LUV Options History — June 2014

In June 2014, LUV traded between $25.72 and $27.59. ATM implied volatility averaged 22.3%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.7% (HV 20d: 21.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2014-06-13: Highest Volume — 22,122 contracts
  • 2014-06-09: Largest IV spike — 14.3% change
  • 2014-06-17: Highest IV Rank — 39.5%
  • 2014-06-13: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.91$25.72$27.59$26.71$26.86
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV22.3%19.1%24.5%21.9%21.3%
Expected Move7.5%7.3%7.8%7.4%7.6%
HV 20d21.6%15.3%25.6%15.5%25.0%
HV 60d22.0%20.5%23.4%20.8%22.6%
IV Rank28.3%12.1%39.5%26.7%23.3%
IV Percentile33.8%2.4%68.3%24.2%17.1%
Term Structure1.5%-1.0%3.4%-0.8%3.4%
VWIV26.5%25.2%30.0%26.2%27.3%
Skew 25d2.1%0.2%4.8%0.9%2.9%
Skew 10d4.8%-4.5%14.2%5.3%1.9%
Call IV 25d21.9%18.4%24.8%21.9%21.4%
Put IV 25d24.0%22.3%26.3%22.8%24.3%
Bid-Ask Spread %34.1721.4246.5329.9142.23
Gamma HHI0.240.190.380.200.23
Net GEX2.3M1.3M4.2M1.3M2.8M
Net DEX-84.1M-109.9M-53.9M-79.0M-78.4M
Net VEX-348.5K-377.3K-310.9K-321.4K-348.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.061.950.301.00
Total Volume4,841.47686622,1224,6263,165
Total OI84,860.23874,62598,15475,57677,470

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$26.71$20.0021.9%7.4%15.5%26.7%26.2%0.9%-0.8%1.3M-79.0M-321.4K0.3029.913,5601,06648,20127,375
2014-06-03$27.20$20.0020.1%7.3%16.2%17.1%25.2%2.7%0.7%1.4M-84.2M-310.9K0.2442.318,3801,98047,17327,452
2014-06-04$27.36$20.0021.6%7.4%15.9%24.9%25.6%4.8%-0.4%1.6M-87.8M-324.4K0.2243.243,09968850,50629,271
2014-06-05$27.28$20.0021.4%7.3%16.1%23.8%25.8%3.9%-1.0%1.6M-88.9M-318.1K0.1022.323,63735351,28929,663
2014-06-06$27.59$20.0019.1%7.5%16.1%12.1%26.6%2.5%2.3%1.7M-94.0M-324.4K0.4321.421,77375552,34929,904
2014-06-09$27.45$20.0021.8%7.3%16.2%25.8%25.2%3.0%1.3%1.8M-92.7M-323.7K0.1121.665,91665252,91630,532
2014-06-10$27.29$20.0021.9%7.3%15.3%26.3%26.4%1.0%2.0%2.1M-94.5M-348.2K0.4029.703,1951,28256,90730,616
2014-06-11$26.94$20.0022.4%7.4%16.5%28.9%25.8%1.0%1.4%2.3M-88.8M-355.2K1.9543.561,6763,27457,57730,877
2014-06-12$25.72$20.0023.3%7.3%24.2%33.4%25.6%2.2%1.8%1.3M-53.9M-352.8K0.6746.535,4503,63557,72733,690
2014-06-13$26.30$20.0023.8%7.8%25.1%35.9%25.2%2.8%1.5%2.0M-69.1M-371.7K0.0645.3320,9011,22158,86633,319
2014-06-16$26.10$20.0023.9%7.5%25.2%36.9%26.0%0.9%2.0%2.4M-70.3M-372.4K0.4540.771,89785262,67133,641
2014-06-17$26.63$20.0024.5%7.7%25.2%39.5%25.5%2.1%0.5%2.8M-86.2M-377.3K0.0728.104,33332063,09733,963
2014-06-18$26.67$20.0023.3%7.5%24.9%33.4%26.4%2.8%1.8%3.0M-88.8M-375.2K0.1234.952,10024964,14534,009
2014-06-19$27.08$20.0023.8%7.7%25.2%36.1%27.0%2.7%1.2%4.2M-101.4M-364.7K0.0837.444,29934063,40033,622
2014-06-20$27.29$20.0023.0%7.5%25.3%31.9%28.1%0.5%2.0%3.5M-109.9M-351.3K0.1130.322,93632663,88733,787
2014-06-23$26.92$20.0023.4%7.6%25.2%34.3%27.3%1.0%1.7%2.6M-79.1M-352.5K0.4127.311,84075354,77120,145
2014-06-24$26.64$20.0022.7%7.7%25.6%30.6%27.2%0.2%1.8%2.6M-75.3M-355.4K0.3131.101,67051355,51020,562
2014-06-25$26.97$20.0021.7%7.7%24.8%25.6%27.0%1.3%3.1%2.7M-79.2M-361.9K0.3732.141,17943455,61421,008
2014-06-26$27.06$20.0021.6%7.6%24.9%25.2%27.5%1.1%3.0%2.8M-81.7M-355.6K0.3235.6183627056,00721,079
2014-06-27$27.14$20.0021.1%7.6%24.9%22.3%30.0%3.0%2.8%2.8M-83.8M-353.0K0.4031.7162024656,14421,323
2014-06-30$26.86$20.0021.3%7.6%25.0%23.3%27.3%2.9%3.4%2.8M-78.4M-348.3K1.0042.231,5821,58356,14521,325