LUV Options History — February 2015

In February 2015, LUV traded between $42.59 and $45.26. ATM implied volatility averaged 35.2%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 3.3% (HV 20d: 38.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.56.

Notable Days

  • 2015-02-20: Highest Volume — 39,131 contracts
  • 2015-02-24: Largest IV drop — 6.9% change
  • 2015-02-03: Highest IV Rank — 45.6%
  • 2015-02-03: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.89$42.59$45.26$44.53$43.25
Max Pain$35.79$35.00$40.00$40.00$35.00
ATM IV35.2%32.6%39.1%37.8%32.6%
Expected Move10.3%9.3%11.6%11.2%9.3%
HV 20d38.5%29.0%44.3%43.8%29.0%
HV 60d35.5%33.4%36.1%35.1%33.4%
IV Rank36.9%30.8%45.6%42.7%30.8%
IV Percentile82.5%72.2%94.0%91.7%72.2%
Term Structure0.1%-1.9%2.2%1.3%-0.5%
VWIV35.8%32.7%39.9%39.1%32.7%
Skew 25d2.9%0.7%5.1%4.0%1.5%
Skew 10d6.3%-1.8%14.3%8.5%-1.2%
Call IV 25d34.9%32.3%38.0%37.4%32.3%
Put IV 25d37.8%33.8%41.5%41.4%33.8%
Bid-Ask Spread %23.9615.2134.3433.4129.09
Gamma HHI0.140.080.230.090.23
Net GEX8.3M5.2M13.5M5.6M11.9M
Net DEX-282.8M-379.0M-218.4M-271.4M-278.9M
Net VEX-1.0M-1.1M-912.5K-995.2K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.170.860.520.74
Total Volume16,361.5269,93439,13117,40511,993
Total OI178,433.368160,000195,530160,000195,530

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$44.53$40.0037.8%11.2%43.8%42.7%39.1%4.0%1.3%5.6M-271.4M-995.2K0.5233.4111,4295,976112,72247,278
2015-02-03$43.16$40.0039.1%11.6%44.3%45.6%39.9%4.2%-1.9%5.2M-231.8M-1.0M0.8625.868,3757,244116,46650,205
2015-02-04$44.52$40.0037.8%11.4%43.9%42.6%38.5%5.1%-0.7%6.0M-283.8M-1.0M0.3134.3414,6774,570117,25752,127
2015-02-05$44.38$35.0036.3%10.6%44.0%39.4%36.9%3.3%-0.0%7.0M-282.7M-1.0M0.6823.856,0224,078120,37151,033
2015-02-06$44.06$35.0036.9%10.8%43.5%40.6%37.5%4.3%0.0%7.2M-274.0M-1.0M0.8118.806,4645,266121,20451,732
2015-02-09$43.25$35.0037.9%11.0%43.0%43.0%38.3%2.6%0.2%5.8M-239.1M-988.0K0.5221.949,3894,850118,30450,272
2015-02-10$43.77$35.0035.4%10.4%42.8%37.3%36.8%3.6%0.6%6.5M-258.4M-996.9K0.8025.205,5154,419119,32951,537
2015-02-11$43.48$35.0036.6%10.3%43.0%40.1%35.8%1.5%-0.9%6.3M-252.9M-971.7K0.7519.926,4534,860119,85152,067
2015-02-12$43.40$35.0034.2%10.0%41.8%34.6%34.8%3.1%1.8%6.4M-242.9M-959.1K0.5524.598,4674,660120,64652,320
2015-02-13$43.26$35.0033.7%9.9%41.3%33.3%32.7%3.3%0.9%5.9M-241.0M-960.9K0.6916.816,2874,318121,57153,144
2015-02-17$42.59$35.0034.2%9.8%41.8%34.6%34.2%2.5%0.2%5.3M-218.4M-912.5K0.3119.5317,0305,266119,27551,930
2015-02-18$43.56$35.0034.0%9.7%41.1%34.0%35.2%4.6%-1.4%8.1M-272.5M-985.8K0.5321.9611,9696,311130,32252,902
2015-02-19$43.76$35.0034.4%9.8%40.3%34.9%33.7%1.9%-0.1%9.1M-298.6M-967.8K0.1715.2921,5673,607133,44653,711
2015-02-20$44.78$35.0035.4%9.9%29.5%37.3%35.7%2.6%2.2%8.9M-354.9M-1.0M0.1815.2133,1885,943140,46054,570
2015-02-23$44.67$35.0035.1%10.1%29.2%36.6%35.8%2.5%-1.2%12.4M-346.1M-1.1M0.5031.2911,2465,601140,09343,057
2015-02-24$45.26$35.0032.7%9.8%29.2%31.2%35.0%2.6%0.1%13.5M-379.0M-1.1M0.6425.697,0784,495144,03145,047
2015-02-25$44.15$35.0032.7%9.7%30.2%31.2%34.2%0.7%0.9%13.4M-328.2M-1.1M0.6225.519,9476,155145,35145,836
2015-02-26$44.04$35.0032.6%9.6%30.2%31.0%33.8%2.1%-0.0%13.3M-317.9M-1.1M0.4026.9511,5804,574146,98048,257
2015-02-27$43.25$35.0032.6%9.3%29.0%30.8%32.7%1.5%-0.5%11.9M-278.9M-1.0M0.7429.096,8755,118146,74448,786