LUV Options History — October 2013

In October 2013, LUV traded between $14.67 and $17.22. ATM implied volatility averaged 24.9%, placing in the 78.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 7.9% (HV 20d: 17.0%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.44.

Notable Days

  • 2013-10-28: Highest Volume — 9,617 contracts
  • 2013-10-24: Largest IV drop — 21.9% change
  • 2013-10-23: Highest IV Rank — 97.6%
  • 2013-10-09: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.82$14.67$17.22$14.73$17.22
Max Pain$14.83$14.00$15.00$14.00$15.00
ATM IV24.9%21.3%28.5%26.0%22.6%
Expected Move7.2%6.1%8.2%7.5%6.5%
HV 20d17.0%13.2%20.8%20.6%17.7%
HV 60d19.6%18.8%21.2%19.2%20.1%
IV Rank78.9%61.5%97.6%81.2%68.4%
IV Percentile69.8%28.6%98.8%87.7%42.5%
Term Structure-1.0%-3.7%2.2%-0.4%0.0%
VWIV25.2%20.5%28.7%26.5%20.5%
Skew 25d3.6%-2.8%10.4%7.5%-2.4%
Skew 10d6.6%-4.7%16.4%8.0%-4.7%
Call IV 25d22.6%12.8%28.5%21.7%21.8%
Put IV 25d26.2%17.3%31.1%29.3%19.4%
Bid-Ask Spread %7.294.2011.707.827.07
Gamma HHI0.430.240.570.490.24
Net GEX1.1M285.7K1.7M1.2M285.7K
Net DEX-51.4M-66.3M-36.3M-37.5M-59.8M
Net VEX-162.5K-179.9K-140.0K-179.9K-140.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.101.240.720.23
Total Volume2,877.5654609,6171,3831,316
Total OI66,873.08758,28976,94464,77273,634

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$14.73$14.0026.0%7.5%20.6%81.2%26.5%7.5%-0.4%1.2M-37.5M-179.9K0.727.8280258148,90415,868
2013-10-02$14.67$14.0025.0%7.2%20.7%76.1%28.5%6.7%0.3%1.2M-36.3M-179.5K0.846.2925021049,20415,758
2013-10-03$14.72$14.0024.2%6.9%20.8%72.4%26.9%9.1%2.2%1.3M-37.5M-178.2K0.156.324066249,23315,747
2013-10-04$14.89$14.0026.6%7.5%20.8%85.8%26.3%2.9%-0.7%1.3M-40.1M-178.9K0.138.932,78437549,27115,753
2013-10-07$14.87$15.0028.5%7.8%20.8%95.4%27.1%3.2%-0.7%1.5M-41.9M-178.3K0.688.941,10174651,52416,005
2013-10-08$14.82$15.0026.9%8.0%14.4%87.4%28.0%0.7%-1.1%1.5M-41.0M-178.6K0.336.0063020651,65916,142
2013-10-09$14.95$15.0025.2%8.2%14.3%78.6%28.7%3.7%-1.5%1.6M-42.6M-178.4K0.435.571,18050551,37616,140
2013-10-10$15.12$15.0026.7%7.6%13.9%86.1%26.3%4.5%-1.5%1.6M-45.8M-174.1K0.327.7395830651,19016,418
2013-10-11$15.23$15.0026.6%7.6%13.7%87.5%25.8%4.2%-1.1%1.7M-48.2M-172.8K0.748.3480459751,46416,564
2013-10-14$15.31$15.0028.1%8.1%13.2%95.0%28.0%5.7%-2.6%1.7M-50.2M-167.7K0.107.551,22912051,93616,798
2013-10-15$15.20$15.0026.8%7.7%13.7%90.7%27.0%3.3%-0.8%1.7M-47.9M-168.0K0.1611.391,39822550,98416,890
2013-10-16$15.60$15.0024.3%7.0%15.9%77.5%25.7%7.4%-1.0%1.2M-53.7M-162.3K0.255.9885821650,49717,089
2013-10-17$16.01$15.0024.5%7.0%16.7%78.6%24.5%2.2%-1.5%975.2K-59.5M-150.4K0.898.481,7481,54749,98117,000
2013-10-18$16.07$15.0023.5%6.7%15.9%73.1%23.8%2.7%-1.5%925.4K-59.5M-151.1K0.187.941,31023150,14517,453
2013-10-21$16.09$15.0024.8%7.1%15.9%80.0%24.9%1.2%-2.1%1.0M-50.8M-149.0K0.3811.701,57660344,64413,645
2013-10-22$16.36$15.0023.3%6.7%15.8%72.1%22.4%3.5%-0.5%954.2K-54.1M-145.2K0.396.311,96976644,93914,140
2013-10-23$16.41$15.0028.1%8.1%15.0%97.6%27.3%5.8%-3.7%952.9K-54.3M-146.2K0.366.153,2851,19845,44514,542
2013-10-24$17.02$15.0022.0%6.3%18.6%65.2%23.0%0.9%-0.6%934.5K-63.5M-140.1K0.195.705,9831,15047,55115,221
2013-10-25$17.17$15.0021.3%6.1%18.1%61.5%21.1%-2.5%0.1%931.1K-65.8M-141.4K1.245.702,4643,04649,12816,017
2013-10-28$17.10$15.0023.2%6.7%17.9%71.8%22.4%10.4%-2.1%689.9K-62.7M-144.7K0.945.354,9664,65150,15118,746
2013-10-29$17.16$15.0022.7%6.5%18.0%69.3%23.2%-2.8%-1.3%490.6K-66.3M-172.4K0.404.202,9571,18253,95122,993
2013-10-30$17.13$15.0021.7%6.2%17.8%63.7%21.6%4.5%0.3%360.9K-63.0M-161.0K0.188.156,5141,17352,45123,890
2013-10-31$17.22$15.0022.6%6.5%17.7%68.4%20.5%-2.4%0.0%285.7K-59.8M-140.0K0.237.071,07324349,34124,293