LUV Options History — December 2012

In December 2012, LUV traded between $9.44 and $10.56. ATM implied volatility averaged 21.9%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.9% (HV 20d: 19.0%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2012-12-14: Highest Volume — 3,822 contracts
  • 2012-12-05: Largest IV spike — 66.8% change
  • 2012-12-03: Highest IV Rank — 42.9%
  • 2012-12-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.13$9.44$10.56$9.44$10.24
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV21.9%11.3%26.5%26.5%24.8%
Expected Move6.5%3.2%7.6%7.6%7.1%
HV 20d19.0%17.0%21.9%20.7%18.5%
HV 60d18.9%18.3%19.5%19.0%18.6%
IV Rank30.1%1.0%42.9%42.9%38.0%
IV Percentile14.8%0.4%31.7%31.3%24.2%
Term Structure2.5%-1.0%12.1%-1.0%5.0%
VWIV23.6%16.4%28.3%28.3%24.5%
Skew 25d4.2%-4.1%11.2%11.2%7.0%
Skew 10d8.9%-7.3%70.8%9.2%8.6%
Call IV 25d18.6%11.4%24.9%15.0%17.3%
Put IV 25d22.8%14.5%27.5%26.2%24.3%
Bid-Ask Spread %18.939.1040.9514.749.10
Gamma HHI0.690.420.870.420.75
Net GEX547.0K394.1K780.0K616.1K440.9K
Net DEX-18.9M-26.7M-10.5M-12.6M-11.3M
Net VEX-46.9K-49.2K-41.7K-44.8K-49.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.092.341.690.47
Total Volume1,498.95433,822431,205
Total OI70,483.5560,65377,46069,09662,371

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$9.44$9.0026.5%7.6%20.7%42.9%0.0%11.2%-1.0%616.1K-12.6M-44.8K1.6914.74162740,36428,732
2012-12-04$9.63$9.0011.3%3.2%21.6%1.0%28.3%3.1%12.1%627.4K-14.7M-42.3K0.2240.951,83040439,99528,732
2012-12-05$9.79$9.0018.9%5.4%21.9%21.8%19.0%-1.5%0.3%629.4K-17.7M-41.7K0.1225.882,67532241,20728,878
2012-12-06$9.88$9.0016.4%4.7%20.8%14.8%16.4%-1.4%4.9%633.9K-18.6M-42.9K0.0925.132,17120442,14829,090
2012-12-07$9.81$9.0017.8%6.6%20.5%18.8%24.9%6.5%1.3%694.7K-18.6M-48.1K2.3421.8622552643,70429,093
2012-12-10$9.84$9.0018.9%6.7%19.5%22.0%23.9%8.3%2.1%698.0K-19.1M-47.4K0.5015.7399049643,74228,918
2012-12-11$10.12$9.0016.7%6.2%21.3%15.9%21.6%3.5%3.1%780.0K-22.4M-47.9K0.3016.511,61348544,27129,241
2012-12-12$10.02$9.0018.8%6.4%21.7%21.5%22.1%3.7%2.4%707.1K-21.0M-47.4K0.2515.6871818343,99729,337
2012-12-13$10.14$9.0024.1%6.9%17.2%36.1%24.1%6.7%0.5%648.5K-22.4M-47.5K0.3725.351,50156144,11629,444
2012-12-14$10.19$9.0024.0%6.9%17.2%35.8%23.5%-4.1%1.8%693.1K-23.3M-47.5K1.2417.621,7042,11844,41729,685
2012-12-17$10.36$9.0026.2%7.5%17.5%41.9%25.4%1.3%-0.9%415.2K-24.9M-47.2K0.2110.7295920344,52331,725
2012-12-18$10.50$9.0024.1%6.9%17.2%36.1%22.6%3.5%2.3%444.3K-26.0M-46.2K0.2414.841,03825344,74431,764
2012-12-19$10.56$9.0022.6%6.5%17.0%32.0%25.3%4.4%0.8%399.1K-26.7M-46.4K0.6913.061,13878744,74631,995
2012-12-20$10.54$9.0021.4%6.1%17.2%28.7%25.4%4.0%1.6%397.4K-26.2M-47.4K0.0914.621,10310244,94732,513
2012-12-21$10.46$9.0025.8%7.4%17.6%40.7%22.2%3.5%0.6%394.1K-25.0M-49.1K0.2115.171,09923644,84932,567
2012-12-24$10.43$9.0025.5%7.3%17.8%40.0%25.7%1.5%2.3%415.1K-12.9M-47.9K0.5816.3821812632,97227,681
2012-12-26$10.31$9.0024.4%7.0%17.8%37.1%24.4%9.6%3.4%423.5K-12.0M-48.5K1.5026.1735553232,99327,785
2012-12-27$10.26$9.0025.1%7.2%17.8%38.9%25.1%7.8%4.0%432.5K-11.3M-49.1K0.8615.2919716933,03528,059
2012-12-28$10.16$9.0024.5%7.0%18.4%37.4%24.5%5.0%4.2%450.3K-10.5M-48.7K1.1723.7968880233,11028,181
2012-12-31$10.24$9.0024.8%7.1%18.5%38.0%24.5%7.0%5.0%440.9K-11.3M-49.2K0.479.1082238333,40228,969