LUV Options History — March 2014

In March 2014, LUV traded between $22.30 and $23.98. ATM implied volatility averaged 22.7%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.4% (HV 20d: 19.3%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2014-03-10: Highest Volume — 9,978 contracts
  • 2014-03-26: Largest IV spike — 9.0% change
  • 2014-03-03: Highest IV Rank — 56.9%
  • 2014-03-21: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.44$22.30$23.98$22.30$23.61
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV22.7%20.3%24.9%24.8%20.3%
Expected Move8.0%7.7%8.2%8.2%7.7%
HV 20d19.3%14.5%22.5%22.5%20.7%
HV 60d26.6%25.2%28.2%28.2%26.7%
IV Rank43.5%31.2%56.9%56.9%31.2%
IV Percentile37.0%6.3%69.0%67.9%6.3%
Term Structure2.6%0.9%4.1%0.9%4.1%
VWIV29.0%26.7%34.4%28.7%26.7%
Skew 25d1.9%0.6%4.6%4.6%2.3%
Skew 10d4.5%-4.6%12.9%8.2%4.8%
Call IV 25d23.0%21.5%25.2%22.9%21.5%
Put IV 25d24.9%23.4%27.5%27.5%23.7%
Bid-Ask Spread %35.2928.3841.3333.8541.33
Gamma HHI0.260.190.360.240.33
Net GEX665.5K-761.9K1.4M1.4M-761.9K
Net DEX-70.0M-86.1M-43.6M-67.7M-53.8M
Net VEX-272.8K-294.3K-253.0K-260.9K-281.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.105.841.670.31
Total Volume4,121.0481,4289,9785,5962,752
Total OI81,566.61970,55095,01773,41880,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$22.30$17.0024.8%8.2%22.5%56.9%28.7%4.6%0.9%1.4M-67.7M-260.9K1.6733.852,0973,49949,79823,620
2014-03-04$22.83$17.0023.2%8.2%21.0%50.6%28.0%0.6%1.8%1.2M-68.7M-256.9K0.1033.691,92820146,72726,608
2014-03-05$23.03$17.0023.3%8.1%20.9%51.1%34.4%2.8%1.1%1.2M-70.9M-253.0K0.2634.673,87399346,53226,675
2014-03-06$23.12$17.0021.8%8.1%20.8%45.4%27.5%0.8%3.0%1.3M-74.7M-258.5K1.7534.182,6904,71747,95427,167
2014-03-07$23.10$17.0022.0%8.2%20.4%46.1%28.0%1.3%1.6%1.1M-72.2M-275.3K0.3128.431,42743948,67830,519
2014-03-10$23.60$17.0023.5%7.9%20.4%51.7%28.0%2.7%1.6%1.1M-78.2M-275.8K0.1828.388,4221,55649,18930,766
2014-03-11$23.78$17.0022.7%7.9%18.3%42.9%29.9%1.5%1.6%1.1M-81.8M-265.1K0.4235.064,6061,93349,96331,971
2014-03-12$23.90$17.0022.0%7.8%18.0%38.2%27.4%0.9%1.8%1.1M-85.2M-258.0K0.2034.571,91337950,55133,690
2014-03-13$23.60$17.0023.4%7.9%18.8%44.2%33.9%1.1%2.8%1.1M-77.9M-271.8K1.8436.991,4682,69450,83633,888
2014-03-14$23.92$17.0024.9%8.0%18.9%50.9%27.4%1.3%2.0%917.6K-80.2M-281.9K0.6236.502,5551,59651,10435,773
2014-03-17$23.98$17.0023.9%7.8%18.9%46.4%31.1%1.5%2.5%968.2K-83.5M-270.1K0.2135.842,66757151,87836,969
2014-03-18$23.90$17.0022.0%8.0%17.9%38.4%28.4%1.0%3.9%1.2M-86.1M-271.0K5.8435.947464,35353,64737,276
2014-03-19$23.77$17.0023.2%7.9%18.1%43.4%28.4%2.0%2.6%697.1K-81.3M-278.4K0.4834.1196346553,88841,129
2014-03-20$23.88$17.0022.3%7.8%14.5%39.4%27.7%2.3%3.8%691.1K-80.9M-269.5K0.1632.631,24219452,97940,749
2014-03-21$23.18$17.0023.2%8.2%19.0%43.3%30.0%1.1%3.2%924.2K-68.5M-276.0K1.1435.692,7583,14753,03440,745
2014-03-24$23.37$17.0022.7%8.1%18.3%41.4%29.0%2.6%3.8%273.7K-55.4M-275.0K2.8839.721,3904,00845,14325,407
2014-03-25$23.70$17.0020.9%7.9%18.7%33.6%28.7%3.2%3.0%-10.8K-58.9M-283.2K0.7635.7094771545,48328,356
2014-03-26$23.44$17.0022.8%8.1%19.3%41.6%29.0%2.6%3.0%-84.7K-55.5M-279.1K4.0738.181,2004,88845,93628,701
2014-03-27$23.16$17.0022.0%8.0%20.0%38.2%30.1%1.6%3.4%-688.0K-43.6M-294.3K0.6737.471,46998446,73532,739
2014-03-28$23.16$17.0021.8%8.0%19.9%37.5%27.0%1.7%2.8%-671.5K-45.1M-292.9K0.7438.191,20789047,04833,000
2014-03-31$23.61$17.0020.3%7.7%20.7%31.2%26.7%2.3%4.1%-761.9K-53.8M-281.1K0.3141.332,09365947,04833,000