LUV Options History — July 2015

In July 2015, LUV traded between $32.42 and $36.52. ATM implied volatility averaged 34.1%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 7.1% (HV 20d: 27.0%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-07-23: Highest Volume — 36,855 contracts
  • 2015-07-02: Largest IV drop — 11.5% change
  • 2015-07-01: Highest IV Rank — 48.5%
  • 2015-07-08: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.37$32.42$36.52$32.62$36.22
Max Pain$34.36$34.00$38.00$38.00$34.00
ATM IV34.1%29.9%41.1%41.1%29.9%
Expected Move9.7%8.6%10.5%10.5%8.6%
HV 20d27.0%22.4%32.7%24.5%31.8%
HV 60d34.8%33.3%36.4%34.3%35.1%
IV Rank30.9%20.7%48.5%48.5%20.7%
IV Percentile68.7%33.3%96.8%96.8%33.3%
Term Structure-0.6%-3.6%0.6%-3.6%0.6%
VWIV34.0%31.0%37.4%37.4%32.2%
Skew 25d3.0%0.7%8.6%8.6%1.7%
Skew 10d5.0%-0.2%9.0%5.0%2.9%
Call IV 25d33.3%29.3%37.3%34.2%29.7%
Put IV 25d36.2%31.4%42.8%42.8%31.4%
Bid-Ask Spread %31.1115.8057.1257.1219.76
Gamma HHI0.160.110.400.120.11
Net GEX6.3M2.1M12.3M2.1M7.6M
Net DEX-15.8M-185.7M130.0M130.0M-181.8M
Net VEX-1.0M-1.2M-913.8K-924.8K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.321.180.900.82
Total Volume17,941.13610,37436,85516,58714,586
Total OI244,635.955195,043291,907264,885225,372

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$32.62$38.0041.1%10.5%24.5%48.5%37.4%8.6%-3.6%2.1M130.0M-924.8K0.9057.128,7417,846173,77691,109
2015-07-02$32.53$38.0036.4%10.4%24.4%36.8%35.7%1.7%-1.3%2.5M129.5M-927.0K1.0354.125,4415,584176,76994,317
2015-07-06$32.97$34.0036.6%10.1%25.4%37.4%35.4%6.8%-1.2%2.9M117.1M-935.0K0.6240.496,4193,955174,66691,451
2015-07-07$33.39$34.0035.8%10.0%24.5%34.8%34.6%4.7%-1.6%3.8M77.9M-970.0K0.5443.427,0323,805178,13286,897
2015-07-08$32.42$34.0038.6%10.5%22.4%41.4%35.0%3.4%-1.0%3.2M105.3M-913.8K0.6129.447,2314,403180,62387,234
2015-07-09$32.60$34.0036.3%10.1%22.5%36.1%35.4%0.7%-0.0%4.2M102.1M-939.1K0.5228.807,2393,770183,59888,054
2015-07-10$33.83$34.0034.1%9.7%26.3%30.7%34.3%3.6%-1.1%6.2M65.3M-981.2K0.3530.1817,2286,003185,70987,635
2015-07-13$33.90$34.0033.8%9.4%26.1%30.2%32.3%0.9%0.3%7.3M52.3M-969.6K0.5326.667,7544,100185,02084,778
2015-07-14$33.87$34.0034.3%9.9%24.9%31.3%34.3%2.5%0.5%7.6M62.3M-971.4K1.1832.7710,13111,965185,99585,636
2015-07-15$33.90$34.0035.4%10.1%24.7%33.8%35.0%2.5%-0.2%7.4M65.5M-996.5K0.7836.649,2687,219186,96491,393
2015-07-16$34.53$34.0034.0%9.6%25.5%30.6%33.9%2.9%-0.9%10.4M37.4M-1.0M0.3636.8416,4935,886189,61193,129
2015-07-17$34.75$34.0033.7%9.6%25.6%29.9%33.7%1.0%-0.2%4.8M4.4M-1.0M0.3229.8520,5896,664198,67093,237
2015-07-20$34.31$34.0034.2%9.8%25.7%31.0%34.4%2.6%-1.5%5.2M-75.0M-1.0M0.3726.3310,5743,944143,22451,819
2015-07-21$34.73$34.0034.4%9.9%25.3%31.5%35.1%3.6%-0.6%6.1M-89.3M-1.1M0.6824.357,9305,385147,19352,667
2015-07-22$35.11$34.0033.3%9.5%25.4%28.9%33.1%3.0%-0.8%6.7M-109.7M-1.1M0.4328.2713,5795,886150,11654,268
2015-07-23$36.52$34.0030.6%8.8%28.7%22.4%31.0%2.5%-0.8%8.7M-185.7M-1.2M0.3628.7927,0989,757155,77356,057
2015-07-24$35.04$34.0033.1%9.6%32.7%28.5%33.1%2.5%-1.3%12.3M-104.3M-1.1M0.4615.8018,4418,424157,29258,884
2015-07-27$35.03$34.0032.9%9.5%32.7%28.0%34.2%2.8%-0.1%6.0M-102.9M-1.1M0.9622.879,6639,238150,45454,369
2015-07-28$36.04$34.0030.4%8.8%31.5%22.1%32.3%3.3%0.5%6.7M-141.3M-1.2M0.5021.9714,2127,037153,56757,637
2015-07-29$35.54$34.0031.0%9.0%32.1%23.4%33.9%3.2%0.1%9.0M-132.5M-1.2M1.0830.436,4917,002160,91657,831
2015-07-30$36.34$34.0030.1%8.9%31.8%21.4%31.7%1.3%0.3%8.5M-174.6M-1.2M0.3719.4615,0765,616161,21358,936
2015-07-31$36.22$34.0029.9%8.6%31.8%20.7%32.2%1.7%0.6%7.6M-181.8M-1.2M0.8219.767,9966,590166,21159,161