.8K-3.1M-44.5K0.5421.561839834,3489,972
2012-10-12$8.84$9.0026.3%7.5%18.0%31.4%26.9%9.8%-0.4%308.5K-3.8M-44.6K0.2626.621844834,3499,956
2012-10-15$8.89$9.0025.3%7.3%18.2%28.3%25.3%1.0%-0.7%331.7K-4.2M-43.7K0.2622.211884834,3659,956
2012-10-16$8.88$9.0025.7%7.4%17.5%29.5%25.7%1.1%0.6%333.7K-4.4M-44.4K0.0417.426,41728734,4249,971
2012-10-17$8.95$9.0027.5%7.9%16.8%35.3%26.5%3.3%0.4%866.4K-7.6M-47.1K0.4030.562,42598040,80410,047
2012-10-18$8.98$9.0025.5%7.3%16.1%28.8%25.6%3.2%1.5%1.4M-8.3M-48.6K0.5130.872,0731,05841,93710,729
2012-10-19$8.88$9.0021.9%6.3%16.1%17.3%21.9%1.7%5.1%1.3M-4.8M-48.1K0.5322.5336219142,55311,262
2012-10-22$8.83$9.0023.8%6.8%16.1%23.5%23.7%0.0%0.9%279.9K-4.0M-45.0K1.7123.3038064934,5119,838
2012-10-23$8.79$9.0023.5%6.7%16.1%22.4%23.8%1.8%2.6%279.4K-3.5M-45.4K0.4329.5944719134,73110,416
2012-10-24$8.75$9.0025.1%7.2%15.7%27.7%25.1%1.0%1.7%278.3K-3.6M-45.5K0.3518.0539513934,90810,429
2012-10-25$8.83$9.0022.4%6.4%16.1%18.7%22.4%0.7%2.6%311.4K-4.0M-46.1K0.3310.6550416535,10110,339
2012-10-26$8.74$9.0022.8%6.5%15.9%20.0%22.7%-0.5%1.6%307.9K-3.5M-44.7K0.0616.394042435,32710,278
2012-10-31$8.82$9.0022.5%6.4%15.8%19.0%22.5%2.1%0.9%345.3K-3.8M-42.2K0.0127.074,7683435,43910,278