LUV Options History — May 2015

In May 2015, LUV traded between $35.84 and $43.23. ATM implied volatility averaged 28.9%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 9.3% (HV 20d: 38.2%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2015-05-20: Highest Volume — 105,508 contracts
  • 2015-05-20: Largest IV spike — 26.5% change
  • 2015-05-20: Highest IV Rank — 33.6%
  • 2015-05-20: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.14$35.84$43.23$42.60$37.11
Max Pain$40.40$40.00$43.00$43.00$40.00
ATM IV28.9%25.7%33.8%28.3%30.0%
Expected Move8.4%7.4%9.7%8.5%8.7%
HV 20d38.2%29.1%49.2%32.7%49.1%
HV 60d30.8%27.0%35.3%27.0%35.3%
IV Rank22.6%15.4%33.6%21.2%24.9%
IV Percentile47.8%31.3%75.4%46.0%50.8%
Term Structure0.2%-0.8%1.0%0.4%0.3%
VWIV29.3%25.7%34.0%29.4%30.5%
Skew 25d2.0%1.2%3.6%3.0%1.8%
Skew 10d3.2%-6.9%9.8%9.8%0.1%
Call IV 25d28.5%25.6%32.9%27.4%29.9%
Put IV 25d30.5%27.1%34.4%30.4%31.7%
Bid-Ask Spread %19.8714.0427.9821.7424.53
Gamma HHI0.120.080.340.090.14
Net GEX1.6M-13.7M7.7M5.7M-3.7M
Net DEX-54.7M-195.9M158.8M-164.0M92.1M
Net VEX-1.2M-1.4M-969.4K-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.192.470.662.47
Total Volume21,160.155,266105,50819,08030,879
Total OI198,589.05149,480282,517166,708282,517

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$42.60$43.0028.3%8.5%32.7%21.2%29.4%3.0%0.4%5.7M-164.0M-1.2M0.6621.7411,5037,577118,33448,374
2015-05-04$41.83$40.0028.2%8.3%29.9%21.0%29.7%1.3%1.0%5.0M-136.4M-1.2M0.5418.543,5321,923114,60547,557
2015-05-05$40.52$40.0029.9%8.7%31.9%24.9%30.6%1.5%0.0%3.1M-89.0M-1.1M1.4020.265,7598,045116,38248,674
2015-05-06$40.80$40.0030.3%8.6%29.1%25.9%30.1%3.6%0.0%3.4M-97.4M-1.1M1.3825.186,3408,754117,86348,958
2015-05-07$42.12$40.0028.8%8.5%31.5%22.4%29.5%1.2%0.9%6.0M-150.4M-1.2M1.0920.748,2248,934119,85851,193
2015-05-08$43.23$40.0027.4%7.9%32.9%19.1%27.6%1.9%0.3%7.7M-195.9M-1.2M0.1917.227,0091,339118,71551,773
2015-05-11$43.02$40.0027.8%8.0%33.0%20.0%28.4%1.9%0.4%7.6M-183.1M-1.2M0.9915.962,6462,620115,69647,395
2015-05-12$42.27$40.0028.2%8.2%33.5%21.1%28.7%2.5%0.9%6.1M-152.6M-1.2M1.7119.324,1297,059116,34148,114
2015-05-13$41.29$40.0028.9%8.3%34.2%22.6%28.9%2.2%0.1%3.1M-109.5M-1.1M1.3724.115,1477,055116,51749,056
2015-05-14$42.12$40.0027.5%7.9%34.7%19.3%27.5%3.0%0.3%5.0M-138.7M-1.1M1.3116.025,0546,617116,97349,849
2015-05-15$41.89$40.0026.4%7.6%34.5%16.9%26.5%2.2%-0.0%4.5M-132.3M-1.1M1.3614.044,8936,672117,93250,405
2015-05-18$42.14$40.0025.7%7.4%33.9%15.4%25.7%1.6%-0.1%5.7M-139.3M-1.1M0.8022.6215,29612,271107,69341,787
2015-05-19$40.91$41.0026.7%7.7%35.1%17.6%26.8%2.4%0.1%4.1M-94.6M-1.2M0.6618.954,8163,158121,06153,655
2015-05-20$37.22$41.0033.8%9.7%48.0%33.6%34.0%1.5%-0.8%1.3M12.4M-969.4K1.8520.5237,04568,463123,60255,631
2015-05-21$37.22$41.0030.0%8.6%47.5%25.2%29.9%1.2%-0.2%-5.4M86.1M-1.3M1.8327.9813,00223,847147,007111,195
2015-05-22$36.92$41.0028.8%8.2%47.3%22.3%28.5%2.1%-0.3%-13.7M132.9M-1.3M1.0017.6510,74810,772151,811123,643
2015-05-26$35.84$41.0031.4%9.1%47.4%28.2%32.2%1.2%-0.1%-5.1M158.8M-1.2M0.7218.7416,28911,649147,590117,383
2015-05-27$36.92$40.0030.4%8.9%49.2%25.7%31.6%2.6%0.4%-4.6M100.8M-1.4M0.7214.8411,4908,289157,204119,631
2015-05-28$36.81$40.0030.2%8.6%48.9%25.2%30.8%1.3%0.0%-4.1M106.4M-1.3M1.0018.437,1627,196159,340120,467
2015-05-29$37.11$40.0030.0%8.7%49.1%24.9%30.5%1.8%0.3%-3.7M92.1M-1.3M2.4724.538,90321,976161,469121,048