LUV Options History — November 2012

In November 2012, LUV traded between $8.76 and $9.53. ATM implied volatility averaged 22.5%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.1% (HV 20d: 19.4%). 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 21 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2012-11-19: Highest Volume — 18,993 contracts
  • 2012-11-30: Largest IV drop — 56.8% change
  • 2012-11-26: Highest IV Rank — 32.5%
  • 2012-11-14: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.15$8.76$9.53$9.05$9.53
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV22.5%11.0%26.6%22.9%11.0%
Expected Move6.8%3.1%7.8%6.6%3.1%
HV 20d19.4%16.1%22.0%17.7%20.3%
HV 60d19.4%18.7%20.4%19.1%19.6%
IV Rank20.0%0.0%32.5%20.3%0.0%
IV Percentile10.6%0.0%29.8%6.0%0.0%
Term Structure1.7%0.1%10.5%1.2%10.5%
VWIV24.6%21.6%27.9%22.9%27.1%
Skew 25d6.3%-2.0%16.0%0.8%13.6%
Skew 10d8.3%0.4%20.0%1.2%9.2%
Call IV 25d17.7%12.0%27.0%22.1%12.0%
Put IV 25d24.0%19.7%30.2%22.9%25.5%
Bid-Ask Spread %16.387.7935.7510.4835.75
Gamma HHI0.500.380.680.510.47
Net GEX615.6K478.3K915.0K563.4K642.9K
Net DEX-8.9M-13.5M-4.9M-7.7M-13.5M
Net VEX-45.7K-49.6K-41.3K-49.6K-42.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.0322.680.140.44
Total Volume1,483.14316918,993728689
Total OI56,879.09548,37668,75849,62568,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$9.05$9.0022.9%6.6%17.7%20.3%22.9%0.8%1.2%563.4K-7.7M-49.6K0.1410.486418739,34310,282
2012-11-02$9.03$9.0022.2%6.4%16.5%18.2%22.2%0.3%3.1%539.6K-7.5M-49.2K0.7418.3826919839,41410,282
2012-11-05$9.04$9.0022.7%7.2%16.4%19.8%27.9%2.1%0.8%583.1K-8.0M-48.6K0.2619.341915039,52610,239
2012-11-06$9.15$9.0024.2%7.2%16.1%24.7%26.6%3.2%0.1%612.7K-9.0M-48.8K0.1511.103014639,59110,206
2012-11-07$9.01$9.0020.9%7.1%16.5%14.0%24.7%13.1%1.2%615.2K-7.6M-47.7K0.2823.8152314939,68710,165
2012-11-08$9.18$9.0017.4%7.3%16.8%2.5%26.7%16.0%0.8%627.9K-9.5M-49.3K0.4818.1740319339,74510,228
2012-11-09$9.06$9.0018.3%6.9%17.7%5.2%22.1%5.0%2.7%694.7K-8.4M-47.4K0.178.173295639,83210,189
2012-11-12$9.07$9.0022.9%7.2%17.4%20.3%25.0%5.2%0.6%736.6K-8.4M-45.8K1.3514.12729740,09410,223
2012-11-13$9.03$9.0025.9%7.0%16.9%30.2%24.4%4.3%0.7%722.6K-8.1M-44.4K0.389.0449218740,12010,210
2012-11-14$8.76$9.0022.4%7.8%20.1%18.9%26.3%-2.0%0.1%540.0K-4.9M-43.3K0.549.3126114040,37710,334
2012-11-15$8.84$9.0024.6%7.0%20.4%25.9%24.7%-0.9%0.5%642.8K-5.1M-42.8K0.4611.8740018440,18710,305
2012-11-16$8.93$9.0024.2%6.9%20.5%24.6%24.2%1.3%1.9%915.0K-5.9M-43.6K0.4320.5631813640,22810,337
2012-11-19$9.10$9.0021.6%6.2%21.6%16.3%21.6%2.9%2.8%586.0K-7.6M-41.3K22.6825.3480218,19138,37110,005
2012-11-20$9.11$9.0023.1%6.6%21.1%21.0%23.1%5.4%1.7%478.3K-7.7M-43.1K3.8618.602831,09138,86028,022
2012-11-21$9.23$9.0023.2%6.6%21.4%21.3%23.1%6.8%0.8%521.7K-9.1M-47.0K0.4423.2788938839,09828,467
2012-11-23$9.37$9.0024.3%7.0%21.7%25.1%24.2%10.4%0.8%637.6K-11.0M-43.6K0.107.793913939,49628,635
2012-11-26$9.40$9.0026.6%7.6%21.5%32.5%26.6%12.3%0.5%547.6K-11.4M-46.6K0.0311.687832339,64228,631
2012-11-27$9.29$9.0024.8%7.1%22.0%26.5%24.4%9.4%1.6%550.3K-10.2M-47.4K0.2710.5062716839,81428,630
2012-11-28$9.43$9.0023.6%6.8%21.9%22.8%22.2%10.0%2.3%566.6K-12.2M-45.0K0.1011.965055139,72528,657
2012-11-29$9.50$9.0025.4%7.3%21.9%28.5%25.5%12.3%1.3%604.0K-13.2M-42.9K0.2524.8040210139,84928,657
2012-11-30$9.53$9.0011.0%3.1%20.3%0.0%27.1%13.6%10.5%642.9K-13.5M-42.9K0.4435.7547721240,08028,678