LUV Options History — July 2013

In July 2013, LUV traded between $12.71 and $13.89. ATM implied volatility averaged 22.9%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.7% (HV 20d: 20.2%). 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 15 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2013-07-17: Highest Volume — 5,377 contracts
  • 2013-07-11: Largest IV spike — 17.7% change
  • 2013-07-16: Highest IV Rank — 55.5%
  • 2013-07-05: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.45$12.71$13.89$13.11$13.83
Max Pain$12.77$12.00$13.00$13.00$13.00
ATM IV22.9%20.2%26.2%22.9%21.9%
Expected Move6.8%5.8%7.6%6.6%6.3%
HV 20d20.2%11.5%22.7%20.5%11.5%
HV 60d21.8%19.5%24.2%23.3%19.5%
IV Rank46.6%37.3%55.5%44.2%50.5%
IV Percentile38.5%16.7%77.0%34.1%28.2%
Term Structure1.0%-0.9%5.9%3.6%0.4%
VWIV24.2%18.6%28.2%22.8%21.4%
Skew 25d3.3%-6.7%11.4%3.5%-1.9%
Skew 10d6.6%-1.3%31.1%3.9%0.8%
Call IV 25d20.6%16.0%25.1%16.0%19.4%
Put IV 25d23.8%14.4%29.8%19.5%17.6%
Bid-Ask Spread %6.715.1910.995.705.84
Gamma HHI0.280.270.290.280.29
Net GEX805.6K586.8K1.0M631.6K1.0M
Net DEX-22.1M-30.9M-10.3M-16.9M-27.2M
Net VEX-162.1K-173.8K-151.1K-157.8K-170.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.113.612.090.19
Total Volume1,569.53255,3772,910472
Total OI59,084.27355,19764,20255,19760,777

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$13.11$13.0022.9%6.6%20.5%44.2%22.8%3.5%3.6%631.6K-16.9M-157.8K2.095.709411,96942,81512,382
2013-07-02$12.71$13.0021.6%6.2%22.7%40.0%22.1%-3.6%5.9%586.8K-10.3M-152.0K0.995.5876075243,53813,886
2013-07-03$12.71$13.0022.2%6.4%21.9%42.1%22.2%-6.7%3.2%601.5K-10.5M-153.3K3.615.1921979143,89314,064
2013-07-05$12.79$12.0020.9%7.6%22.1%37.8%26.6%4.7%-0.3%629.4K-11.8M-153.1K0.336.122448144,04213,782
2013-07-08$12.91$12.0020.8%7.5%19.5%37.5%26.6%5.9%-0.1%656.0K-13.1M-151.1K0.117.576237044,14313,798
2013-07-09$13.10$12.0021.6%7.5%20.2%40.1%28.2%3.6%-0.2%689.8K-16.5M-155.7K0.308.1975322944,15013,726
2013-07-10$13.14$12.0020.8%7.4%20.3%37.3%26.6%2.7%-0.1%697.4K-17.2M-156.8K0.4310.9991439244,19513,882
2013-07-11$13.29$13.0024.5%7.0%20.9%49.6%24.2%4.0%0.3%707.7K-19.3M-154.9K0.185.931,44325844,24214,171
2013-07-12$13.46$13.0024.8%7.1%21.3%50.5%24.3%1.1%1.2%755.6K-22.7M-160.3K0.656.9862941145,07414,184
2013-07-15$13.48$13.0026.2%7.5%21.2%55.3%25.2%2.7%0.4%757.1K-24.3M-160.2K0.977.2264963245,39314,505
2013-07-16$13.40$13.0025.1%7.2%21.2%55.5%24.0%-0.6%0.9%718.1K-23.5M-160.8K0.516.4538119645,59815,017
2013-07-17$13.65$13.0024.6%7.1%22.2%53.7%27.8%5.5%-0.3%801.4K-26.1M-162.9K0.315.774,1171,26045,76215,001
2013-07-18$13.78$12.0024.3%7.0%22.1%52.8%24.8%6.3%1.1%914.9K-30.9M-165.5K0.327.221,18838148,41215,539
2013-07-19$13.81$13.0024.8%7.1%21.6%54.5%25.4%7.0%-0.9%936.3K-30.8M-165.1K0.596.801,19770848,42215,780
2013-07-22$13.87$13.0024.7%7.1%21.6%53.9%25.4%8.4%0.5%891.5K-26.6M-163.3K0.296.971,13132443,33012,297
2013-07-23$13.89$13.0023.7%6.8%20.9%50.3%24.1%11.4%0.6%928.4K-27.5M-167.8K0.126.781,02611943,93512,474
2013-07-24$13.76$13.0024.3%7.0%21.3%52.5%26.2%8.0%-0.8%921.6K-26.1M-165.7K1.628.191,7902,90044,10612,554
2013-07-25$13.81$13.0020.2%5.8%18.0%38.1%18.6%5.0%1.8%973.3K-26.6M-172.0K0.966.901,1571,11545,22214,127
2013-07-26$13.79$13.0020.7%5.9%18.1%39.9%22.5%5.2%1.8%972.8K-26.4M-173.8K0.495.3962730945,66414,775
2013-07-29$13.70$13.0021.0%6.0%17.6%40.8%22.9%3.9%1.7%968.0K-25.2M-171.4K0.426.4040516945,76314,823
2013-07-30$13.82$13.0021.3%6.1%17.0%47.9%21.2%-4.4%1.2%981.9K-27.1M-172.7K0.165.5168910845,73714,874
2013-07-31$13.83$13.0021.9%6.3%11.5%50.5%21.4%-1.9%0.4%1.0M-27.2M-170.0K0.195.843957745,86714,910