LUV Options History — January 2014

In January 2014, LUV traded between $18.88 and $21.77. ATM implied volatility averaged 24.9%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 3.2% (HV 20d: 28.2%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2014-01-22: Highest Volume — 9,591 contracts
  • 2014-01-13: Largest IV spike — 18.6% change
  • 2014-01-21: Highest IV Rank — 68.8%
  • 2014-01-30: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.70$18.88$21.77$18.88$20.95
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV24.9%21.1%28.0%22.6%27.3%
Expected Move7.6%7.2%8.4%7.4%8.2%
HV 20d28.2%24.1%35.6%26.2%35.6%
HV 60d24.3%21.5%27.3%21.5%27.2%
IV Rank57.2%42.9%68.8%48.7%66.1%
IV Percentile71.4%20.2%96.0%45.2%94.8%
Term Structure0.5%-1.7%3.8%2.0%0.7%
VWIV26.4%21.5%29.1%26.1%27.8%
Skew 25d1.7%-1.1%4.2%-0.1%0.9%
Skew 10d5.1%-3.3%12.9%-2.0%5.1%
Call IV 25d25.3%21.5%29.0%24.5%26.9%
Put IV 25d27.0%20.4%29.9%24.3%27.8%
Bid-Ask Spread %34.6225.0944.4431.5844.44
Gamma HHI0.240.160.290.260.23
Net GEX1.1M777.5K1.4M1.2M1.3M
Net DEX-54.0M-70.4M-41.1M-43.8M-49.2M
Net VEX-170.7K-235.0K-133.5K-140.2K-235.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.080.820.280.60
Total Volume4,489.4292,2229,5912,6473,801
Total OI59,827.04847,49569,24254,66469,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$18.88$17.0022.6%7.4%26.2%48.7%0.0%-0.1%2.0%1.2M-43.8M-140.2K0.2831.582,06957838,41916,245
2014-01-03$19.42$17.0021.6%7.5%26.4%44.8%26.1%-1.1%3.8%1.1M-50.4M-138.2K0.2938.593,7541,07238,65216,679
2014-01-06$19.15$17.0024.9%7.7%27.1%57.3%25.2%1.2%-0.4%1.2M-45.8M-147.3K0.2939.632,48872539,37817,252
2014-01-07$19.53$17.0023.5%7.4%27.3%51.9%26.7%1.5%-0.0%1.2M-49.8M-146.6K0.2941.651,90155739,59017,628
2014-01-08$20.18$17.0022.0%7.2%29.2%46.3%21.5%2.0%-0.0%1.1M-58.9M-139.0K0.1938.333,60269539,59417,771
2014-01-09$20.76$17.0022.2%7.4%30.4%46.9%25.9%2.5%-0.1%895.9K-63.4M-133.5K0.4731.103,9331,82939,02418,254
2014-01-10$21.03$17.0021.1%7.2%26.8%42.9%25.8%2.2%-0.4%828.2K-64.5M-139.7K0.0828.685,29542539,30119,340
2014-01-13$20.72$17.0025.0%7.4%24.1%57.5%24.7%1.2%0.6%1.1M-61.8M-155.3K0.1230.852,09425141,52319,631
2014-01-14$21.43$17.0026.4%7.5%25.6%62.8%26.6%3.7%-0.6%982.7K-70.4M-143.2K0.1526.233,03645341,98719,789
2014-01-15$21.16$17.0023.3%7.5%26.6%51.1%26.4%1.3%0.0%912.2K-66.2M-152.5K0.2831.542,91983042,15620,056
2014-01-16$21.46$17.0025.6%7.5%24.5%59.9%24.5%2.2%-0.2%807.9K-69.0M-150.7K0.1627.144,10464042,66320,461
2014-01-17$21.22$17.0026.2%7.5%25.1%62.0%27.0%0.1%0.3%992.2K-65.5M-157.6K0.1031.213,45135242,54221,056
2014-01-21$21.30$17.0028.0%7.6%24.9%68.8%26.7%0.5%-1.7%777.5K-46.0M-157.4K0.1838.545,25192632,91714,578
2014-01-22$21.77$17.0027.3%7.7%25.4%66.0%27.2%2.8%-1.2%993.2K-52.3M-173.7K0.3439.967,1322,45936,09515,062
2014-01-23$21.24$17.0025.0%7.5%27.7%57.6%27.4%2.5%1.2%1.1M-48.3M-184.7K0.2835.287,1922,03839,73716,421
2014-01-24$20.84$17.0025.4%7.9%29.1%58.8%27.2%0.8%1.4%1.2M-45.3M-206.6K0.8225.093,1612,60143,33917,956
2014-01-27$20.61$17.0025.1%7.9%29.6%57.7%28.3%3.3%1.6%1.1M-41.1M-219.7K0.5538.291,9461,07944,57619,957
2014-01-28$21.31$17.0026.0%7.7%30.8%61.3%27.3%4.2%1.4%1.4M-51.2M-219.6K0.7531.471,27394945,02020,157
2014-01-29$20.61$17.0027.9%8.1%33.9%68.1%26.9%0.3%-0.1%1.1M-41.7M-219.8K0.3939.432,11482845,18520,542
2014-01-30$21.22$17.0026.8%8.4%35.0%64.1%29.1%3.5%1.4%1.4M-50.0M-223.8K0.1337.983,96950645,69020,903
2014-01-31$20.95$17.0027.3%8.2%35.6%66.1%27.8%0.9%0.7%1.3M-49.2M-235.0K0.6044.442,3701,43147,98621,256