LUV Options History — January 2015

In January 2015, LUV traded between $38.93 and $46.96. ATM implied volatility averaged 35.8%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 2.6% (HV 20d: 33.2%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2015-01-22: Highest Volume — 51,440 contracts
  • 2015-01-22: Largest IV drop — 14.4% change
  • 2015-01-16: Highest IV Rank — 48.2%
  • 2015-01-16: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.54$38.93$46.96$42.71$45.19
Max Pain$39.70$38.00$41.00$40.00$40.00
ATM IV35.8%31.3%40.2%35.1%34.2%
Expected Move10.1%8.9%11.3%9.6%10.2%
HV 20d33.2%25.6%43.4%29.1%43.4%
HV 60d34.4%30.7%38.3%37.7%35.4%
IV Rank38.3%27.9%48.2%36.6%34.5%
IV Percentile88.3%78.2%95.6%90.5%83.3%
Term Structure-0.2%-1.2%1.4%-0.8%0.2%
VWIV35.5%31.6%40.5%34.9%36.3%
Skew 25d2.8%1.5%5.3%2.8%2.6%
Skew 10d5.5%-3.5%14.5%3.6%1.6%
Call IV 25d35.3%29.9%39.7%34.3%34.1%
Put IV 25d38.1%32.8%42.6%37.1%36.7%
Bid-Ask Spread %26.0618.9631.8630.6430.72
Gamma HHI0.110.090.140.110.09
Net GEX5.6M2.4M6.9M5.8M5.6M
Net DEX-297.0M-369.2M-191.3M-353.7M-312.3M
Net VEX-875.4K-945.5K-824.5K-824.5K-945.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.201.270.760.54
Total Volume15,463.16,86951,44011,39617,336
Total OI165,486.3126,574185,871175,459163,130

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$42.71$40.0035.1%9.6%29.1%36.6%34.9%2.8%-0.8%5.8M-353.7M-824.5K0.7630.646,4674,929122,02053,439
2015-01-05$41.64$40.0038.3%10.5%30.5%43.9%36.8%3.2%-0.8%5.5M-315.1M-837.7K0.3725.316,1832,271119,02352,458
2015-01-06$40.46$41.0039.3%10.9%32.1%46.1%37.5%1.5%-0.4%5.0M-275.9M-855.2K0.5424.517,2833,899121,24853,821
2015-01-07$40.80$40.0037.3%10.4%30.8%41.6%36.5%1.6%-0.1%5.2M-284.8M-861.2K0.5923.994,3222,547123,57254,818
2015-01-08$41.81$40.0036.4%10.0%29.5%39.5%35.6%3.5%1.4%6.3M-322.7M-870.5K0.6122.198,2045,009124,64756,432
2015-01-09$40.79$40.0036.2%10.2%30.3%39.1%35.2%1.8%0.6%6.0M-286.7M-857.3K0.5222.527,5433,933125,91056,699
2015-01-12$40.32$40.0036.9%10.4%30.1%40.8%35.8%1.5%-1.2%5.5M-272.6M-857.4K0.5030.947,5373,797124,97854,683
2015-01-13$40.41$40.0036.6%10.2%30.0%40.1%35.4%1.6%-0.4%5.8M-278.7M-867.5K0.5131.869,0764,622126,75855,069
2015-01-14$39.45$40.0039.6%11.0%30.9%46.7%37.4%2.6%-1.0%4.4M-240.7M-858.7K0.5622.068,8965,013127,99656,242
2015-01-15$38.93$40.0038.1%10.9%25.6%43.4%34.3%2.1%0.1%3.7M-223.3M-851.9K0.6425.435,7863,703128,59056,568
2015-01-16$39.48$40.0040.2%11.3%25.7%48.2%40.5%2.9%-1.2%2.4M-237.6M-861.9K0.3419.9813,7934,705129,39856,473
2015-01-20$40.79$38.0039.2%11.2%28.1%45.8%38.6%4.1%-0.3%5.4M-191.3M-906.9K0.2026.9112,6232,55795,09831,476
2015-01-21$41.83$38.0037.5%10.7%29.2%42.0%37.9%5.3%-1.0%6.9M-234.7M-930.7K0.3228.6517,3805,522102,16833,085
2015-01-22$45.28$38.0032.1%9.2%39.5%29.8%33.9%2.9%0.5%6.6M-369.2M-892.0K0.2324.0641,9919,449110,93636,788
2015-01-23$45.74$39.0031.4%9.0%39.4%28.3%31.6%2.9%0.2%6.2M-358.9M-865.5K0.5628.8612,8257,186109,20040,062
2015-01-26$46.40$40.0031.3%8.9%39.4%27.9%32.0%3.7%0.1%6.2M-345.9M-862.7K0.3618.968,0422,924104,63539,461
2015-01-27$45.88$40.0032.5%9.2%39.8%30.6%33.2%3.1%-0.4%6.5M-332.9M-886.8K1.2726.965,8317,431106,47840,901
2015-01-28$45.83$40.0033.0%9.3%39.9%31.9%32.7%2.5%-0.9%6.2M-334.5M-895.7K0.4927.6311,3015,556108,30746,324
2015-01-29$46.96$40.0031.6%9.2%40.5%28.7%34.3%3.4%0.6%6.4M-367.5M-918.5K0.8428.926,4005,390112,25048,585
2015-01-30$45.19$40.0034.2%10.2%43.4%34.5%36.3%2.6%0.2%5.6M-312.3M-945.5K0.5430.7211,2886,048113,71749,413