LUV Options History — June 2015 In June 2015, LUV traded between $33.20 and $37.90. ATM implied volatility averaged 32.0%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 4.1% (HV 20d: 36.1%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.64.
Notable Days 2015-06-18 : Highest Volume — 62,192 contracts2015-06-29 : Largest IV spike — 15.6% change2015-06-29 : Highest IV Rank — 37.6%2015-06-01 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $35.08 $33.20 $37.90 $37.90 $33.20 Max Pain $39.18 $38.00 $40.00 $40.00 $38.00 ATM IV 32.0% 29.3% 36.4% 32.8% 34.7% Expected Move 9.0% 7.8% 9.8% 9.8% 9.6% HV 20d 36.1% 24.1% 45.9% 45.9% 24.3% HV 60d 35.2% 34.3% 35.9% 35.6% 34.3% IV Rank 27.9% 21.0% 37.6% 31.2% 33.7% IV Percentile 62.2% 41.7% 86.1% 69.4% 79.0% Term Structure 0.3% -2.9% 4.7% -0.9% -0.0% VWIV 31.2% 27.1% 34.8% 34.1% 32.6% Skew 25d 2.2% 0.3% 4.8% 0.3% 2.2% Skew 10d 4.0% -1.5% 7.6% 3.3% 4.4% Call IV 25d 31.5% 27.6% 34.7% 33.1% 34.7% Put IV 25d 33.6% 30.6% 37.6% 33.3% 36.9% Bid-Ask Spread % 24.50 18.16 45.51 23.12 24.73 Gamma HHI 0.12 0.08 0.22 0.12 0.14 Net GEX 438.0K -4.1M 4.4M -2.3M 2.3M Net DEX 114.5M -4.9M 230.8M 11.0M 104.1M Net VEX -1.2M -1.4M -990.1K -1.4M -991.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.17 1.79 0.31 0.53 Total Volume 24,687.182 11,631 62,192 44,079 11,631 Total OI 300,187.136 242,676 346,494 271,648 266,088
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-06-01 $37.90 $40.00 32.8% 9.8% 45.9% 31.2% 34.1% 0.3% -0.9% -2.3M 11.0M -1.4M 0.31 23.12 33,629 10,450 156,698 114,950 2015-06-02 $37.82 $40.00 31.6% 9.4% 45.7% 28.6% 33.2% 2.0% -1.0% 126.2K -4.9M -1.4M 0.17 21.78 18,285 3,141 174,605 114,172 2015-06-03 $37.73 $40.00 31.7% 9.6% 44.6% 28.7% 33.7% 1.4% -0.5% 665.9K -133.6K -1.4M 0.37 21.32 15,877 5,924 181,479 115,535 2015-06-04 $37.21 $40.00 32.4% 9.1% 44.6% 30.2% 32.2% 1.7% -0.3% -390.8K 31.0M -1.4M 0.69 21.65 8,941 6,180 191,601 116,184 2015-06-05 $37.19 $40.00 29.6% 8.6% 42.5% 23.9% 30.0% 0.7% 1.8% -1.9M 52.7M -1.3M 0.97 45.51 8,958 8,649 192,862 117,067 2015-06-08 $36.08 $40.00 31.4% 9.1% 41.5% 27.9% 31.1% 1.9% 0.3% -3.8M 100.6M -1.2M 1.79 25.31 9,376 16,755 181,193 111,236 2015-06-09 $34.62 $40.00 35.3% 9.7% 43.0% 35.1% 33.4% 2.4% -2.9% -4.1M 187.6M -1.1M 0.29 25.85 39,070 11,224 183,448 121,232 2015-06-10 $34.38 $39.00 31.7% 9.2% 43.0% 26.6% 32.4% 1.1% 0.9% -782.8K 182.9M -1.1M 0.33 25.03 25,230 8,228 206,632 124,068 2015-06-11 $34.70 $39.00 32.4% 9.0% 43.2% 28.2% 31.5% 2.7% -2.3% -54.2K 171.5M -1.1M 0.64 26.93 12,363 7,924 215,435 124,642 2015-06-12 $35.02 $39.00 30.5% 8.9% 42.4% 23.9% 27.1% 0.9% 0.2% 1.3M 149.7M -1.2M 0.89 26.51 19,420 17,224 218,064 125,280 2015-06-15 $34.24 $40.00 33.5% 9.5% 42.7% 30.8% 32.7% 1.8% 1.4% -900.6K 213.1M -1.1M 0.33 25.82 18,729 6,192 200,867 131,863 2015-06-16 $33.94 $39.00 32.2% 9.2% 42.2% 27.9% 32.9% 1.6% 3.3% -24.0K 228.8M -1.1M 0.61 25.77 11,694 7,145 211,567 132,808 2015-06-17 $33.84 $39.00 31.8% 9.1% 41.7% 26.9% 31.3% 1.8% 2.7% 542.4K 222.3M -1.1M 0.54 25.35 8,299 4,509 215,574 129,864 2015-06-18 $33.81 $39.00 30.4% 8.4% 27.1% 23.5% 31.0% 2.4% 4.7% 623.9K 230.8M -1.0M 1.79 22.13 22,271 39,921 215,724 129,490 2015-06-19 $34.20 $39.00 29.9% 8.2% 27.6% 22.4% 29.1% 3.5% 3.2% 1.5M 208.8M -1.0M 0.84 18.16 14,750 12,345 219,139 127,355 2015-06-22 $34.83 $39.00 29.3% 7.8% 28.7% 21.0% 27.8% 4.8% -0.3% 1.7M 59.6M -1.1M 0.65 20.11 10,889 7,066 154,551 88,125 2015-06-23 $34.58 $39.00 30.8% 8.4% 27.0% 24.6% 28.2% 3.9% -0.4% 2.1M 70.6M -1.1M 0.38 22.21 18,000 6,798 158,630 89,145 2015-06-24 $34.39 $39.00 32.3% 8.3% 24.3% 28.1% 29.5% 1.6% -1.1% 3.2M 70.3M -1.1M 0.34 21.31 10,002 3,389 168,416 90,263 2015-06-25 $34.51 $38.00 32.2% 8.2% 24.4% 27.8% 27.9% 3.0% 1.0% 4.4M 59.5M -1.1M 0.53 22.06 8,068 4,295 172,429 90,532 2015-06-26 $34.32 $38.00 31.5% 8.2% 24.1% 26.1% 30.0% 2.6% -0.7% 3.1M 65.5M -1.1M 0.70 22.51 7,496 5,281 174,086 91,561 2015-06-29 $33.22 $38.00 36.4% 9.8% 24.2% 37.6% 34.8% 3.2% -2.3% 2.4M 104.0M -990.1K 0.38 25.74 12,639 4,861 169,678 89,979 2015-06-30 $33.20 $38.00 34.7% 9.6% 24.3% 33.7% 32.6% 2.2% -0.0% 2.3M 104.1M -991.1K 0.53 24.73 7,583 4,048 175,194 90,894
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