LUV Options History — April 2015

In April 2015, LUV traded between $40.55 and $43.50. ATM implied volatility averaged 31.7%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.4% (HV 20d: 28.3%). Max pain ranged from $42.50 to $44.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2015-04-07: Highest Volume — 28,842 contracts
  • 2015-04-23: Largest IV drop — 11.6% change
  • 2015-04-17: Highest IV Rank — 34.0%
  • 2015-04-22: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.34$40.55$43.50$43.44$40.55
Max Pain$43.12$42.50$44.00$44.00$43.00
ATM IV31.7%27.4%34.0%31.9%29.7%
Expected Move9.1%7.7%9.8%8.1%8.8%
HV 20d28.3%26.4%32.3%26.4%27.2%
HV 60d30.1%25.8%33.1%32.5%25.8%
IV Rank29.0%19.1%34.0%29.4%24.3%
IV Percentile65.7%44.8%77.8%70.2%52.4%
Term Structure-0.3%-2.0%1.0%-0.3%0.4%
VWIV32.0%27.7%36.4%27.7%31.4%
Skew 25d2.6%0.9%4.3%3.0%0.9%
Skew 10d4.3%0.8%9.6%5.3%0.8%
Call IV 25d31.1%27.4%33.4%30.7%29.4%
Put IV 25d33.6%29.1%36.9%33.7%30.4%
Bid-Ask Spread %27.6122.9439.3433.2923.12
Gamma HHI0.130.080.270.260.08
Net GEX3.0M-1.8M9.5M-1.8M3.4M
Net DEX-95.7M-202.3M-5.6M-75.7M-87.0M
Net VEX-1.1M-1.2M-927.9K-957.7K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.251.660.981.00
Total Volume16,777.199,92528,8429,92513,411
Total OI165,844.476145,757191,025147,401166,156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$43.44$44.0031.9%8.1%26.4%29.4%27.7%3.0%-0.3%-1.8M-75.7M-957.7K0.9833.295,0124,91389,76957,632
2015-04-02$42.81$44.0032.0%9.0%26.8%29.5%29.8%2.1%-0.0%-1.5M-48.5M-942.6K0.4325.8313,1165,63791,53358,175
2015-04-06$41.11$44.0032.6%9.5%29.5%31.1%32.7%3.5%0.7%-178.6K-5.6M-927.9K0.4423.5212,0645,30992,88057,108
2015-04-07$41.35$43.0033.3%9.4%29.6%32.5%32.2%1.6%-0.2%312.9K-11.5M-959.2K0.6825.3817,12011,72298,11458,942
2015-04-08$42.85$43.0032.5%9.4%32.3%30.7%33.0%2.4%0.2%1.6M-79.3M-1.1M0.2526.948,2282,030108,91959,405
2015-04-09$42.84$43.0033.4%9.3%31.4%32.8%33.0%4.3%-1.3%1.6M-80.4M-1.1M0.3022.9412,1503,622111,38260,215
2015-04-10$42.81$43.0032.6%9.5%29.7%31.0%33.0%2.5%0.2%1.8M-93.7M-1.1M1.6624.916,11210,152117,40260,885
2015-04-13$42.73$43.0033.4%9.5%29.6%32.7%33.4%1.9%1.0%-869.8K-67.5M-1.1M0.9326.0810,7069,966116,19465,061
2015-04-14$42.48$43.0033.8%9.7%28.2%33.6%33.9%3.0%-1.8%299.2K-61.9M-1.1M0.4425.967,9193,496118,50763,806
2015-04-15$41.87$43.0033.8%9.7%27.6%33.7%34.2%2.8%-2.0%2.0M-45.9M-1.1M0.7624.919,6437,340121,09760,007
2015-04-16$42.32$43.0033.4%9.6%28.0%32.7%33.0%2.5%-1.5%1.0M-53.6M-1.1M0.7626.617,0195,330125,57163,123
2015-04-17$41.81$43.0034.0%9.8%27.4%34.0%33.5%3.8%-0.5%4.5M-33.2M-1.1M0.6826.518,3445,698127,17963,846
2015-04-20$42.57$43.0033.2%9.7%28.6%32.4%33.6%2.6%-0.5%5.4M-151.8M-1.1M0.6531.936,7844,427105,72040,037
2015-04-21$43.06$43.0033.0%9.6%28.4%31.9%34.1%2.8%-0.2%6.4M-171.6M-1.2M0.4729.257,8033,650109,13141,342
2015-04-22$42.79$43.0032.6%9.8%28.3%30.8%36.4%3.2%-0.7%6.5M-168.7M-1.2M0.9338.4512,33111,456111,17941,758
2015-04-23$43.32$42.5028.8%8.1%27.2%22.3%30.2%3.8%0.1%9.5M-200.8M-1.2M0.5239.3417,4429,127119,18249,778
2015-04-24$43.50$43.0027.4%7.7%26.8%19.1%28.4%1.7%0.3%9.5M-202.3M-1.2M1.1023.9111,06512,225119,41552,397
2015-04-27$42.27$43.0028.2%8.2%27.2%21.0%29.1%1.8%0.5%5.7M-146.1M-1.2M0.8226.149,1377,463111,38544,725
2015-04-28$41.82$43.0028.0%8.3%27.0%20.5%29.4%1.4%0.4%5.0M-128.8M-1.2M0.6626.258,0785,331113,73646,839
2015-04-29$40.92$43.0029.0%8.6%27.8%22.9%30.1%2.2%-0.1%3.6M-96.7M-1.1M0.6928.5611,7968,147115,80247,400
2015-04-30$40.55$43.0029.7%8.8%27.2%24.3%31.4%0.9%0.4%3.4M-87.0M-1.1M1.0023.126,6926,719118,62147,535