LUV Options History — September 2015

In September 2015, LUV traded between $36.37 and $39.46. ATM implied volatility averaged 33.3%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.7% (HV 20d: 24.5%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2015-09-25: Highest Volume — 21,264 contracts
  • 2015-09-22: Largest IV spike — 12.2% change
  • 2015-09-01: Highest IV Rank — 42.3%
  • 2015-09-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.25$36.37$39.46$36.37$38.02
Max Pain$37.05$36.00$38.00$36.00$38.00
ATM IV33.3%30.3%39.5%39.5%33.4%
Expected Move9.3%8.1%11.6%11.6%8.8%
HV 20d24.5%19.4%28.4%24.3%21.4%
HV 60d27.3%26.9%28.2%28.2%27.0%
IV Rank24.0%17.1%42.3%42.3%20.4%
IV Percentile57.6%27.4%93.7%93.7%59.1%
Term Structure0.3%-1.6%3.1%-0.1%-0.9%
VWIV32.3%27.0%42.7%42.7%32.0%
Skew 25d5.1%3.1%6.4%6.4%5.1%
Skew 10d10.6%5.8%18.0%15.4%9.8%
Call IV 25d31.2%27.2%37.2%37.2%31.3%
Put IV 25d36.3%31.1%43.6%43.6%36.4%
Bid-Ask Spread %39.6422.9871.5271.5229.78
Gamma HHI0.140.070.270.070.16
Net GEX8.9M4.5M18.8M5.0M5.6M
Net DEX-150.2M-252.4M-82.9M-88.4M-102.6M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.082.061.050.80
Total Volume12,4564,93521,26412,1407,371
Total OI198,978.762161,507227,543204,085185,499

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$36.37$36.0039.5%11.6%24.3%42.3%42.7%6.4%-0.1%5.0M-88.4M-1.1M1.0571.525,9356,205149,41454,671
2015-09-02$37.62$36.0036.0%10.1%27.5%33.5%36.3%5.8%-1.0%6.7M-128.3M-1.2M0.8669.996,7005,746149,51655,447
2015-09-03$37.48$37.0034.4%10.1%27.5%29.4%35.1%5.5%0.1%6.9M-130.4M-1.1M0.8237.448,7467,207151,43555,766
2015-09-04$37.32$37.0034.7%10.2%27.4%30.3%35.3%5.5%0.9%6.6M-120.9M-1.1M0.8538.568,0566,824154,95857,379
2015-09-08$38.11$37.0033.0%9.5%28.4%26.0%34.2%3.9%-0.1%8.6M-152.0M-1.1M0.3140.383,7631,172153,35155,382
2015-09-09$38.28$37.0032.4%9.6%27.8%24.5%31.9%3.1%0.7%9.5M-165.6M-1.1M0.7142.906,1704,402155,42755,769
2015-09-10$38.31$37.0032.4%9.4%27.6%24.6%33.1%5.4%0.6%9.9M-166.1M-1.1M0.5740.507,4654,257156,42556,028
2015-09-11$38.49$37.0033.1%9.4%27.5%24.1%32.9%4.5%-0.1%10.2M-167.9M-1.1M0.3243.2912,2003,931154,69456,414
2015-09-14$38.80$37.0032.6%9.3%27.4%22.8%33.9%4.9%2.7%12.3M-190.8M-1.1M0.8048.525,3604,280158,56455,549
2015-09-15$38.90$37.0031.7%9.1%25.5%20.7%31.6%4.8%2.8%13.1M-198.6M-1.1M0.0847.3114,4421,110159,00956,276
2015-09-16$39.17$37.0030.7%8.8%25.7%18.0%31.8%5.3%3.1%15.1M-227.1M-1.1M0.6945.796,4094,447168,13956,720
2015-09-17$39.46$37.0030.4%8.7%25.7%17.5%30.0%4.9%0.7%17.6M-252.4M-1.1M0.3848.7512,5434,705168,62357,135
2015-09-18$39.42$37.0030.3%8.5%22.6%17.1%29.0%3.2%1.2%18.8M-251.8M-1.1M0.5842.428,4764,924170,25857,285
2015-09-21$39.38$37.0030.4%8.1%19.4%17.1%27.0%4.5%0.5%7.8M-159.8M-1.0M1.3924.844,7536,621122,10139,406
2015-09-22$38.10$37.0034.1%8.8%22.7%24.6%31.6%5.9%-1.6%5.2M-118.3M-1.0M1.1434.143,9334,484124,11542,892
2015-09-23$38.59$37.0033.1%8.7%21.5%20.6%30.9%5.2%-0.4%5.5M-128.9M-1.0M1.2322.983,4644,261124,61643,673
2015-09-24$38.20$37.0033.7%8.7%21.2%21.7%28.5%5.7%-0.6%4.5M-112.0M-1.0M0.3024.2813,7564,142125,28943,998
2015-09-25$38.13$37.0032.7%8.4%21.1%19.0%29.2%6.3%-0.8%8.0M-125.0M-1.0M2.0627.646,94914,315135,64144,500
2015-09-28$37.53$38.0035.2%9.6%21.9%25.4%32.1%5.8%-0.2%4.7M-82.9M-1.0M0.4826.536,3933,070132,08850,759
2015-09-29$37.65$38.0034.9%9.2%21.6%24.5%30.3%5.2%-0.3%4.7M-84.3M-1.0M0.3824.849,1553,434132,76151,582
2015-09-30$38.02$38.0033.4%8.8%21.4%20.4%32.0%5.1%-0.9%5.6M-102.6M-1.0M0.8029.784,0853,286133,58751,912