LUV Options History — March 2015

In March 2015, LUV traded between $42.94 and $46.36. ATM implied volatility averaged 30.4%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 5.5% (HV 20d: 24.8%). Max pain ranged from $35.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2015-03-20: Highest Volume — 34,061 contracts
  • 2015-03-23: Largest IV spike — 7.5% change
  • 2015-03-02: Highest IV Rank — 30.1%
  • 2015-03-02: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.54$42.94$46.36$44.26$44.34
Max Pain$43.32$35.00$44.00$35.00$44.00
ATM IV30.4%28.2%32.2%32.2%30.5%
Expected Move8.4%7.7%9.5%9.5%7.8%
HV 20d24.8%21.9%27.5%27.5%25.3%
HV 60d32.5%31.3%33.7%33.7%32.6%
IV Rank25.9%21.1%30.1%30.1%26.2%
IV Percentile64.2%54.0%71.0%71.0%63.5%
Term Structure0.6%-1.4%3.1%-0.2%1.7%
VWIV29.6%26.9%34.2%34.2%27.4%
Skew 25d2.5%1.3%3.9%1.9%2.6%
Skew 10d5.2%0.6%12.0%4.9%4.4%
Call IV 25d29.8%26.9%32.1%32.1%30.1%
Put IV 25d32.3%28.7%34.0%34.0%32.6%
Bid-Ask Spread %24.5815.9135.4124.7828.31
Gamma HHI0.230.170.320.230.22
Net GEX12.1M211.2K24.1M13.3M1.6M
Net DEX-244.3M-419.7M-67.7M-321.7M-115.6M
Net VEX-957.8K-1.0M-859.6K-1.0M-986.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.161.790.620.70
Total Volume11,721.2274,86334,06111,34911,149
Total OI169,197.909133,493190,944190,944145,782

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$44.26$35.0032.2%9.5%27.5%30.1%34.2%1.9%-0.2%13.3M-321.7M-1.0M0.6224.786,9944,355143,22947,715
2015-03-03$43.99$41.0031.6%9.1%27.1%28.6%31.4%2.3%-0.1%14.3M-247.2M-1.0M0.4635.419,7934,489129,73747,869
2015-03-04$44.00$41.0030.9%8.7%24.6%27.2%30.1%1.7%0.7%14.6M-241.6M-1.0M0.4426.389,6644,253127,37748,171
2015-03-05$44.15$44.0030.9%8.8%21.9%27.0%30.9%1.5%-0.5%15.6M-250.1M-991.3K0.4021.549,9503,968128,00348,649
2015-03-06$43.27$44.0030.3%8.9%23.0%25.8%30.9%2.5%0.1%14.6M-222.7M-982.6K0.7221.286,1204,419132,99248,872
2015-03-09$43.40$44.0030.3%8.9%22.9%25.8%30.6%3.0%0.3%15.1M-215.6M-952.8K0.4424.173,3821,481128,84047,244
2015-03-10$42.94$44.0031.0%9.0%22.3%27.3%30.9%2.9%0.6%14.0M-189.8M-918.8K0.5723.233,5522,041129,52147,765
2015-03-11$43.84$44.0030.1%8.7%23.1%25.2%30.0%2.4%0.2%17.7M-243.1M-936.6K0.1623.678,4761,350130,05648,336
2015-03-12$44.97$44.0030.4%8.7%24.6%25.9%31.2%3.7%-0.0%21.9M-325.4M-954.0K0.1722.3712,5202,191134,43348,259
2015-03-13$44.51$44.0030.7%8.9%25.0%26.6%31.1%3.1%0.9%24.1M-299.5M-947.8K0.2122.6311,4462,414137,14248,496
2015-03-16$45.50$44.0030.7%8.9%26.0%26.6%31.5%2.7%1.9%22.2M-361.5M-920.3K0.2020.376,8841,357135,05347,035
2015-03-17$46.21$44.0029.7%8.5%25.4%24.3%30.1%2.7%3.1%18.1M-416.9M-874.7K0.3522.589,6283,366135,63647,511
2015-03-18$45.74$44.0028.9%8.3%24.9%22.7%29.0%1.3%3.1%24.0M-381.4M-895.4K0.3023.886,8962,066136,36549,174
2015-03-19$46.35$44.0029.1%8.2%25.2%23.1%28.4%1.6%2.0%12.0M-419.7M-869.7K0.2415.916,2531,470135,14249,901
2015-03-20$46.36$44.0028.2%7.9%24.1%21.1%28.7%1.8%1.7%12.4M-416.2M-859.6K1.7918.1612,22321,838135,17450,318
2015-03-23$45.44$44.0030.3%8.0%25.3%25.8%28.2%2.3%-1.4%3.2M-161.7M-961.9K0.3525.678,4042,91681,81851,675
2015-03-24$44.92$44.0029.3%7.7%25.2%23.5%26.9%1.9%-0.6%3.0M-143.9M-995.9K0.4027.085,8492,34085,67453,609
2015-03-25$43.72$44.0030.9%7.9%25.5%27.2%27.7%2.9%-0.3%975.4K-90.5M-976.9K0.3625.307,3252,60986,94755,248
2015-03-26$43.18$44.0031.3%7.8%25.8%27.9%27.1%3.9%-0.8%211.2K-67.7M-980.5K1.0025.817,8717,87189,65855,890
2015-03-27$44.24$44.0030.6%7.9%26.5%26.4%27.5%3.7%0.3%1.2M-115.2M-1.0M0.2530.096,0901,51690,67457,644
2015-03-30$44.59$44.0030.4%7.7%25.3%25.9%27.3%2.7%0.8%2.1M-128.3M-984.6K0.8132.115,0294,05987,22456,496
2015-03-31$44.34$44.0030.5%7.8%25.3%26.2%27.4%2.6%1.7%1.6M-115.6M-986.4K0.7028.316,5564,59388,60957,173