LUV Options History — January 2013

In January 2013, LUV traded between $10.47 and $11.48. ATM implied volatility averaged 22.3%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.6% (HV 20d: 17.6%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2013-01-24: Highest Volume — 5,239 contracts
  • 2013-01-10: Largest IV spike — 32.8% change
  • 2013-01-23: Highest IV Rank — 46.5%
  • 2013-01-23: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.15$10.47$11.48$10.47$11.21
Max Pain$10.71$9.00$11.00$9.00$11.00
ATM IV22.3%12.6%27.9%12.6%22.6%
Expected Move6.7%3.6%8.0%3.6%6.5%
HV 20d17.6%16.3%19.3%18.9%16.4%
HV 60d18.7%18.4%19.3%18.8%18.5%
IV Rank31.1%4.5%46.5%4.5%31.9%
IV Percentile20.3%0.8%53.2%0.8%12.3%
Term Structure0.7%-3.0%18.9%18.9%-0.2%
VWIV23.0%12.3%26.8%12.3%22.6%
Skew 25d3.9%-5.9%40.0%4.5%5.0%
Skew 10d9.9%-5.1%107.5%2.6%6.5%
Call IV 25d19.6%11.4%26.0%11.6%17.4%
Put IV 25d23.5%16.1%56.7%16.1%22.4%
Bid-Ask Spread %14.003.6929.5419.747.03
Gamma HHI0.380.310.660.660.36
Net GEX237.7K130.4K412.7K412.7K168.3K
Net DEX-15.0M-18.8M-10.2M-13.3M-10.5M
Net VEX-49.6K-60.7K-44.1K-46.1K-59.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.112.310.340.16
Total Volume1,471.5242825,2391,373282
Total OI51,722.85725,04066,08962,31233,055

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$10.47$9.0012.6%3.6%18.9%4.5%12.3%4.5%18.9%412.7K-13.3M-46.1K0.3419.741,02434933,37028,942
2013-01-03$10.72$9.0015.2%4.4%19.3%11.6%14.8%4.2%12.0%330.2K-15.7M-44.6K0.4419.061,37461133,80829,130
2013-01-04$10.88$10.0018.3%6.6%19.2%20.2%23.8%7.1%0.1%235.5K-17.2M-44.1K0.3217.541,18637734,65929,695
2013-01-07$10.91$10.0018.1%6.9%19.2%19.6%24.0%6.9%0.0%242.3K-17.2M-45.3K0.4214.271,54464434,77029,930
2013-01-08$11.03$11.0019.5%7.5%18.7%23.5%26.1%2.1%-2.5%236.8K-17.8M-45.8K0.4013.341,29952234,81030,474
2013-01-09$11.00$11.0018.7%7.3%18.9%21.4%25.5%-5.9%-2.2%249.7K-17.8M-46.7K0.4013.7177030635,30030,510
2013-01-10$11.07$11.0024.9%7.1%17.0%38.3%25.6%-5.5%-0.7%269.8K-18.2M-46.9K0.1417.105608035,48330,606
2013-01-11$11.05$11.0025.3%7.2%16.3%39.4%25.2%-5.5%-0.9%277.5K-17.1M-47.6K0.2914.4940111834,53630,655
2013-01-14$11.02$11.0026.4%7.6%16.3%42.5%23.2%3.0%-3.0%283.0K-16.8M-46.6K0.408.552509934,46530,629
2013-01-15$11.08$11.0025.8%7.4%16.3%40.8%25.8%1.3%-2.4%290.3K-17.0M-46.4K1.4121.1727438634,39230,687
2013-01-16$11.28$11.0025.8%7.4%16.5%40.8%25.1%-1.7%-1.1%228.1K-18.6M-45.2K0.5113.461,25363934,39430,954
2013-01-17$11.40$11.0026.5%7.6%16.3%42.7%24.5%3.2%-2.9%210.9K-18.8M-46.1K0.4721.4243920534,26231,246
2013-01-18$11.26$11.0026.8%7.7%17.3%43.5%26.6%-2.1%-2.5%226.8K-18.0M-46.5K2.3124.819602,22134,30331,326
2013-01-22$11.48$11.0025.9%7.4%18.1%41.1%26.1%-0.4%-2.9%131.3K-11.0M-46.1K0.4129.541,51062516,2228,818
2013-01-23$11.36$11.0027.9%8.0%18.3%46.5%26.8%1.7%-2.5%143.2K-10.2M-50.4K0.646.481,44792117,3359,415
2013-01-24$11.45$11.0019.1%5.5%18.2%22.4%18.4%7.7%5.7%130.4K-11.4M-49.6K0.116.594,72751218,2679,894
2013-01-25$11.44$11.0021.2%6.1%17.3%28.1%22.0%-1.4%1.5%261.4K-12.6M-60.7K0.313.6946214121,85710,293
2013-01-28$11.43$11.0021.8%6.2%17.1%29.8%21.6%9.3%1.7%256.4K-12.7M-58.7K0.295.0645513122,03210,426
2013-01-29$11.33$11.0022.7%6.5%16.9%32.3%22.7%7.7%-0.5%224.0K-11.8M-59.4K0.3110.5190228022,07310,467
2013-01-30$11.24$11.0022.8%6.5%17.6%32.5%20.5%40.0%-1.0%182.4K-10.8M-59.2K1.226.5327733922,03610,654
2013-01-31$11.21$11.0022.6%6.5%16.4%31.9%22.6%5.0%-0.2%168.3K-10.5M-59.1K0.167.032433922,18810,867