LUV Options History — November 2015

In November 2015, LUV traded between $45.74 and $47.47. ATM implied volatility averaged 27.8%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.1% (HV 20d: 24.7%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2015-11-02: Highest Volume — 24,880 contracts
  • 2015-11-23: Largest IV drop — 9.1% change
  • 2015-11-18: Highest IV Rank — 23.5%
  • 2015-11-04: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.46$45.74$47.47$46.70$45.88
Max Pain$40.60$39.00$42.00$39.00$42.00
ATM IV27.8%25.3%30.2%28.5%26.0%
Expected Move8.1%7.2%9.4%8.9%7.8%
HV 20d24.7%11.8%34.7%34.7%14.3%
HV 60d26.6%24.9%28.1%28.1%24.9%
IV Rank11.2%0.0%23.5%14.4%3.5%
IV Percentile9.8%0.0%27.8%10.3%1.2%
Term Structure0.1%-1.3%1.5%0.1%0.5%
VWIV29.4%25.4%32.8%30.5%27.4%
Skew 25d3.9%2.7%5.3%3.6%3.8%
Skew 10d8.9%3.9%15.5%8.6%10.0%
Call IV 25d26.4%24.0%28.5%27.3%25.0%
Put IV 25d30.3%27.9%32.9%30.9%28.8%
Bid-Ask Spread %21.0413.4930.2222.6130.22
Gamma HHI0.120.100.160.120.12
Net GEX12.8M8.0M17.9M12.9M9.1M
Net DEX-408.2M-473.9M-303.7M-440.7M-304.7M
Net VEX-1.1M-1.2M-998.9K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.221.460.360.70
Total Volume10,841.53,36124,88024,8803,361
Total OI208,699.1178,214225,378198,144191,872

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$46.70$39.0028.5%8.9%34.7%14.4%30.5%3.6%0.1%12.9M-440.7M-1.1M0.3622.6118,2536,627150,39347,751
2015-11-03$46.79$39.0029.2%9.0%31.0%18.4%32.1%3.5%0.1%15.5M-465.9M-1.2M1.0015.766,9796,989162,69950,598
2015-11-04$46.61$40.0030.0%9.4%31.3%22.5%32.8%3.6%-0.5%15.8M-451.2M-1.2M0.6413.497,0194,457164,69052,997
2015-11-05$46.65$40.0028.2%8.2%31.4%13.0%28.9%3.9%1.0%16.2M-458.9M-1.2M0.7922.316,8365,409168,26353,980
2015-11-06$46.85$40.0026.9%7.7%30.2%6.3%28.5%4.4%1.5%17.9M-473.9M-1.2M0.5920.874,3782,594169,84555,533
2015-11-09$46.37$40.0027.2%8.1%30.0%7.7%31.2%2.7%0.5%14.1M-427.7M-1.2M0.4122.655,1492,112159,23454,289
2015-11-10$46.46$40.0027.2%7.9%29.7%7.5%28.1%4.1%0.4%14.3M-431.2M-1.1M0.6315.584,9073,096160,32855,553
2015-11-11$46.66$40.0027.1%7.8%29.6%6.9%28.3%3.6%-0.2%14.7M-448.2M-1.1M0.6422.504,9113,119161,00655,798
2015-11-12$46.67$40.0026.7%7.7%29.6%5.1%28.1%2.7%0.5%14.9M-452.1M-1.1M0.6518.424,9893,262161,43656,134
2015-11-13$45.93$40.0028.3%8.2%29.7%13.7%27.8%3.5%0.4%13.8M-400.9M-1.1M0.9117.855,6445,156161,39756,243
2015-11-16$45.74$40.0028.5%8.2%29.5%14.7%29.5%4.4%0.5%14.5M-383.5M-1.1M0.7717.232,5061,927156,08753,191
2015-11-17$46.00$40.0029.6%8.5%29.3%20.4%29.7%4.2%-0.5%13.6M-398.2M-1.0M0.5119.125,7022,909154,55753,474
2015-11-18$46.35$40.0030.2%8.7%28.9%23.5%32.3%5.0%-1.3%13.9M-417.2M-1.0M1.3321.435,1596,837155,26753,843
2015-11-19$46.87$42.0028.4%8.1%15.2%14.2%31.7%4.4%0.3%10.9M-451.5M-1.0M1.4619.434,7826,978155,39757,354
2015-11-20$47.21$42.0027.8%8.0%12.3%11.0%30.4%5.3%0.2%8.0M-463.7M-1.0M0.7518.395,3724,047156,20859,518
2015-11-23$47.47$42.0025.3%7.2%11.8%0.0%25.4%3.9%-0.5%8.8M-364.7M-998.9K0.2224.5616,7513,636123,40054,814
2015-11-24$46.23$42.0027.0%7.9%15.1%8.6%28.1%3.8%-0.1%9.5M-317.7M-1.1M0.3522.118,9353,102137,21656,265
2015-11-25$45.88$42.0026.5%7.7%15.4%6.3%27.8%4.0%-0.2%8.9M-308.4M-1.1M0.3826.608,4993,261141,10057,642
2015-11-27$45.82$42.0026.6%7.8%14.9%6.8%28.7%3.9%-0.3%8.4M-303.7M-1.0M0.4029.617,9673,213140,66857,942
2015-11-30$45.88$42.0026.0%7.8%14.3%3.5%27.4%3.8%0.5%9.1M-304.7M-1.0M0.7030.221,9761,385135,84056,032