LUV Options History — August 2014

In August 2014, LUV traded between $28.06 and $32.23. ATM implied volatility averaged 23.3%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.3% (HV 20d: 21.0%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2014-08-18: Highest Volume — 11,365 contracts
  • 2014-08-13: Largest IV drop — 8.0% change
  • 2014-08-07: Highest IV Rank — 48.6%
  • 2014-08-04: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.10$28.06$32.23$28.43$32.01
Max Pain$27.10$27.00$28.00$27.00$28.00
ATM IV23.3%21.2%26.3%24.8%21.9%
Expected Move7.5%7.2%7.8%7.6%7.4%
HV 20d21.0%19.7%22.8%22.8%19.8%
HV 60d22.6%21.9%23.4%22.3%23.3%
IV Rank28.9%14.6%48.6%41.3%18.8%
IV Percentile44.2%11.1%83.7%70.6%24.6%
Term Structure1.6%0.1%3.1%0.3%1.7%
VWIV26.4%24.7%28.1%24.7%25.7%
Skew 25d2.0%0.4%3.5%2.4%2.4%
Skew 10d6.1%1.5%11.0%1.5%6.8%
Call IV 25d23.1%21.0%25.8%25.3%21.6%
Put IV 25d25.1%22.3%28.8%27.6%24.0%
Bid-Ask Spread %34.1424.6541.7239.8024.65
Gamma HHI0.160.120.220.150.12
Net GEX2.6M1.9M3.5M2.9M2.4M
Net DEX-124.3M-146.0M-99.7M-105.2M-143.6M
Net VEX-340.5K-387.7K-286.6K-353.4K-387.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.120.640.310.58
Total Volume4,084.4761,01611,3651,7781,672
Total OI85,621.66774,16892,51784,82092,517

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$28.43$27.0024.8%7.6%22.8%41.3%24.7%2.4%0.3%2.9M-105.2M-353.4K0.3139.801,35941961,43023,390
2014-08-04$28.43$27.0025.6%7.8%21.4%45.5%26.5%1.6%2.0%2.9M-106.6M-346.7K0.1740.711,53225461,75923,595
2014-08-05$28.13$27.0026.2%7.7%20.7%48.4%26.1%2.8%1.0%2.9M-100.9M-347.6K0.3441.7276125561,94323,684
2014-08-06$28.12$27.0025.4%7.7%19.8%44.3%26.9%3.3%0.9%2.9M-100.1M-351.0K0.4631.851,18854762,23223,782
2014-08-07$28.06$27.0026.3%7.6%19.8%48.6%0.0%1.7%0.1%3.0M-99.7M-348.4K0.2140.502,01141662,40923,908
2014-08-08$28.28$27.0025.6%7.7%19.9%45.1%26.8%3.5%1.8%3.3M-103.3M-350.7K0.6436.891,21978163,29623,845
2014-08-11$28.64$27.0025.2%7.7%20.2%43.1%27.6%1.9%1.7%3.4M-113.5M-335.9K0.3728.621,67862463,45624,072
2014-08-12$28.70$27.0025.1%7.7%19.9%42.7%26.4%2.1%1.1%3.5M-115.0M-331.3K0.1331.271,97125063,96924,213
2014-08-13$29.26$27.0023.1%7.7%20.9%25.4%27.5%2.3%2.3%3.5M-129.5M-319.8K0.2530.344,9451,22563,92124,293
2014-08-14$29.75$27.0023.1%7.4%20.0%25.6%28.1%2.4%3.1%2.7M-137.3M-309.3K0.1432.015,02872263,06024,066
2014-08-15$29.76$27.0023.5%7.4%19.8%27.6%25.6%2.5%2.5%2.7M-139.0M-303.6K0.2734.153,32491263,93424,494
2014-08-18$30.82$27.0021.8%7.2%22.5%17.9%27.2%3.5%1.6%2.2M-137.4M-286.6K0.2237.999,3042,06157,34722,270
2014-08-19$30.75$27.0021.3%7.5%22.4%15.5%25.9%1.5%2.0%2.1M-114.3M-292.9K0.1225.977,37584950,67623,492
2014-08-20$31.57$27.0021.2%7.3%22.0%14.6%25.5%0.8%1.6%2.0M-130.0M-329.1K0.5026.085,3352,66554,32923,885
2014-08-21$31.24$27.0021.9%7.4%22.3%18.4%25.5%0.4%1.5%2.0M-127.4M-340.8K0.2236.092,36952555,79025,309
2014-08-22$31.87$27.0021.5%7.3%22.4%16.5%27.2%0.7%1.6%1.9M-136.1M-348.2K0.3825.336,0692,27756,85925,578
2014-08-25$32.14$27.0021.9%7.5%22.4%18.6%26.0%0.8%1.0%2.1M-142.5M-359.6K0.3040.883,09092260,25526,456
2014-08-26$31.92$27.0021.3%7.4%21.3%15.3%26.7%1.4%1.8%2.2M-140.1M-361.7K0.5136.152,1501,09161,16326,858
2014-08-27$32.23$27.0021.8%7.4%21.3%18.4%25.5%1.3%1.5%2.2M-146.0M-365.6K0.3539.122,8861,00562,09327,453
2014-08-28$32.05$28.0021.4%7.4%19.7%15.7%26.5%1.7%2.0%2.3M-143.2M-381.0K0.2136.742,23647263,06727,907
2014-08-29$32.01$28.0021.9%7.4%19.8%18.8%25.7%2.4%1.7%2.4M-143.6M-387.7K0.5824.651,05561764,41328,104