LUV Options History — September 2014

In September 2014, LUV traded between $32.58 and $35.23. ATM implied volatility averaged 24.4%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.9% (HV 20d: 21.5%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2014-09-18: Highest Volume — 22,014 contracts
  • 2014-09-11: Largest IV spike — 10.5% change
  • 2014-09-29: Highest IV Rank — 45.6%
  • 2014-09-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.68$32.58$35.23$32.91$33.77
Max Pain$29.52$28.00$30.00$28.00$30.00
ATM IV24.4%22.1%26.9%22.1%26.1%
Expected Move7.6%7.3%7.8%7.3%7.8%
HV 20d21.5%18.2%25.6%21.1%23.8%
HV 60d22.0%20.6%23.9%23.8%22.2%
IV Rank31.8%20.0%45.6%20.0%40.9%
IV Percentile61.9%30.2%88.9%30.2%80.6%
Term Structure1.4%0.7%2.9%1.3%1.5%
VWIV26.8%26.0%27.8%26.7%27.6%
Skew 25d1.8%-0.0%4.1%4.0%-0.0%
Skew 10d5.6%-0.5%15.1%15.1%0.9%
Call IV 25d24.8%21.5%27.8%21.5%27.5%
Put IV 25d26.6%24.8%30.0%25.5%27.4%
Bid-Ask Spread %30.2023.5440.5929.2031.88
Gamma HHI0.210.120.560.120.20
Net GEX3.6M2.2M6.4M2.4M3.5M
Net DEX-170.0M-222.5M-124.3M-157.6M-151.2M
Net VEX-473.2K-642.6K-373.0K-373.0K-642.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.100.920.380.33
Total Volume7,768.192,54322,0145,2393,125
Total OI111,887.04893,129136,08093,129130,494

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$32.91$28.0022.1%7.3%21.1%20.0%26.7%4.0%1.3%2.4M-157.6M-373.0K0.3829.203,7851,45464,83328,296
2014-09-03$32.58$29.0023.1%7.5%21.1%25.1%27.4%1.6%1.2%2.2M-151.8M-374.9K0.3032.663,4741,04164,52728,958
2014-09-04$32.62$28.0022.9%7.5%21.0%24.6%26.8%1.9%0.7%2.3M-156.8M-378.1K0.2124.146,8951,45166,38929,149
2014-09-05$32.83$29.0023.3%7.6%20.7%26.8%26.7%2.2%1.5%2.8M-161.9M-405.4K0.2925.681,97756670,63629,884
2014-09-08$32.86$29.0023.0%7.5%20.8%24.6%26.7%2.0%1.9%2.9M-165.4M-398.9K0.1126.574,07345871,64730,147
2014-09-09$32.91$29.0023.5%7.5%20.9%27.5%26.6%1.3%1.5%3.0M-167.7M-406.8K0.3629.034,7131,68172,68230,279
2014-09-10$33.62$29.0022.4%7.4%21.4%21.5%26.1%3.0%1.7%3.5M-183.7M-407.8K0.1027.5610,3271,01274,90630,854
2014-09-11$33.64$29.0024.8%7.3%21.1%33.4%26.8%1.5%1.0%3.8M-187.4M-417.2K0.4725.993,2491,51677,04731,186
2014-09-12$33.87$30.0024.0%7.5%20.8%29.2%26.5%1.7%1.8%3.9M-193.6M-416.1K0.9129.305,9905,46577,53632,221
2014-09-15$33.86$30.0025.4%7.4%20.8%37.3%26.4%1.9%0.9%4.4M-193.1M-435.9K0.3430.184,3291,45880,62937,234
2014-09-16$34.53$30.0025.1%7.6%18.6%35.5%26.3%4.1%0.7%5.5M-206.9M-456.7K0.6132.323,0151,83983,13738,027
2014-09-17$34.43$30.0025.0%7.6%18.6%34.8%26.5%1.6%0.9%5.7M-205.9M-447.7K0.9240.593,5133,22083,67439,222
2014-09-18$35.23$30.0023.5%7.6%18.2%26.4%26.4%1.6%2.9%6.4M-222.5M-428.7K0.3823.5415,9576,05781,87340,837
2014-09-19$34.56$30.0023.6%7.5%19.4%27.0%26.4%0.4%1.7%5.7M-211.9M-502.6K0.1631.388,6141,41890,17245,908
2014-09-22$34.15$30.0024.6%7.5%19.5%32.8%26.0%1.4%1.0%2.5M-145.0M-519.6K0.2630.344,8541,28271,40933,543
2014-09-23$33.26$30.0025.4%7.6%22.0%36.9%27.0%0.9%2.1%2.3M-124.3M-532.3K0.8031.927,1365,67772,74133,927
2014-09-24$34.33$30.0026.2%7.7%24.2%41.4%26.9%2.0%0.7%2.4M-142.0M-540.9K0.1239.5511,8911,39872,29136,421
2014-09-25$33.64$30.0025.5%7.8%25.5%37.8%27.8%0.8%1.9%3.0M-142.6M-594.9K0.1933.825,9201,13881,57836,901
2014-09-26$33.91$30.0025.9%7.7%25.4%39.8%27.5%2.5%1.5%3.5M-153.0M-629.7K0.6730.642,7001,80785,70937,348
2014-09-29$33.67$30.0026.9%7.8%25.6%45.6%27.4%2.2%0.9%3.4M-146.3M-627.7K0.9127.964,0053,65286,58238,794
2014-09-30$33.77$30.0026.1%7.8%23.8%40.9%27.6%-0.0%1.5%3.5M-151.2M-642.6K0.3331.882,34478188,86541,629