LUV Options History — April 2013

In April 2013, LUV traded between $12.54 and $13.70. ATM implied volatility averaged 23.8%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 3.3% (HV 20d: 27.1%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2013-04-19: Highest Volume — 4,099 contracts
  • 2013-04-11: Largest IV spike — 17.6% change
  • 2013-04-18: Highest IV Rank — 58.0%
  • 2013-04-18: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.11$12.54$13.70$13.23$13.70
Max Pain$12.82$12.00$13.00$12.00$13.00
ATM IV23.8%19.1%28.6%19.1%20.0%
Expected Move7.1%5.5%8.2%5.5%5.7%
HV 20d27.1%16.3%32.4%16.3%25.7%
HV 60d21.9%18.4%23.6%18.4%23.5%
IV Rank41.0%25.2%58.0%25.2%31.9%
IV Percentile38.9%10.3%72.6%10.3%15.1%
Term Structure0.3%-3.0%6.0%6.0%2.3%
VWIV24.3%16.4%29.0%18.5%19.4%
Skew 25d2.2%-6.5%8.3%5.3%5.4%
Skew 10d4.6%-3.5%16.9%6.4%7.3%
Call IV 25d23.2%13.4%28.8%13.4%19.2%
Put IV 25d25.4%14.1%32.5%18.7%24.6%
Bid-Ask Spread %7.493.3913.666.147.09
Gamma HHI0.380.290.610.370.29
Net GEX745.6K590.5K1.2M681.5K654.6K
Net DEX-22.7M-27.9M-17.8M-23.9M-27.9M
Net VEX-77.6K-80.3K-74.1K-74.1K-74.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.080.840.370.31
Total Volume1,411.2735694,0991,6001,366
Total OI38,745.54535,18540,94135,18540,573

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$13.23$12.0019.1%5.5%16.3%25.2%18.5%5.3%6.0%681.5K-23.9M-74.1K0.376.141,16443627,6597,526
2013-04-02$12.68$12.0021.5%6.2%23.0%31.7%20.1%-6.5%3.7%700.1K-18.9M-77.3K0.105.991,63716728,5107,764
2013-04-03$12.54$12.0021.1%6.1%23.4%30.6%16.4%-5.8%4.6%696.0K-17.8M-78.1K0.353.3972525328,9307,829
2013-04-04$12.80$12.0019.4%5.6%24.2%26.2%19.3%-3.0%5.3%757.4K-20.1M-77.7K0.846.7140734129,0887,868
2013-04-05$12.81$13.0020.1%7.0%24.2%27.8%24.7%3.8%-0.7%754.5K-20.0M-78.3K0.636.7945428629,3088,128
2013-04-08$12.93$13.0021.1%7.5%24.0%30.6%26.5%3.6%-1.5%768.3K-21.5M-77.8K0.215.7654911329,5918,187
2013-04-09$12.90$13.0020.0%7.2%24.0%27.6%25.1%2.6%-0.3%799.2K-21.2M-77.3K0.256.4771617729,8758,259
2013-04-10$13.04$13.0021.7%7.3%24.2%32.1%25.2%3.8%-0.6%789.2K-22.8M-77.4K0.1210.846847930,1888,425
2013-04-11$13.09$13.0025.5%7.3%24.1%42.3%25.5%0.4%-0.7%807.7K-23.7M-77.2K0.086.467125930,3828,470
2013-04-12$13.15$13.0024.9%7.1%24.0%40.7%25.3%1.2%-0.3%831.6K-24.4M-77.5K0.137.032,46833130,7008,510
2013-04-15$12.67$13.0027.2%7.8%27.3%46.6%27.4%8.3%-0.9%746.3K-19.3M-78.3K0.326.9371423230,9568,619
2013-04-16$13.18$13.0025.5%7.3%30.2%48.6%25.5%1.2%-0.9%910.7K-25.1M-77.3K0.466.461,05348731,3208,781
2013-04-17$13.15$13.0028.4%8.1%30.2%57.5%28.8%6.0%-3.0%872.2K-24.7M-79.2K0.129.431,16613631,7669,175
2013-04-18$12.98$13.0028.6%8.2%30.4%58.0%29.0%5.4%-2.9%1.2M-21.7M-78.0K0.277.0671919431,1639,275
2013-04-19$13.34$13.0027.4%7.8%31.8%54.3%27.0%5.2%-1.1%590.5K-26.0M-78.2K0.187.333,48761231,2769,447
2013-04-22$13.17$13.0028.3%8.1%32.2%57.2%28.5%1.4%-1.7%600.4K-20.9M-78.8K0.846.7696581328,7468,589
2013-04-23$13.34$13.0028.4%8.1%32.4%57.4%27.5%5.5%-1.3%599.3K-22.5M-79.9K0.487.831,22158629,2429,033
2013-04-24$13.42$13.0026.8%7.7%32.4%52.6%27.4%2.8%-0.2%609.1K-23.2M-80.3K0.748.821,18387229,5059,382
2013-04-25$13.42$13.0024.0%6.9%31.8%43.9%22.9%1.0%-0.3%652.6K-24.2M-77.0K0.4313.661,34958329,9659,498
2013-04-26$13.39$13.0021.7%6.2%30.8%36.9%21.0%0.5%2.6%672.2K-24.4M-77.7K0.336.3374124230,4129,908
2013-04-29$13.54$13.0023.5%6.7%30.3%42.5%23.4%0.6%-1.1%662.8K-25.9M-75.9K0.4611.5139017930,6269,948
2013-04-30$13.70$13.0020.0%5.7%25.7%31.9%19.4%5.4%2.3%654.6K-27.9M-74.9K0.317.091,04132530,7029,871