LUV Options History — November 2013

In November 2013, LUV traded between $17.47 and $18.95. ATM implied volatility averaged 23.9%, placing in the 60.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 6.3% (HV 20d: 17.6%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2013-11-12: Highest Volume — 30,061 contracts
  • 2013-11-12: Largest IV spike — 53.0% change
  • 2013-11-12: Highest IV Rank — 100.0%
  • 2013-11-14: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.12$17.47$18.95$17.47$18.59
Max Pain$15.26$15.00$16.00$15.00$15.00
ATM IV23.9%20.4%36.4%25.5%22.3%
Expected Move7.1%6.2%7.6%7.3%7.3%
HV 20d17.6%14.8%20.0%17.8%18.2%
HV 60d19.1%17.5%20.4%20.2%18.8%
IV Rank60.7%40.2%100.0%83.8%47.5%
IV Percentile50.4%20.2%100.0%84.1%41.3%
Term Structure0.3%-2.8%1.5%-2.8%0.7%
VWIV25.4%21.1%31.8%25.1%25.2%
Skew 25d1.8%-2.0%5.4%5.4%0.5%
Skew 10d1.7%-9.5%12.4%1.6%-0.8%
Call IV 25d21.7%17.5%27.1%18.5%19.7%
Put IV 25d23.5%19.4%27.5%23.9%20.3%
Bid-Ask Spread %18.756.0945.7110.3921.92
Gamma HHI0.360.220.710.220.33
Net GEX984.4K-349.3K4.3M260.3K1.1M
Net DEX-69.2M-87.5M-59.3M-63.1M-68.7M
Net VEX-145.2K-158.2K-121.2K-136.3K-147.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.063.443.440.16
Total Volume4,782.493930,0616,063939
Total OI82,946.273,500105,34773,50079,394

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$17.47$15.0025.5%7.3%17.8%83.8%25.1%5.4%-2.8%260.3K-63.1M-136.3K3.4410.391,3644,69949,17824,322
2013-11-04$17.87$16.0024.8%6.4%18.2%79.8%23.3%1.6%0.5%168.1K-69.4M-121.2K1.116.094,0194,46849,38226,197
2013-11-05$17.87$16.0023.6%6.3%17.9%73.8%22.6%2.0%0.7%-98.2K-67.0M-133.3K0.198.881,41627650,33929,267
2013-11-06$17.80$16.0022.2%6.3%18.5%66.5%23.8%3.0%0.1%-71.7K-66.9M-133.7K1.289.771,5932,03551,11129,322
2013-11-07$17.57$16.0023.0%6.2%20.0%70.6%23.1%2.1%1.1%-349.3K-62.4M-141.2K1.309.6563082251,57730,861
2013-11-08$17.69$16.0021.3%6.2%20.0%61.5%22.3%0.8%0.1%-319.2K-64.5M-135.0K1.367.661,2721,73151,49731,061
2013-11-11$17.81$0.0023.8%7.5%20.0%74.8%25.2%1.6%0.7%-88.1K-66.7M-136.0K0.0727.241,1588452,14030,520
2013-11-12$18.03$15.0036.4%7.5%19.3%100.0%25.2%0.4%-2.3%22.8K-70.3M-138.8K0.1521.9426,0753,98652,91830,545
2013-11-13$18.00$15.0032.4%7.6%18.5%85.2%26.2%2.4%-1.0%2.9M-82.0M-158.2K0.3931.042,03180271,22632,675
2013-11-14$18.18$15.0023.8%7.6%17.1%53.0%28.5%1.8%-0.1%4.3M-87.5M-151.7K0.2420.643,58985770,81232,957
2013-11-15$18.16$15.0023.6%7.6%17.3%52.4%27.2%3.6%1.0%4.0M-87.0M-154.8K0.0715.4213,57190671,79533,552
2013-11-18$18.14$15.0023.6%7.6%17.4%52.1%27.2%1.7%1.2%919.1K-62.5M-157.3K0.3121.222,79287753,52823,954
2013-11-19$18.17$15.0022.7%7.6%17.0%48.8%27.5%1.3%1.4%912.8K-62.7M-157.8K0.2620.511,57341553,43224,489
2013-11-20$18.01$15.0022.1%7.6%17.7%46.5%31.8%1.8%0.1%836.8K-59.3M-157.1K0.1817.031,17421053,19324,799
2013-11-21$18.45$15.0021.9%7.5%15.1%45.7%24.8%0.8%0.9%1.0M-67.1M-152.2K0.1615.942,61642353,51324,942
2013-11-22$18.56$15.0020.4%7.3%15.0%40.2%25.5%4.8%1.5%993.3K-67.3M-153.0K0.2122.111,34427953,12525,089
2013-11-25$18.55$15.0021.0%7.2%14.8%42.4%26.2%-2.0%1.0%1.0M-68.3M-147.6K0.1326.591,53219453,21225,147
2013-11-26$18.54$15.0021.8%7.2%14.9%45.5%26.6%-0.2%0.4%1.0M-67.6M-149.8K0.1515.161,16617953,69825,273
2013-11-27$18.95$15.0021.2%6.9%16.1%43.2%21.1%2.1%-0.0%1.1M-74.3M-141.5K0.0645.712,40314853,53325,349
2013-11-29$18.59$15.0022.3%7.3%18.2%47.5%25.2%0.5%0.7%1.1M-68.7M-147.3K0.1621.9281112853,95625,438