LUV Options History — October 2015

In October 2015, LUV traded between $38.00 and $46.38. ATM implied volatility averaged 30.1%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.3% (HV 20d: 27.9%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2015-10-22: Highest Volume — 35,906 contracts
  • 2015-10-22: Largest IV drop — 16.2% change
  • 2015-10-21: Highest IV Rank — 32.8%
  • 2015-10-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.71$38.00$46.38$38.12$46.38
Max Pain$37.11$36.00$38.00$38.00$38.00
ATM IV30.1%25.8%34.1%33.5%26.6%
Expected Move8.6%7.5%9.6%8.7%8.0%
HV 20d27.9%17.8%35.7%17.9%35.2%
HV 60d27.2%25.0%28.8%26.1%28.2%
IV Rank14.7%0.2%32.8%20.7%4.4%
IV Percentile30.0%0.4%66.7%60.3%2.8%
Term Structure-0.4%-1.6%1.1%-0.3%1.1%
VWIV30.5%27.1%34.7%32.1%28.7%
Skew 25d4.1%3.1%5.5%4.7%3.8%
Skew 10d11.0%5.4%23.7%21.3%6.5%
Call IV 25d28.6%24.6%32.2%31.4%25.1%
Put IV 25d32.7%28.0%36.8%36.1%28.9%
Bid-Ask Spread %26.9420.7147.2327.0122.64
Gamma HHI0.170.130.220.160.14
Net GEX11.3M5.4M14.8M6.0M12.6M
Net DEX-278.0M-455.3M-104.7M-104.7M-455.3M
Net VEX-1.1M-1.1M-1.0M-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.180.960.960.49
Total Volume14,085.1826,14235,9066,14220,751
Total OI193,527.773177,675218,406186,696199,596

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$38.12$38.0033.5%8.7%17.9%20.7%32.1%4.7%-0.3%6.0M-104.7M-1.0M0.9627.013,1363,006134,51952,177
2015-10-02$38.29$38.0033.5%8.3%17.8%20.8%31.6%4.2%-0.7%5.4M-109.9M-1.0M0.3325.3013,0624,353134,41555,117
2015-10-05$39.30$37.0031.6%9.1%19.8%15.8%30.9%3.5%-0.0%9.1M-177.7M-1.0M0.2128.356,1171,268135,04653,971
2015-10-06$38.00$37.0034.1%9.6%22.4%22.2%34.7%5.2%-0.6%7.0M-114.6M-1.0M0.7225.125,9464,274138,43654,760
2015-10-07$38.63$37.0033.4%9.3%23.1%20.5%34.1%5.5%-0.3%9.1M-146.6M-1.0M0.5421.586,3863,459140,08755,823
2015-10-08$38.78$37.0032.2%9.1%23.1%17.2%34.3%4.5%-0.2%11.6M-166.1M-1.0M0.9028.225,5905,012145,51656,341
2015-10-09$40.05$36.0030.9%8.7%25.7%13.7%30.3%3.7%-0.6%13.5M-246.5M-1.0M0.7628.826,2924,775144,83556,737
2015-10-12$41.13$36.0030.7%8.6%27.1%13.2%30.9%4.5%-1.1%12.6M-277.8M-1.0M0.4026.0311,4944,549137,65753,221
2015-10-13$40.83$36.0030.5%8.6%27.3%12.7%30.4%4.7%-0.4%14.8M-279.0M-1.0M0.6929.557,7675,328143,68354,094
2015-10-14$40.80$37.0030.1%8.5%27.3%11.7%30.4%5.1%-0.1%14.3M-275.0M-1.0M0.5430.976,6373,560147,71755,599
2015-10-15$41.24$37.0031.8%9.0%27.4%16.1%30.0%4.3%-0.1%13.6M-310.9M-1.0M0.2435.2416,8593,996149,66355,923
2015-10-16$40.62$37.0031.6%8.9%28.1%23.8%31.9%3.2%-0.9%11.9M-295.4M-1.1M0.3426.0710,0343,388161,55356,853
2015-10-19$41.40$37.0031.3%8.9%28.7%27.2%30.3%4.1%-1.2%10.1M-228.3M-1.1M0.3524.407,4082,587136,72340,952
2015-10-20$41.27$37.0031.0%8.8%25.6%27.6%31.1%3.6%-0.8%10.6M-233.0M-1.1M0.6125.064,5012,759138,62541,327
2015-10-21$40.95$37.0032.0%9.2%25.7%32.8%31.5%3.1%-1.6%11.1M-226.4M-1.0M0.3724.2311,0264,073142,12541,640
2015-10-22$44.03$37.0026.8%7.7%35.1%5.6%27.2%3.4%-0.9%12.7M-380.0M-1.1M0.1847.2330,3705,536148,12243,114
2015-10-23$45.27$37.0025.8%7.5%35.7%0.2%27.1%4.0%-1.1%11.6M-434.2M-1.1M0.4724.6813,7816,523148,87944,068
2015-10-26$45.83$37.0026.1%7.8%34.5%2.0%28.1%3.3%0.5%11.7M-419.4M-1.1M0.5622.709,8595,486141,61042,279
2015-10-27$45.43$37.5026.8%8.0%35.1%5.8%28.5%4.1%0.5%12.6M-408.6M-1.1M0.5720.716,8893,945145,17344,548
2015-10-28$45.37$38.0026.9%8.1%35.3%6.1%27.7%3.8%-0.1%12.8M-402.4M-1.1M0.3823.6812,1304,669145,23745,057
2015-10-29$45.83$38.0026.1%7.9%35.2%2.1%28.7%3.4%0.4%12.9M-424.9M-1.1M0.5925.047,1094,184147,77747,016
2015-10-30$46.38$38.0026.6%8.0%35.2%4.4%28.7%3.8%1.1%12.6M-455.3M-1.1M0.4922.6413,8876,864151,61547,981