LUV Options History — June 2013

In June 2013, LUV traded between $12.89 and $14.00. ATM implied volatility averaged 24.9%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.4% (HV 20d: 20.5%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2013-06-11: Highest Volume — 13,121 contracts
  • 2013-06-20: Largest IV spike — 18.4% change
  • 2013-06-10: Highest IV Rank — 58.3%
  • 2013-06-06: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.62$12.89$14.00$14.00$12.89
Max Pain$13.35$13.00$14.00$14.00$13.00
ATM IV24.9%21.4%28.3%25.5%21.4%
Expected Move7.1%6.1%8.1%7.3%6.1%
HV 20d20.5%16.9%23.7%21.1%19.3%
HV 60d24.4%23.0%25.1%24.0%23.0%
IV Rank50.0%39.4%58.3%48.6%39.4%
IV Percentile53.8%20.6%79.0%60.3%20.6%
Term Structure2.3%-1.9%5.0%-0.1%4.9%
VWIV24.1%19.3%28.0%19.8%21.2%
Skew 25d0.4%-11.8%8.7%-7.2%-1.8%
Skew 10d0.7%-14.7%14.3%-9.4%-1.2%
Call IV 25d23.4%15.6%29.0%27.7%17.5%
Put IV 25d23.8%15.7%28.8%20.5%15.7%
Bid-Ask Spread %6.674.0712.484.885.98
Gamma HHI0.360.280.500.490.28
Net GEX654.7K548.7K797.3K720.1K605.8K
Net DEX-22.6M-32.5M-14.1M-28.3M-14.1M
Net VEX-180.1K-198.0K-154.2K-192.5K-154.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.067.510.650.70
Total Volume2,833.1512013,1211,8661,129
Total OI73,214.554,61285,86170,66554,612

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$14.00$14.0025.5%7.3%21.1%48.6%19.8%-7.2%-0.1%720.1K-28.3M-192.5K0.654.881,13073650,70419,961
2013-06-04$13.92$14.0026.1%7.5%20.6%50.5%26.3%-11.8%0.6%707.6K-27.0M-191.3K0.854.5446739651,22020,219
2013-06-05$13.63$14.0026.8%7.7%21.8%52.5%28.0%1.4%-1.7%613.2K-20.6M-185.8K0.704.0793065351,22020,499
2013-06-06$13.50$14.0028.3%8.1%21.7%57.1%27.6%1.5%-1.9%562.9K-17.0M-181.6K0.987.311,9031,86351,07521,031
2013-06-07$13.88$14.0026.0%7.1%23.6%54.6%25.1%2.1%1.7%623.2K-24.6M-186.5K0.226.751,10223950,88921,257
2013-06-10$13.98$14.0027.1%7.2%23.7%58.3%25.4%1.1%2.2%676.4K-27.8M-184.1K0.067.921,5189151,34521,315
2013-06-11$13.95$14.0025.7%7.1%23.1%53.8%26.3%0.3%3.0%775.6K-27.5M-184.0K0.727.337,6375,48452,50021,287
2013-06-12$13.87$13.0023.9%7.1%23.2%47.7%24.8%1.5%2.6%778.1K-30.1M-198.0K0.5212.4875539358,49326,249
2013-06-13$13.98$13.0023.9%6.8%21.3%47.7%24.5%1.2%3.4%797.3K-32.5M-195.7K0.508.7950925458,38726,516
2013-06-14$13.87$13.0024.9%7.1%21.0%51.0%24.5%1.8%2.8%730.8K-28.8M-193.2K0.227.29982258,35226,700
2013-06-17$13.78$13.0025.0%7.2%19.9%51.4%25.0%0.1%2.7%712.0K-25.8M-188.4K3.596.714191,50358,36326,713
2013-06-18$13.86$13.0024.0%6.9%20.0%48.0%20.6%8.7%2.5%565.6K-26.2M-184.8K1.625.9447176358,34827,513
2013-06-19$13.69$13.0022.0%6.3%20.2%41.4%19.3%6.2%3.9%548.7K-19.6M-175.5K0.217.2596420657,03726,763
2013-06-20$13.53$13.0026.1%7.5%19.5%54.9%26.1%2.6%0.7%596.7K-15.5M-172.9K7.515.934363,27656,43126,745
2013-06-21$13.48$13.0025.0%7.2%16.9%51.3%24.1%1.8%3.3%624.1K-16.3M-170.2K0.256.733,12877356,64825,536
2013-06-24$13.31$13.0025.3%7.2%17.2%52.2%24.5%3.1%2.8%645.9K-19.4M-169.6K0.647.741,5601,00643,39113,278
2013-06-25$13.35$13.0023.5%6.7%17.4%46.3%23.4%-1.5%5.0%630.0K-20.3M-169.2K0.227.0246910343,46814,009
2013-06-26$12.97$13.0024.4%7.0%19.5%49.3%23.3%-7.4%3.3%582.1K-14.4M-162.2K0.384.151,10442343,59214,033
2013-06-27$13.04$13.0022.9%6.6%19.1%44.4%22.9%4.3%3.2%597.0K-15.2M-163.2K0.904.586,7256,02544,23614,355
2013-06-28$12.89$13.0021.4%6.1%19.3%39.4%21.2%-1.8%4.9%605.8K-14.1M-154.2K0.705.9866446542,59812,014