LUV Options History — December 2014

In December 2014, LUV traded between $39.61 and $42.32. ATM implied volatility averaged 34.5%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 0.4% (HV 20d: 34.9%). Max pain ranged from $32.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2014-12-08: Highest Volume — 42,048 contracts
  • 2014-12-09: Largest IV spike — 9.9% change
  • 2014-12-16: Highest IV Rank — 48.6%
  • 2014-12-17: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.21$39.61$42.32$40.54$42.32
Max Pain$34.76$32.00$41.00$32.00$40.00
ATM IV34.5%29.3%40.4%30.5%33.9%
Expected Move10.1%9.1%11.2%9.1%9.9%
HV 20d34.9%29.3%39.4%33.7%29.3%
HV 60d38.9%38.1%40.3%38.3%38.1%
IV Rank35.2%23.4%48.6%26.3%33.9%
IV Percentile91.5%86.5%96.0%90.5%88.1%
Term Structure0.9%-0.9%6.2%1.1%-0.6%
VWIV35.8%32.2%39.9%32.2%34.1%
Skew 25d2.0%-1.8%6.7%1.8%1.2%
Skew 10d3.5%-4.4%9.6%-4.1%5.7%
Call IV 25d34.5%29.0%41.3%30.6%34.3%
Put IV 25d36.5%30.6%44.3%32.4%35.5%
Bid-Ask Spread %31.1222.8242.4242.4226.48
Gamma HHI0.090.070.120.090.10
Net GEX5.9M4.9M7.5M4.9M6.6M
Net DEX-336.0M-441.5M-259.9M-395.5M-341.9M
Net VEX-831.2K-903.4K-714.3K-714.3K-840.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.121.190.680.31
Total Volume15,4906,89242,04817,4568,902
Total OI183,370.682165,434199,809183,171172,766

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$40.54$32.0030.5%9.1%33.7%26.3%32.2%1.8%1.1%4.9M-395.5M-714.3K0.6842.4210,4037,053126,00357,168
2014-12-02$40.47$32.0030.3%9.2%33.4%25.6%32.4%1.9%0.5%5.1M-385.9M-773.9K0.9437.456,5406,130129,56461,014
2014-12-03$41.07$32.0029.3%9.1%32.1%23.4%32.5%2.2%1.9%5.3M-406.9M-748.2K0.8233.285,9904,914131,95661,921
2014-12-04$41.39$32.0030.4%9.4%32.1%25.9%33.0%0.2%0.9%5.4M-423.2M-740.1K0.2034.457,9941,575133,39362,536
2014-12-05$41.07$32.0030.6%9.3%31.0%26.3%33.1%-1.0%0.5%6.5M-418.3M-758.7K0.6426.027,3384,685136,26563,544
2014-12-08$42.13$32.0031.7%9.6%31.9%28.8%34.1%2.7%1.1%5.0M-441.5M-754.9K0.1226.9437,4504,598133,98362,888
2014-12-09$40.69$32.0034.8%10.4%33.9%35.9%37.0%3.0%0.8%5.0M-280.9M-811.4K0.3128.5821,3086,515108,98363,769
2014-12-10$41.41$33.0035.7%10.0%34.4%38.0%37.3%0.2%0.6%5.5M-316.3M-843.4K0.3934.7318,2997,132113,26665,655
2014-12-11$41.88$33.0036.0%10.5%34.5%38.6%36.9%1.8%-0.1%6.3M-329.8M-824.3K0.3232.4714,3554,596116,87667,853
2014-12-12$41.45$33.0037.7%11.1%34.8%42.4%38.9%-1.8%0.9%5.9M-320.6M-867.3K0.4235.1413,0155,493121,24668,081
2014-12-15$41.67$33.0038.9%11.2%34.4%45.1%39.6%6.7%-0.9%5.5M-319.6M-879.7K0.3935.8810,6424,176120,00367,549
2014-12-16$39.61$33.0040.4%11.1%39.4%48.6%39.4%1.4%6.2%5.2M-259.9M-903.4K0.5135.309,6634,948121,52967,930
2014-12-17$40.14$33.0038.9%11.2%39.3%45.2%39.9%5.9%3.4%5.3M-265.2M-894.7K0.5234.7510,1085,295122,98068,641
2014-12-18$40.57$33.0037.8%10.9%39.2%42.7%39.2%2.3%1.6%5.5M-288.8M-883.9K0.8429.758,3546,989123,56268,846
2014-12-19$40.26$33.0036.3%10.6%39.1%39.3%38.3%2.1%0.7%6.2M-282.5M-886.0K0.4425.875,7122,517124,61469,116
2014-12-22$41.24$0.0035.2%10.3%38.7%36.8%35.2%2.0%-0.1%5.7M-299.9M-858.9K0.4938.3410,8555,269114,90950,525
2014-12-23$41.04$41.0034.8%10.0%38.6%35.9%35.2%0.5%-0.2%6.6M-302.2M-878.1K0.9726.626,5296,320119,91550,936
2014-12-24$41.66$41.0033.0%9.6%38.9%31.8%34.9%2.5%1.2%7.1M-322.3M-880.9K1.0027.665,5685,576121,03052,247
2014-12-26$41.92$40.0033.7%9.7%38.6%33.4%34.6%2.4%-0.0%7.5M-330.8M-865.4K1.0325.215,5305,680121,37252,790
2014-12-29$42.00$40.0034.0%9.8%31.6%34.0%34.4%2.5%0.1%6.3M-326.0M-839.5K0.6824.525,8614,011118,50248,967
2014-12-30$42.17$40.0034.8%9.8%29.4%35.9%34.9%3.5%-0.3%6.7M-334.5M-837.8K1.1922.823,1513,741119,65949,803
2014-12-31$42.32$40.0033.9%9.9%29.3%33.9%34.1%1.2%-0.6%6.6M-341.9M-840.9K0.3126.486,7982,104120,26952,497