LUV Options History — September 2013

In September 2013, LUV traded between $12.82 and $14.70. ATM implied volatility averaged 22.3%, placing in the 63.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.2% (HV 20d: 22.1%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2013-09-30: Highest Volume — 10,034 contracts
  • 2013-09-10: Largest IV drop — 22.3% change
  • 2013-09-30: Highest IV Rank — 83.0%
  • 2013-09-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.99$12.82$14.70$12.82$14.56
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV22.3%18.6%26.4%24.2%26.4%
Expected Move6.5%5.6%7.6%6.9%7.6%
HV 20d22.1%17.8%25.5%17.8%20.6%
HV 60d20.0%18.3%21.2%18.3%19.2%
IV Rank63.0%44.4%83.0%72.4%83.0%
IV Percentile39.9%9.5%90.1%59.9%90.1%
Term Structure1.6%-0.2%2.9%0.7%-0.2%
VWIV22.8%18.4%27.6%25.0%27.6%
Skew 25d2.7%-3.3%7.8%7.8%5.2%
Skew 10d3.2%-2.5%11.6%11.6%3.1%
Call IV 25d20.5%17.1%23.6%20.9%23.6%
Put IV 25d23.2%18.9%28.8%28.7%28.8%
Bid-Ask Spread %7.525.4112.057.005.87
Gamma HHI0.300.270.340.290.27
Net GEX935.6K607.0K1.3M607.0K777.9K
Net DEX-28.4M-40.2M-9.9M-9.9M-31.4M
Net VEX-161.7K-165.8K-137.7K-137.7K-165.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.076.580.070.20
Total Volume2,048.828810,0346,28810,034
Total OI63,701.753,19370,22160,38755,639

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$12.82$13.0024.2%6.9%17.8%72.4%25.0%7.8%0.7%607.0K-9.9M-137.7K0.077.005,90038844,41015,977
2013-09-04$13.01$13.0024.5%7.0%18.3%73.9%24.5%0.8%1.2%830.4K-15.6M-159.9K0.296.1871020649,64316,161
2013-09-05$13.09$13.0023.9%6.8%18.6%70.6%23.5%2.8%0.9%879.4K-16.9M-160.1K0.386.902088050,22716,104
2013-09-06$13.10$13.0023.4%7.0%18.3%68.1%25.7%2.2%1.2%887.0K-17.5M-160.5K0.8812.0515313550,23416,138
2013-09-09$13.27$13.0023.9%7.2%19.0%70.8%24.5%5.5%1.1%947.8K-19.3M-160.4K0.6710.6854636650,24116,207
2013-09-10$13.90$13.0018.6%6.3%25.5%44.4%21.7%1.8%2.1%1.2M-29.7M-164.0K0.148.432,11229050,35016,400
2013-09-11$13.85$13.0020.7%6.3%24.6%54.9%22.6%1.5%2.2%1.2M-29.1M-164.4K1.176.2667378950,91516,548
2013-09-12$13.75$13.0021.9%6.3%24.8%61.1%18.4%7.1%2.4%1.2M-27.6M-163.4K6.588.551611,06051,22816,596
2013-09-13$13.90$13.0021.3%6.1%24.4%58.1%21.4%-0.9%2.5%1.2M-30.0M-165.8K2.005.4127554951,27917,559
2013-09-16$14.10$13.0022.9%6.6%24.8%65.7%22.5%2.7%1.9%1.3M-33.4M-164.9K0.325.941,91961251,27417,986
2013-09-17$14.22$13.0022.6%6.5%23.7%64.3%21.2%-2.1%2.1%1.2M-35.2M-164.5K0.2210.551,08824451,74818,196
2013-09-18$14.25$13.0023.6%6.8%23.7%69.1%22.9%-3.3%0.3%1.1M-36.7M-162.6K0.216.5472215351,86618,334
2013-09-19$14.54$13.0021.0%6.0%23.9%56.4%22.1%4.4%2.1%835.3K-40.2M-162.9K0.235.632,31053551,58318,203
2013-09-20$14.41$13.0021.1%6.0%24.4%56.9%19.8%-1.0%2.7%872.5K-39.3M-161.6K0.267.631,92550152,13018,091
2013-09-23$14.43$13.0022.9%6.5%24.4%65.6%21.7%-0.2%1.2%733.3K-29.0M-160.3K1.268.1329236739,50313,690
2013-09-24$14.70$13.0019.5%5.6%24.8%48.8%20.0%3.2%2.9%719.9K-32.0M-160.7K0.166.242,21535239,64713,932
2013-09-25$14.59$13.0022.3%6.4%20.2%62.7%23.3%3.5%0.3%776.2K-31.3M-165.6K0.527.7037019140,84314,173
2013-09-26$14.70$13.0020.2%5.8%19.9%52.7%23.7%7.5%2.6%780.2K-32.6M-164.8K0.117.845486041,05514,295
2013-09-27$14.64$13.0022.0%6.3%20.2%61.4%24.1%6.0%2.3%787.8K-32.2M-164.7K0.166.801,67126641,32214,307
2013-09-30$14.56$13.0026.4%7.6%20.6%83.0%27.6%5.2%-0.2%777.9K-31.4M-165.1K0.205.878,3331,70141,33214,307