LUV Options History — November 2014

In November 2014, LUV traded between $35.27 and $41.82. ATM implied volatility averaged 30.8%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 3.2% (HV 20d: 34.0%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.56.

Notable Days

  • 2014-11-04: Highest Volume — 28,018 contracts
  • 2014-11-06: Largest IV drop — 20.8% change
  • 2014-11-05: Highest IV Rank — 49.7%
  • 2014-11-07: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.63$35.27$41.82$35.27$41.82
Max Pain$31.47$31.00$32.00$31.00$32.00
ATM IV30.8%26.5%40.9%40.5%28.4%
Expected Move8.9%8.4%9.3%9.2%8.7%
HV 20d34.0%22.0%50.1%50.1%30.4%
HV 60d35.8%35.3%37.6%35.3%37.6%
IV Rank26.9%17.0%49.7%48.8%21.5%
IV Percentile86.6%73.0%96.8%96.8%84.1%
Term Structure-0.6%-1.9%1.2%-1.6%-0.1%
VWIV32.2%30.1%34.1%32.6%30.9%
Skew 25d3.6%1.1%11.6%2.6%2.1%
Skew 10d7.9%1.1%19.5%6.5%9.2%
Call IV 25d28.6%25.1%32.2%31.5%28.7%
Put IV 25d32.2%27.7%38.3%34.1%30.7%
Bid-Ask Spread %33.2322.8543.8243.8238.36
Gamma HHI0.140.100.280.170.10
Net GEX8.3M4.5M14.1M10.4M4.5M
Net DEX-461.6M-548.5M-313.8M-313.8M-441.7M
Net VEX-778.7K-877.7K-680.3K-865.8K-680.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.141.040.470.14
Total Volume12,922.8954,05428,01813,49516,808
Total OI228,613.421172,433253,546219,268184,090

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$35.27$31.0040.5%9.2%50.1%48.8%32.6%2.6%-1.6%10.4M-313.8M-865.8K0.4743.829,2004,295150,84268,426
2014-11-04$36.45$31.0038.8%8.9%50.0%44.9%32.0%2.1%-1.3%11.3M-381.5M-857.1K0.2637.8022,2175,801154,98868,396
2014-11-05$36.76$31.0040.9%9.0%49.8%49.7%32.2%3.2%-1.9%11.9M-419.2M-877.7K0.6333.546,1323,858163,90069,662
2014-11-06$37.93$31.0032.4%9.3%49.1%30.5%33.4%11.6%-0.4%10.1M-469.1M-860.9K0.3737.8110,3003,824163,89670,543
2014-11-07$38.21$31.0033.3%9.3%47.5%32.6%33.7%4.2%0.1%10.2M-484.5M-847.5K0.9731.5710,3259,966166,29771,436
2014-11-10$39.16$31.0030.2%9.1%40.3%25.5%34.1%7.9%-1.4%9.4M-517.5M-780.0K0.6437.278,6475,556165,95376,445
2014-11-11$39.37$31.0029.9%8.9%35.3%24.9%33.3%3.4%-0.5%8.3M-539.0M-739.6K0.5934.9711,5536,868165,56675,923
2014-11-12$39.36$31.0029.5%8.9%32.4%23.8%33.2%6.9%-1.0%8.2M-534.5M-738.9K0.9037.246,6235,942166,45280,957
2014-11-13$39.44$31.0029.4%8.9%32.1%23.8%32.9%2.8%-1.4%8.3M-538.5M-726.2K0.8229.047,3106,006166,74281,461
2014-11-14$38.95$31.0029.4%8.9%33.1%23.8%31.8%1.1%-0.7%14.1M-522.2M-754.8K0.2737.637,7862,137168,49282,069
2014-11-17$39.04$32.0029.2%9.1%28.7%23.3%32.8%2.6%0.2%7.5M-528.2M-752.4K0.8638.795,2294,505168,10582,425
2014-11-18$39.65$32.0028.7%8.8%24.9%22.2%32.9%2.7%-0.2%6.5M-548.5M-758.8K1.0426.684,7434,953168,52983,035
2014-11-19$39.27$32.0028.8%8.9%25.1%22.4%31.3%2.4%-0.6%6.6M-539.3M-755.3K0.3022.933,116938169,16084,386
2014-11-20$38.83$32.0028.2%8.9%22.0%21.1%32.7%2.6%-1.3%6.4M-508.5M-756.6K0.5428.647,2753,949166,39082,039
2014-11-21$37.96$32.0027.8%8.8%24.0%20.1%31.3%2.7%0.1%7.2M-478.2M-764.8K0.5729.669,0975,191167,79582,396
2014-11-24$38.51$32.0026.6%8.4%24.2%17.3%30.1%2.4%0.4%5.4M-321.8M-749.3K0.2726.345,1411,375118,80353,630
2014-11-25$38.64$32.0026.7%8.6%24.0%17.5%31.0%1.7%-0.3%5.6M-331.3M-759.7K0.6722.855,5443,694120,99354,545
2014-11-26$39.28$32.0026.5%8.7%23.4%17.0%30.1%3.3%1.2%6.6M-352.1M-768.7K0.2636.387,6471,984123,06755,821
2014-11-28$41.82$32.0028.4%8.7%30.4%21.5%30.9%2.1%-0.1%4.5M-441.7M-680.3K0.1438.3614,6872,121127,00157,089