LUV Options History — February 2016

In February 2016, LUV traded between $34.71 and $42.51. ATM implied volatility averaged 34.8%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 6.6% (HV 20d: 41.4%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.80.

Notable Days

  • 2016-02-10: Highest Volume — 34,364 contracts
  • 2016-02-02: Largest IV spike — 15.5% change
  • 2016-02-08: Highest IV Rank — 77.0%
  • 2016-02-11: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.29$34.71$42.51$38.34$42.07
Max Pain$37.25$37.00$39.00$39.00$37.00
ATM IV34.8%31.3%40.1%31.3%31.8%
Expected Move10.0%9.2%11.3%9.2%9.3%
HV 20d41.4%35.3%45.2%35.3%42.2%
HV 60d38.2%34.1%40.4%34.1%40.1%
IV Rank50.4%33.2%77.0%33.2%35.6%
IV Percentile73.6%43.3%98.4%43.3%51.2%
Term Structure-0.1%-2.6%3.7%0.0%1.0%
VWIV35.1%31.1%40.1%32.0%32.9%
Skew 25d5.6%3.5%7.2%3.5%4.2%
Skew 10d13.4%6.0%26.3%12.3%9.0%
Call IV 25d32.6%29.6%37.4%30.5%30.3%
Put IV 25d38.1%34.0%43.7%34.0%34.5%
Bid-Ask Spread %26.0818.7636.8824.6833.41
Gamma HHI0.130.060.320.100.08
Net GEX1.2M-8.5M7.7M1.6M6.9M
Net DEX-38.5M-190.6M76.3M-21.7M-149.6M
Net VEX-734.3K-844.3K-626.6K-737.9K-817.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.406.230.441.04
Total Volume20,347.1511,60534,36414,33111,605
Total OI167,603136,966199,474136,966152,970

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$38.34$39.0031.3%9.2%35.3%33.2%32.0%3.5%0.0%1.6M-21.7M-737.9K0.4424.689,9664,36595,56541,401
2016-02-02$36.46$39.0036.2%10.6%37.7%57.4%37.0%7.2%0.3%431.5K23.1M-648.5K0.8727.878,2247,14696,68242,044
2016-02-03$36.82$38.0034.5%9.9%37.5%49.1%34.0%5.9%-0.2%302.2K17.7M-681.7K1.7930.5210,88419,53598,58846,009
2016-02-04$37.54$37.0033.2%9.4%38.3%42.4%39.5%4.8%0.2%1.1M-4.6M-737.2K2.9519.158,67725,599104,55455,104
2016-02-05$35.59$37.0037.4%10.4%41.5%63.4%38.4%7.0%3.7%-1.5M48.4M-708.6K1.6236.886,53410,591107,23862,191
2016-02-08$34.71$37.0040.1%11.0%41.6%77.0%40.1%5.6%-2.6%-2.2M72.6M-626.6K2.6334.306,29816,591103,65661,822
2016-02-09$35.31$37.0039.1%11.2%42.6%71.8%39.5%5.6%0.2%-3.5M64.8M-675.9K3.7126.755,92421,952105,29668,090
2016-02-10$35.55$37.0038.4%10.8%42.2%68.5%38.5%6.2%-0.8%-5.8M56.9M-701.8K6.2322.874,75429,610107,15874,792
2016-02-11$35.42$37.0039.5%11.3%38.5%73.6%38.0%7.0%0.5%-8.5M76.3M-691.7K2.4529.005,17912,685107,79686,238
2016-02-12$36.21$37.0037.7%10.7%39.7%64.7%36.1%6.4%-0.7%-2.9M38.0M-698.6K1.5623.608,16812,760108,96290,512
2016-02-16$37.03$37.0035.7%10.2%40.7%55.1%35.2%7.2%0.4%-703.2K-2.1M-686.0K1.8320.064,5058,261107,16980,336
2016-02-17$38.52$37.0033.4%9.6%43.5%43.7%33.5%5.6%-0.2%275.2K-58.6M-730.0K1.5221.125,7078,679107,99380,305
2016-02-18$38.98$37.0032.7%9.4%43.6%40.3%32.1%6.2%0.2%1.9M-86.6M-753.2K1.5018.765,9618,922109,05180,900
2016-02-19$39.33$37.0032.3%9.3%43.7%38.2%32.8%4.9%-0.6%3.2M-98.9M-734.9K2.2220.254,3179,603110,14181,983
2016-02-22$40.85$37.0032.3%9.3%45.2%37.9%32.4%5.7%-1.1%4.1M-106.0M-763.7K0.4025.7220,9388,47896,74444,394
2016-02-23$41.08$37.0032.0%9.4%44.3%36.4%32.6%4.3%-0.6%6.5M-127.5M-807.5K0.6123.3810,7806,624105,94747,376
2016-02-24$41.31$37.0031.8%9.2%44.3%35.5%31.1%4.4%-0.5%7.0M-133.8M-802.7K0.8125.049,1127,366107,38248,473
2016-02-25$42.51$37.0033.5%9.8%43.7%43.9%34.9%4.7%-1.0%7.7M-188.2M-838.7K0.5421.6216,0298,699108,99850,101
2016-02-26$42.25$37.0032.6%9.5%41.9%39.8%32.2%5.2%-0.8%7.3M-190.6M-844.3K1.1836.577,2848,631115,24652,853
2016-02-29$42.07$37.0031.8%9.3%42.2%35.6%32.9%4.2%1.0%6.9M-149.6M-817.2K1.0433.415,6875,918107,62945,341