LUV Options History — July 2014

In July 2014, LUV traded between $26.70 and $29.24. ATM implied volatility averaged 24.8%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 0.7% (HV 20d: 24.0%). Max pain ranged from $20.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2014-07-08: Highest Volume — 14,788 contracts
  • 2014-07-07: Largest IV spike — 15.6% change
  • 2014-07-11: Highest IV Rank — 54.6%
  • 2014-07-10: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.96$26.70$29.24$27.73$28.28
Max Pain$22.90$20.00$28.00$20.00$27.00
ATM IV24.8%20.3%27.4%20.3%25.0%
Expected Move7.7%7.2%8.1%7.8%7.4%
HV 20d24.0%20.6%29.1%26.7%22.9%
HV 60d21.5%20.4%23.3%23.3%22.3%
IV Rank41.1%18.3%54.6%18.3%42.2%
IV Percentile67.0%7.9%94.0%7.9%73.8%
Term Structure0.1%-1.5%4.2%4.2%0.3%
VWIV27.1%25.4%29.2%26.5%27.2%
Skew 25d2.1%-1.8%5.3%1.9%-1.8%
Skew 10d5.1%-5.5%14.0%8.0%-3.0%
Call IV 25d24.9%17.4%28.2%20.9%26.8%
Put IV 25d26.9%22.8%29.8%22.9%25.0%
Bid-Ask Spread %35.4220.2457.4520.2436.78
Gamma HHI0.220.160.440.240.16
Net GEX3.0M2.0M4.0M2.7M2.8M
Net DEX-103.4M-123.6M-71.9M-97.7M-105.7M
Net VEX-344.9K-375.7K-317.9K-338.7K-342.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.060.830.200.61
Total Volume4,452.7731,48414,7886,3132,947
Total OI83,371.27370,84791,10978,74683,511

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$27.73$20.0020.3%7.8%26.7%18.3%26.5%1.9%4.2%2.7M-97.7M-338.7K0.2020.245,2591,05456,46622,280
2014-07-02$27.47$20.0022.0%7.6%26.9%27.1%28.3%5.3%3.7%2.6M-90.5M-351.8K0.5840.383,4672,00856,62122,915
2014-07-03$27.71$20.0020.8%7.6%27.0%20.7%26.7%2.5%3.5%2.8M-99.3M-351.4K0.2039.391,23924558,55823,780
2014-07-07$27.17$20.0024.0%7.7%27.6%37.1%27.4%2.0%-0.1%2.9M-87.0M-351.9K0.3831.791,61660859,13823,849
2014-07-08$26.70$20.0023.3%7.9%28.2%33.7%27.7%3.0%-0.8%2.7M-71.9M-360.7K0.1334.6113,0951,69359,48724,198
2014-07-09$27.21$20.0024.7%7.9%29.1%40.7%27.5%2.7%-0.5%3.4M-95.0M-375.7K0.0857.453,71328764,27525,054
2014-07-10$27.27$20.0027.0%8.1%28.7%52.5%28.1%3.6%0.4%3.4M-95.5M-374.6K0.0941.502,40822464,32525,234
2014-07-11$27.44$20.0027.4%7.9%22.7%54.6%29.2%3.0%-1.3%3.7M-100.4M-368.0K0.8337.8484270164,57725,293
2014-07-14$27.60$20.0026.1%8.0%21.6%47.9%27.9%1.3%-0.6%3.7M-106.5M-357.3K0.4034.971,95879264,64025,360
2014-07-15$27.90$20.0026.4%7.8%21.5%49.3%27.4%3.4%-0.2%4.0M-116.7M-345.6K0.2937.492,38468864,78525,332
2014-07-16$28.03$20.0026.4%7.8%20.6%49.5%27.5%2.3%-1.3%3.9M-123.6M-340.5K0.2137.192,54753365,46825,641
2014-07-17$27.51$20.0026.8%7.8%21.9%51.5%27.2%0.8%-1.0%3.7M-103.4M-337.6K0.4735.743,4801,61964,01025,444
2014-07-18$27.81$20.0026.9%8.0%21.6%51.9%27.2%3.0%-1.4%4.0M-107.7M-333.5K0.1537.683,21449263,87826,179
2014-07-21$27.66$0.0027.0%7.7%21.6%52.1%26.6%0.7%0.1%2.0M-87.4M-345.6K0.4126.333,0491,24351,79419,053
2014-07-22$28.05$28.0027.3%7.7%21.4%54.0%28.3%3.3%-1.5%2.1M-93.2M-348.9K0.0621.174,82730653,01119,670
2014-07-23$28.87$28.0026.5%7.3%22.8%49.7%26.3%2.8%-1.0%2.3M-111.6M-344.3K0.1931.618,7501,68356,58619,862
2014-07-24$28.68$27.0023.1%7.3%22.9%32.7%25.4%0.5%0.1%2.7M-111.1M-323.1K0.2841.884,5351,27358,37220,852
2014-07-25$29.24$27.0023.5%7.3%23.6%34.6%25.6%0.7%-0.9%2.6M-122.3M-323.5K0.2339.904,4141,03159,03321,320
2014-07-28$29.21$28.0024.0%7.2%23.7%36.9%26.1%3.4%-0.0%2.6M-119.9M-317.9K0.2730.222,48565958,84621,677
2014-07-29$28.71$28.0023.9%7.2%24.3%36.6%26.0%-0.1%0.1%2.7M-113.2M-323.6K0.4128.471,73972159,34922,025
2014-07-30$28.84$28.0022.8%7.4%21.9%31.1%26.4%1.0%1.2%2.8M-114.9M-331.6K0.2936.661,65048360,10222,318
2014-07-31$28.28$27.0025.0%7.4%22.9%42.2%27.2%-1.8%0.3%2.8M-105.7M-342.6K0.6136.781,8361,11160,89622,615