LUV Options History — January 2016

In January 2016, LUV traded between $36.22 and $42.83. ATM implied volatility averaged 36.1%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 5.7% (HV 20d: 30.4%). Max pain ranged from $39.00 to $44.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2016-01-05: Highest Volume — 18,744 contracts
  • 2016-01-21: Largest IV drop — 10.9% change
  • 2016-01-20: Highest IV Rank — 79.9%
  • 2016-01-20: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.05$36.22$42.83$41.94$36.49
Max Pain$41.45$39.00$44.00$44.00$39.00
ATM IV36.1%33.0%40.7%35.4%33.9%
Expected Move10.2%9.5%11.7%9.7%9.8%
HV 20d30.4%23.7%45.8%45.8%28.7%
HV 60d33.5%31.6%35.6%34.5%32.3%
IV Rank57.0%41.6%79.9%53.4%46.2%
IV Percentile85.2%64.7%98.8%84.5%74.2%
Term Structure-0.6%-2.2%0.8%0.1%0.1%
VWIV35.6%32.7%41.3%32.8%33.7%
Skew 25d5.8%4.6%7.1%5.7%4.6%
Skew 10d11.4%6.7%17.7%11.0%13.2%
Call IV 25d33.9%31.3%37.8%33.1%32.4%
Put IV 25d39.7%36.7%44.9%38.8%37.0%
Bid-Ask Spread %36.2825.1147.6627.1425.11
Gamma HHI0.100.070.130.100.12
Net GEX3.7M-451.7K7.0M5.3M-396.6K
Net DEX-27.8M-102.4M47.7M-57.6M41.0M
Net VEX-778.2K-919.2K-601.8K-865.6K-628.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.541.540.601.11
Total Volume13,479.3689,47618,74413,6239,476
Total OI159,875.053107,772202,721185,279134,551

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$41.94$44.0035.4%9.7%45.8%53.4%32.8%5.7%0.1%5.3M-57.6M-865.6K0.6027.148,5345,089129,27356,006
2016-01-05$42.50$43.0034.8%9.5%42.3%50.6%32.7%5.3%-0.6%6.1M-85.8M-894.2K0.5529.5912,0966,648130,76657,006
2016-01-06$42.83$43.0035.4%9.5%42.5%53.2%35.0%5.0%-1.1%7.0M-102.4M-918.4K1.1830.256,1707,291133,73858,070
2016-01-07$41.96$43.0038.1%10.2%27.9%66.9%36.0%6.3%-2.2%5.9M-64.0M-901.6K0.8439.046,1925,191135,35160,082
2016-01-08$42.20$43.0037.2%10.1%27.7%62.4%35.3%5.9%-0.2%5.5M-78.4M-919.2K0.6140.049,1275,539137,31460,589
2016-01-11$42.10$42.0036.7%10.1%26.8%60.0%34.0%6.9%-1.2%6.0M-68.7M-868.5K0.9746.184,9434,777134,47859,209
2016-01-12$42.71$42.0034.9%9.6%23.7%51.1%33.6%5.0%-1.5%6.2M-97.4M-869.4K1.5447.665,0467,755135,04158,611
2016-01-13$40.41$42.0037.8%10.5%30.4%65.4%36.2%6.9%-1.1%4.8M-6.7M-778.3K0.8339.965,9914,968135,01861,140
2016-01-14$40.49$42.0037.8%10.7%29.8%65.3%39.9%4.6%-0.2%5.9M-14.4M-766.8K1.3440.547,2679,772136,49460,291
2016-01-15$39.81$42.0039.0%11.0%29.3%71.3%38.3%6.7%-1.4%2.8M23.4M-753.2K0.9243.767,3146,701138,97763,744
2016-01-19$39.67$42.0038.9%11.1%27.9%70.9%37.6%5.9%-0.6%2.7M-27.1M-751.5K0.8040.815,9894,81879,10128,671
2016-01-20$39.37$42.0040.7%11.7%27.6%79.9%41.3%7.1%-1.3%2.6M-22.9M-748.9K0.5441.3610,9355,88581,08429,632
2016-01-21$39.67$40.0036.3%10.4%27.4%57.9%36.0%6.0%0.8%3.5M-28.2M-752.2K0.7147.3910,8797,68387,26932,373
2016-01-22$38.97$40.0033.2%9.6%27.6%42.6%34.1%5.5%-0.6%2.5M-12.3M-726.6K0.6825.877,0354,75589,61534,383
2016-01-25$38.14$40.0034.3%10.1%28.1%48.2%36.1%5.7%-0.9%1.9M-3.2M-674.0K1.3933.646,7019,31184,53431,974
2016-01-26$38.26$40.0033.0%9.6%27.7%41.6%34.3%5.3%0.2%1.2M4.6M-711.8K0.7430.527,2625,36186,65937,781
2016-01-27$37.28$39.0033.5%9.8%28.4%44.1%34.2%6.4%0.6%412.9K24.9M-655.7K1.4233.884,9917,10888,84538,886
2016-01-28$36.22$39.5035.0%10.3%28.4%51.4%34.8%5.5%0.1%-451.7K47.7M-601.8K0.8626.596,1885,32089,62141,449
2016-01-29$36.49$39.0033.9%9.8%28.7%46.2%33.7%4.6%0.1%-396.6K41.0M-628.5K1.1125.114,4984,97891,61542,936