LUV Options History — March 2013

In March 2013, LUV traded between $11.82 and $13.48. ATM implied volatility averaged 18.7%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.0% (HV 20d: 20.7%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.20.

Notable Days

  • 2013-03-01: Highest Volume — 5,487 contracts
  • 2013-03-08: Largest IV drop — 45.6% change
  • 2013-03-13: Highest IV Rank — 34.3%
  • 2013-03-06: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.53$11.82$13.48$11.82$13.48
Max Pain$11.90$11.00$12.00$11.00$12.00
ATM IV18.7%9.6%22.5%21.8%17.9%
Expected Move5.9%5.1%6.8%6.2%5.1%
HV 20d20.7%13.6%23.0%22.3%13.6%
HV 60d18.3%17.8%19.1%19.1%18.1%
IV Rank23.4%0.0%34.3%29.7%21.9%
IV Percentile8.3%0.0%18.3%12.3%5.2%
Term Structure2.5%0.1%5.8%1.3%5.8%
VWIV20.4%12.3%23.1%21.7%17.8%
Skew 25d0.6%-5.1%10.5%-3.3%-0.3%
Skew 10d3.7%-3.9%45.8%-3.9%0.5%
Call IV 25d18.6%13.0%22.5%21.0%18.4%
Put IV 25d19.2%11.8%24.2%17.6%18.1%
Bid-Ask Spread %6.063.8410.266.834.00
Gamma HHI0.540.350.880.840.37
Net GEX714.8K429.2K1.4M1.0M592.3K
Net DEX-20.1M-25.5M-16.5M-17.2M-25.5M
Net VEX-62.6K-70.3K-59.7K-61.5K-70.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.020.870.040.28
Total Volume1,9564345,4875,4872,668
Total OI33,024.5526,72139,51336,98433,753

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$11.82$11.0021.8%6.2%22.3%29.7%21.7%-3.3%1.3%1.0M-17.2M-61.5K0.046.835,25922828,1598,825
2013-03-04$12.04$11.0021.5%6.7%23.0%29.0%23.1%2.4%0.1%1.4M-21.8M-63.6K0.353.841,64857030,5069,007
2013-03-05$12.11$12.0020.3%6.5%22.8%25.8%22.7%3.5%0.9%1.0M-17.7M-60.6K0.175.951,19320624,5779,129
2013-03-06$12.05$12.0018.7%6.8%22.9%21.3%22.8%2.5%0.8%1.1M-16.9M-60.3K0.073.929416824,4139,280
2013-03-07$12.09$12.0017.6%6.4%22.3%18.4%21.8%10.5%1.2%1.2M-17.5M-60.4K0.204.792,34947024,6709,293
2013-03-08$12.26$12.009.6%6.4%22.4%0.0%21.9%-2.6%1.3%918.2K-21.4M-59.7K0.187.441,53127526,0129,541
2013-03-11$12.33$12.0012.5%6.3%22.5%7.7%21.9%-1.6%2.3%657.6K-22.3M-60.1K0.236.611,01423326,5859,778
2013-03-12$12.34$12.0017.2%6.4%22.5%20.1%22.2%-3.0%1.2%755.3K-22.7M-60.9K0.025.771,3683227,0509,718
2013-03-13$12.45$12.0022.5%6.5%22.1%34.3%22.3%1.7%1.3%569.8K-23.3M-61.1K0.026.459882127,1029,733
2013-03-14$12.55$12.0019.0%5.5%22.2%25.0%20.8%3.3%3.4%477.9K-23.5M-60.2K0.117.853924226,6829,650
2013-03-15$12.38$12.0022.1%6.3%22.3%33.2%21.9%-1.2%1.4%495.2K-22.6M-61.6K0.087.172,12816226,8359,541
2013-03-18$12.56$12.0019.3%5.5%22.5%25.9%22.0%3.6%3.0%446.5K-16.5M-61.8K0.227.101,54334621,1155,606
2013-03-19$12.64$12.0018.6%5.3%22.4%23.8%20.0%3.6%3.5%454.7K-16.9M-61.7K0.8710.2626323021,2275,672
2013-03-20$12.79$12.0020.2%5.8%20.1%28.1%17.6%-1.5%2.4%429.2K-17.9M-61.7K0.286.411,46541621,3035,874
2013-03-21$12.76$12.0019.1%5.5%20.3%25.4%19.4%-5.1%3.5%465.0K-17.6M-63.5K0.064.791,82811821,6406,175
2013-03-22$12.87$12.0019.4%5.6%20.1%26.1%12.3%-2.3%2.9%553.5K-19.0M-65.4K0.055.642,71814623,0186,277
2013-03-25$12.86$12.0018.3%5.2%17.0%23.1%17.4%-2.8%5.7%594.8K-19.5M-63.8K0.385.8246817823,5396,363
2013-03-26$12.95$12.0018.4%5.3%17.0%23.3%18.1%-0.4%4.3%593.0K-20.1M-63.6K0.154.692,90945123,7426,490
2013-03-27$13.19$12.0019.6%5.6%13.8%26.5%19.6%4.9%4.0%620.4K-23.2M-69.9K0.165.951,94331225,8116,800
2013-03-28$13.48$12.0017.9%5.1%13.6%21.9%17.8%-0.3%5.8%592.3K-25.5M-70.3K0.284.002,08058826,6637,090