LUV Options History — August 2013

In August 2013, LUV traded between $12.77 and $14.20. ATM implied volatility averaged 21.8%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.2% (HV 20d: 16.7%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2013-08-13: Highest Volume — 4,294 contracts
  • 2013-08-13: Largest IV spike — 22.4% change
  • 2013-08-27: Highest IV Rank — 78.3%
  • 2013-08-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.42$12.77$14.20$14.20$12.81
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV21.8%16.7%25.4%20.6%24.0%
Expected Move6.5%5.8%7.3%5.9%6.9%
HV 20d16.7%13.8%20.8%13.8%17.7%
HV 60d19.3%18.5%20.3%20.3%19.2%
IV Rank56.2%29.0%78.3%45.0%71.2%
IV Percentile36.3%3.6%76.2%17.9%56.0%
Term Structure1.9%-0.3%4.0%1.5%0.1%
VWIV22.7%20.5%25.1%20.6%24.8%
Skew 25d1.0%-7.0%7.1%3.8%6.9%
Skew 10d1.2%-7.5%10.4%4.3%10.0%
Call IV 25d20.7%15.2%23.4%15.2%19.8%
Put IV 25d21.7%16.2%26.6%19.0%26.6%
Bid-Ask Spread %6.174.348.376.876.04
Gamma HHI0.300.280.310.300.28
Net GEX802.6K607.6K1.1M1.0M607.6K
Net DEX-17.8M-32.7M-9.3M-32.7M-9.9M
Net VEX-154.2K-170.8K-137.2K-170.8K-140.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.062.740.280.23
Total Volume1,080.2272004,2942,339670
Total OI58,543.13656,61460,86560,74060,198

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$14.20$13.0020.6%5.9%13.8%45.0%20.6%3.8%1.5%1.0M-32.7M-170.8K0.286.871,82351645,82614,914
2013-08-02$14.19$13.0020.2%5.8%14.0%43.7%20.5%3.5%2.5%1.1M-32.2M-170.6K0.365.672338545,85314,950
2013-08-05$14.09$13.0019.6%6.4%14.5%41.0%22.4%2.6%2.5%1.1M-31.5M-168.0K0.898.371069445,91114,954
2013-08-06$13.84$13.0019.7%6.3%16.0%41.5%22.5%0.8%2.9%972.2K-22.7M-163.9K0.506.8248324341,91514,985
2013-08-07$13.77$13.0017.5%6.1%16.3%32.5%21.5%0.1%3.1%970.7K-22.1M-163.0K0.466.0134415842,12315,098
2013-08-08$13.86$13.0017.5%6.0%16.0%32.4%20.9%1.0%3.8%1.0M-22.7M-162.4K0.366.201736242,16415,068
2013-08-09$13.74$13.0020.8%6.0%15.9%45.9%21.2%0.8%3.5%951.1K-21.1M-161.2K0.868.0213211342,23115,029
2013-08-12$13.72$13.0016.7%6.0%15.9%29.0%21.1%-0.7%3.2%985.6K-21.3M-159.5K1.676.5112420742,25914,979
2013-08-13$13.47$13.0020.4%6.2%17.2%44.3%21.8%-0.2%4.0%765.9K-17.4M-154.2K0.605.872,6761,61842,23714,972
2013-08-14$13.50$13.0022.2%7.2%15.8%51.6%24.8%2.5%1.5%780.3K-18.4M-159.5K2.746.094841,32443,64015,749
2013-08-15$13.32$13.0024.8%7.1%16.0%62.5%24.9%-2.2%1.5%671.3K-15.7M-155.2K2.066.2936074043,42016,462
2013-08-16$13.34$13.0025.0%7.2%16.0%76.3%23.8%-0.4%0.0%702.3K-15.7M-154.8K0.647.5742327143,46716,696
2013-08-19$13.11$13.0023.8%6.8%16.7%70.2%22.9%3.3%0.7%636.3K-12.2M-149.8K0.235.541,04824341,40615,208
2013-08-20$13.15$13.0023.8%6.8%16.8%70.1%22.0%-3.8%1.0%672.9K-13.0M-149.8K0.194.3454810241,53015,218
2013-08-21$13.05$13.0023.0%6.6%16.7%66.5%23.4%-7.0%2.0%636.4K-11.9M-147.9K0.064.448845341,74515,276
2013-08-22$13.19$13.0022.0%6.3%17.2%61.4%22.1%-4.0%3.0%694.9K-13.6M-148.6K0.246.3194022842,11115,285
2013-08-23$13.27$13.0022.6%6.5%17.5%64.5%21.3%-1.7%1.5%738.7K-14.3M-149.0K0.124.526738042,74015,362
2013-08-26$13.27$13.0022.8%6.5%17.4%65.1%22.4%-1.6%1.7%757.9K-15.2M-148.2K0.206.5578115743,28315,428
2013-08-27$12.80$13.0025.4%7.3%20.8%78.3%25.1%7.1%0.5%627.5K-9.6M-137.9K0.265.571,68043443,47215,453
2013-08-28$12.77$13.0023.8%6.8%20.8%70.1%23.7%6.0%0.7%623.6K-9.3M-137.2K1.265.8045457343,96915,441
2013-08-29$12.79$13.0024.3%7.0%17.6%72.8%24.4%6.1%-0.3%617.1K-9.5M-140.5K0.556.2191950644,13715,785
2013-08-30$12.81$13.0024.0%6.9%17.7%71.2%24.8%6.9%0.1%607.6K-9.9M-140.6K0.236.0454512544,25415,944