LUV Options History — December 2015

In December 2015, LUV traded between $42.88 and $49.58. ATM implied volatility averaged 31.2%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 7.8% (HV 20d: 39.0%). Max pain ranged from $36.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-12-08: Highest Volume — 77,441 contracts
  • 2015-12-08: Largest IV spike — 31.4% change
  • 2015-12-08: Highest IV Rank — 61.6%
  • 2015-12-08: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.87$42.88$49.58$47.04$43.26
Max Pain$40.95$36.00$42.00$42.00$42.00
ATM IV31.2%24.6%37.0%24.6%31.6%
Expected Move8.6%7.4%10.4%7.4%7.8%
HV 20d39.0%16.8%46.1%16.8%44.8%
HV 60d32.4%25.0%34.8%25.2%33.9%
IV Rank32.7%0.0%61.6%0.0%34.7%
IV Percentile45.2%0.0%89.7%0.0%47.6%
Term Structure0.5%-0.6%3.2%-0.0%-0.4%
VWIV30.1%26.3%36.4%26.3%29.8%
Skew 25d4.8%3.3%5.9%4.2%5.3%
Skew 10d9.9%4.2%14.5%9.9%6.4%
Call IV 25d29.7%23.4%35.1%23.4%30.1%
Put IV 25d34.4%27.5%40.5%27.5%35.4%
Bid-Ask Spread %41.3619.9979.4926.1479.49
Gamma HHI0.110.080.150.130.12
Net GEX7.4M3.5M12.2M11.0M5.7M
Net DEX-195.2M-478.4M-64.4M-355.2M-106.5M
Net VEX-1.1M-1.3M-946.6K-1.0M-946.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.231.080.230.54
Total Volume23,169.7734,81477,4414,81415,443
Total OI207,806.045182,067241,914193,478188,801

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$47.04$42.0024.6%7.4%16.8%0.0%26.3%4.2%-0.0%11.0M-355.2M-1.0M0.2326.143,926888136,35157,127
2015-12-02$47.52$42.0025.4%7.6%17.1%3.8%27.0%4.5%0.8%12.2M-386.3M-1.0M0.7442.3110,4787,732137,50957,621
2015-12-03$47.22$36.0026.2%7.8%17.2%8.0%27.0%4.4%0.4%11.2M-365.3M-1.0M0.8522.986,5535,546138,32059,833
2015-12-04$49.41$36.0025.9%7.8%23.4%6.1%28.8%3.8%0.1%10.9M-478.4M-993.9K1.0823.0215,39616,683139,02862,652
2015-12-07$49.58$38.0028.2%8.2%23.4%17.7%30.1%4.5%0.3%11.2M-467.9M-998.4K0.6125.9530,44218,537138,41366,285
2015-12-08$45.10$40.0037.0%10.4%41.7%61.6%36.4%5.4%-0.5%5.5M-161.6M-1.1M0.6719.9946,31731,124128,35868,537
2015-12-09$44.45$41.0035.9%10.2%41.9%55.9%34.3%5.9%-0.1%4.9M-138.0M-1.2M0.4935.4226,91713,247147,81381,169
2015-12-10$45.17$42.0033.0%9.5%42.4%41.4%30.5%4.5%0.2%7.8M-198.3M-1.3M0.6031.1618,99111,324156,57282,637
2015-12-11$43.38$42.0034.5%9.8%44.6%48.9%32.6%5.5%-0.2%3.5M-83.6M-1.2M1.0031.5219,20219,124158,94882,966
2015-12-14$43.68$42.0034.7%9.8%44.5%50.2%33.8%5.2%2.5%5.4M-119.7M-1.2M0.8831.6912,98811,399154,26580,415
2015-12-15$44.25$41.0032.7%9.4%44.8%40.2%32.3%5.4%1.9%6.5M-156.2M-1.2M0.6130.8911,3576,960154,79880,867
2015-12-16$44.89$41.0030.6%8.8%45.1%29.6%32.4%5.1%2.2%7.9M-190.4M-1.2M0.5138.0411,2255,777155,05281,089
2015-12-17$43.57$41.0031.8%9.0%46.1%35.6%30.3%4.1%2.7%5.7M-111.8M-1.1M0.5238.0713,2836,872154,98581,268
2015-12-18$42.88$41.0032.4%9.0%46.0%38.4%31.6%4.5%3.2%5.2M-64.4M-1.1M0.6531.6210,9097,076157,99981,608
2015-12-21$43.33$42.0032.0%8.6%46.1%36.6%29.9%5.4%0.5%5.6M-113.0M-1.1M0.5752.7410,1815,758126,58255,485
2015-12-22$43.51$42.0031.7%8.1%46.0%35.3%28.5%4.2%0.4%6.4M-123.4M-1.0M0.6156.928,2905,058128,97456,027
2015-12-23$43.45$42.0031.4%7.7%45.3%33.7%27.4%5.2%-0.6%6.5M-119.0M-1.0M0.6757.607,8155,272130,00156,464
2015-12-24$43.90$42.0031.5%7.7%45.5%33.9%27.3%3.3%-0.5%7.3M-142.6M-1.1M0.6362.998,5635,430130,71856,879
2015-12-28$43.84$42.0032.3%8.1%45.5%38.0%29.7%5.3%-0.5%6.9M-134.0M-1.0M0.7356.627,3105,308129,16555,795
2015-12-29$44.31$42.0031.4%7.8%45.7%33.8%27.5%5.3%-0.6%7.8M-162.5M-1.0M0.6657.337,3134,801130,02956,775
2015-12-30$43.36$42.0031.7%8.0%45.1%34.9%28.0%4.6%-0.0%6.7M-116.6M-964.4K0.5857.428,1804,740130,47157,082
2015-12-31$43.26$42.0031.6%7.8%44.8%34.7%29.8%5.3%-0.4%5.7M-106.5M-946.6K0.5479.4910,0285,415131,35957,442