LUV Options History — May 2013

In May 2013, LUV traded between $13.48 and $14.38. ATM implied volatility averaged 23.5%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.6% (HV 20d: 24.1%). Max pain ranged from $11.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2013-05-16: Highest Volume — 13,556 contracts
  • 2013-05-16: Largest IV spike — 80.8% change
  • 2013-05-01: Highest IV Rank — 52.1%
  • 2013-05-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.15$13.48$14.38$13.48$14.17
Max Pain$12.32$11.00$14.00$13.00$14.00
ATM IV23.5%13.1%26.6%26.6%25.0%
Expected Move6.9%6.3%7.6%7.6%7.2%
HV 20d24.1%20.6%28.0%26.2%22.1%
HV 60d24.2%23.8%24.9%23.8%23.8%
IV Rank42.4%10.6%52.1%52.1%46.9%
IV Percentile41.2%2.0%64.7%62.7%54.4%
Term Structure1.3%-1.4%4.3%-1.4%0.9%
VWIV24.2%18.4%31.2%24.8%31.2%
Skew 25d0.4%-4.4%4.6%2.2%-3.1%
Skew 10d2.7%-4.3%11.6%1.5%-3.7%
Call IV 25d23.6%17.1%27.2%24.2%24.2%
Put IV 25d23.9%17.9%27.3%26.5%21.1%
Bid-Ask Spread %7.264.0311.7611.764.14
Gamma HHI0.320.250.470.310.47
Net GEX803.4K594.2K1.1M669.4K800.0K
Net DEX-38.2M-47.2M-25.4M-25.4M-38.9M
Net VEX-139.8K-199.3K-69.9K-77.6K-196.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.011.790.310.04
Total Volume3,473.557713,5561,1704,590
Total OI58,810.541,09276,42941,09275,580

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$13.48$13.0026.6%7.6%26.2%52.1%24.8%2.2%-1.4%669.4K-25.4M-77.6K0.3111.7689627431,00910,083
2013-05-02$13.76$13.0023.4%6.7%26.2%42.3%18.4%-2.9%-0.5%676.7K-28.7M-75.5K0.175.8995015931,3879,915
2013-05-03$14.07$13.0021.9%6.3%27.0%37.6%21.6%1.8%1.2%634.8K-32.3M-73.1K0.114.761,80719931,7419,895
2013-05-06$14.25$11.0022.3%6.6%27.1%38.9%22.7%2.9%1.3%594.2K-34.6M-69.9K0.1110.782,40027532,2349,897
2013-05-07$14.23$11.0022.3%6.7%27.0%38.9%23.2%1.3%1.6%631.9K-34.8M-73.7K0.039.942,8659833,41510,063
2013-05-08$14.33$11.0022.7%6.6%27.0%40.0%23.0%0.1%2.5%659.5K-36.8M-77.7K0.147.012,21229934,96910,118
2013-05-09$14.09$11.0022.2%6.8%28.0%38.4%23.0%3.1%2.0%762.9K-34.9M-83.9K0.028.506,05613936,26910,111
2013-05-10$14.16$11.0022.9%6.6%28.0%40.5%22.1%2.8%1.7%851.5K-39.4M-119.6K0.7410.1280859641,60810,181
2013-05-13$13.95$11.0022.7%6.8%24.6%40.2%23.5%0.1%2.2%905.2K-37.2M-120.9K0.237.481,44834042,06910,582
2013-05-14$13.98$11.0023.4%6.7%21.0%42.2%24.0%1.1%1.8%964.8K-37.8M-122.9K0.318.0543913842,60010,790
2013-05-15$14.34$11.0013.1%6.6%22.3%10.6%24.0%1.9%4.3%768.5K-42.1M-122.5K0.125.874,81757842,79510,893
2013-05-16$14.14$11.0023.6%6.8%22.4%42.8%23.7%-2.6%3.3%1.1M-41.6M-139.2K0.705.447,9965,56045,85111,202
2013-05-17$14.38$13.0024.1%6.9%21.3%44.2%24.2%1.7%1.4%892.8K-47.2M-159.2K0.015.989,79112452,52316,334
2013-05-20$14.25$13.0024.5%7.0%20.9%45.6%25.7%0.1%1.3%943.3K-42.2M-188.4K1.795.122,0573,67252,11813,768
2013-05-21$14.31$13.0024.4%7.0%20.6%45.2%24.4%2.7%0.7%828.3K-42.6M-195.9K0.347.792,46483653,47819,116
2013-05-22$14.03$13.0025.3%7.3%22.2%48.0%26.1%-0.9%0.7%845.7K-37.4M-195.9K0.4311.181,75975253,97817,589
2013-05-23$14.37$13.0025.1%7.2%23.5%47.2%24.9%4.6%0.8%891.7K-43.3M-196.0K0.796.111,3851,09754,08017,974
2013-05-24$14.28$13.0025.2%7.2%23.6%47.8%25.4%3.3%1.0%822.6K-41.2M-198.5K0.536.9570737654,26618,887
2013-05-28$14.27$13.0025.4%7.3%23.5%48.4%25.8%-4.0%0.4%833.9K-41.6M-194.5K1.285.999061,15654,48918,858
2013-05-29$14.13$14.0025.9%7.4%23.6%49.9%24.8%-4.1%-0.5%748.1K-38.6M-194.3K0.124.032,51530155,01819,669
2013-05-30$14.27$14.0024.6%7.1%22.8%46.0%25.9%-4.4%1.6%838.0K-42.4M-199.3K0.126.835206056,57219,857
2013-05-31$14.17$14.0025.0%7.2%22.1%46.9%31.2%-3.1%0.9%800.0K-38.9M-196.4K0.044.144,41117955,71919,861