LUV Options History — April 2014

In April 2014, LUV traded between $22.51 and $24.27. ATM implied volatility averaged 24.9%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.3% (HV 20d: 24.6%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2014-04-10: Highest Volume — 16,715 contracts
  • 2014-04-10: Largest IV spike — 39.6% change
  • 2014-04-15: Highest IV Rank — 70.1%
  • 2014-04-11: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.68$22.51$24.27$23.94$24.17
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV24.9%19.9%29.4%20.0%24.5%
Expected Move8.2%7.6%8.7%7.7%7.9%
HV 20d24.6%19.2%29.1%19.6%26.1%
HV 60d25.2%22.3%26.7%26.3%22.3%
IV Rank50.7%29.2%70.1%29.6%49.0%
IV Percentile61.3%3.6%98.8%3.6%62.7%
Term Structure-0.1%-2.5%5.2%4.4%0.9%
VWIV28.8%27.3%30.5%27.4%29.3%
Skew 25d2.1%-0.6%4.2%3.5%1.1%
Skew 10d4.6%0.0%14.6%0.1%5.7%
Call IV 25d25.3%19.0%29.7%19.0%24.6%
Put IV 25d27.4%21.0%31.1%22.5%25.7%
Bid-Ask Spread %39.7033.7654.9242.1554.92
Gamma HHI0.260.140.460.270.25
Net GEX455.9K-1.3M1.8M-499.7K1.8M
Net DEX-65.0M-87.4M-29.7M-63.0M-87.4M
Net VEX-304.3K-360.2K-270.6K-278.9K-359.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.061.340.280.24
Total Volume4,345.28698916,7151,693989
Total OI83,837.76267,36197,95381,91280,561

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$23.94$17.0020.0%7.7%19.6%29.6%0.0%3.5%4.4%-499.7K-63.0M-278.9K0.2842.151,32736648,03733,875
2014-04-02$24.07$17.0019.9%7.8%19.5%29.2%27.4%3.6%5.2%-405.6K-67.8M-270.6K0.5940.782,4131,43448,35334,080
2014-04-03$24.01$17.0019.9%7.6%19.6%29.5%27.3%2.0%5.2%-507.8K-67.6M-273.8K0.7936.781,19895149,15034,793
2014-04-04$23.81$17.0020.3%7.7%19.9%31.0%27.4%1.2%-0.5%-613.3K-66.0M-273.5K0.5438.301,17463749,91434,700
2014-04-07$23.43$17.0023.1%8.1%19.4%42.9%27.7%1.9%-1.1%-903.6K-52.3M-286.5K0.9539.181,7571,66850,38934,885
2014-04-08$23.51$17.0022.8%8.1%19.2%41.8%28.6%3.5%-0.6%-941.8K-55.3M-290.7K1.3437.271,5372,05450,78735,360
2014-04-09$24.15$17.0020.1%8.3%21.5%30.0%28.9%2.5%-0.7%-165.7K-75.2M-281.4K0.9240.561,4761,36151,32535,607
2014-04-10$23.13$17.0028.0%8.2%26.2%64.0%29.5%0.9%-1.2%-1.3M-44.0M-288.7K0.8242.619,1957,52051,96036,302
2014-04-11$22.75$17.0028.6%8.7%26.1%66.6%29.3%0.3%-1.4%-595.2K-34.7M-298.9K0.4243.369,4273,98458,52637,470
2014-04-14$22.51$17.0028.7%8.5%26.2%67.0%28.6%1.2%-2.1%717.9K-29.7M-292.7K0.1945.395,12397362,42035,177
2014-04-15$22.90$17.0029.4%8.5%27.2%70.1%29.3%2.8%-2.5%806.6K-43.6M-326.4K0.3341.901,84260664,62333,330
2014-04-16$23.54$17.0028.0%8.3%29.1%64.0%29.0%4.1%-1.3%1.5M-67.1M-318.6K0.6934.252,5091,72263,82633,357
2014-04-17$23.49$17.0029.2%8.5%29.1%69.1%28.7%2.2%-2.3%1.1M-68.0M-307.7K0.3633.761,22744464,51433,204
2014-04-21$23.59$17.0027.3%8.2%27.0%60.8%28.6%1.4%-0.8%1.0M-66.7M-299.0K0.4835.641,17155848,24319,118
2014-04-22$23.93$17.0027.4%8.4%27.3%61.5%29.6%2.0%-1.0%1.1M-72.3M-303.1K0.2239.352,40352848,78219,486
2014-04-23$24.08$17.0026.9%8.2%27.0%59.2%29.9%-0.6%-1.7%1.2M-75.5M-300.6K0.6235.342,8961,79349,68719,930
2014-04-24$24.27$17.0024.3%8.1%26.7%48.4%29.9%4.2%-0.4%1.3M-80.2M-301.4K0.0638.387,40643251,32920,804
2014-04-25$23.95$17.0025.0%8.2%26.8%51.0%30.5%0.7%-0.4%1.5M-80.5M-319.1K0.1133.854,90851755,36220,937
2014-04-28$23.84$17.0025.1%8.2%26.9%51.6%28.1%2.9%-0.5%1.7M-81.4M-359.8K0.1139.632,43126358,99521,104
2014-04-29$24.19$17.0024.3%8.1%26.5%48.2%28.7%3.3%0.6%1.8M-86.6M-360.2K0.2840.4080422759,15021,141
2014-04-30$24.17$17.0024.5%7.9%26.1%49.0%29.3%1.1%0.9%1.8M-87.4M-359.2K0.2454.9279619359,39221,169