LUV Options History — March 2016

In March 2016, LUV traded between $41.41 and $45.03. ATM implied volatility averaged 28.8%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 4.5% (HV 20d: 24.3%). Max pain ranged from $38.00 to $43.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.47.

Notable Days

  • 2016-03-09: Highest Volume — 36,645 contracts
  • 2016-03-23: Largest IV spike — 5.7% change
  • 2016-03-24: Highest IV Rank — 33.5%
  • 2016-03-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.41$41.41$45.03$42.41$44.89
Max Pain$41.41$38.00$43.50$38.00$43.50
ATM IV28.8%26.8%31.4%30.2%30.0%
Expected Move8.0%7.2%9.0%9.0%7.4%
HV 20d24.3%18.3%39.1%39.1%18.3%
HV 60d34.2%32.1%40.1%40.0%32.1%
IV Rank20.6%10.6%33.5%27.6%26.7%
IV Percentile21.3%6.3%45.2%29.0%29.8%
Term Structure1.0%-1.7%5.1%0.4%-0.8%
VWIV28.4%24.4%33.1%33.1%25.1%
Skew 25d4.0%2.5%5.2%4.8%4.1%
Skew 10d9.2%4.6%15.8%6.8%7.5%
Call IV 25d27.3%24.1%29.8%28.2%28.3%
Put IV 25d31.3%28.0%34.6%33.0%32.4%
Bid-Ask Spread %43.3418.6079.3721.1479.37
Gamma HHI0.160.080.310.090.19
Net GEX9.2M3.6M16.6M7.4M8.5M
Net DEX-159.3M-292.2M-94.0M-153.5M-131.3M
Net VEX-793.3K-835.3K-765.9K-809.1K-790.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.483.260.970.48
Total Volume18,487.4559,14236,64510,39512,254
Total OI151,950.31899,304200,004153,662107,470

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$42.41$38.0030.2%9.0%39.1%27.6%33.1%4.8%0.4%7.4M-153.5M-809.1K0.9721.145,2645,131106,71746,945
2016-03-02$41.88$38.0028.9%8.7%34.0%21.1%30.4%4.4%1.0%6.0M-133.4M-780.5K0.7527.046,7265,051107,04047,450
2016-03-03$42.08$41.0027.4%8.2%34.0%13.7%30.1%3.9%1.0%6.8M-137.8M-787.6K0.6329.9614,3949,107108,64848,624
2016-03-04$41.50$41.0027.7%8.5%34.4%15.3%30.1%4.8%0.7%5.7M-118.1M-784.9K1.1449.346,6807,583117,69553,194
2016-03-07$41.41$41.0028.3%8.5%26.8%18.4%30.5%4.1%1.2%5.3M-114.3M-765.9K1.9330.549,25417,875111,08651,642
2016-03-08$41.56$41.0028.1%8.2%24.0%17.3%30.7%3.6%-0.0%3.6M-110.1M-787.0K2.4851.685,60713,933113,90961,738
2016-03-09$42.22$41.0028.9%8.5%23.9%21.5%28.6%3.1%0.7%5.9M-140.9M-801.1K0.8644.2219,65316,992115,00566,834
2016-03-10$42.16$41.0028.7%8.5%24.2%20.2%30.5%3.7%1.4%8.1M-148.0M-827.9K1.6728.938,08413,463126,99867,641
2016-03-11$43.36$41.0027.1%8.1%24.7%12.3%28.0%4.0%1.6%12.0M-221.8M-823.3K1.1830.8411,49213,544125,42067,564
2016-03-14$43.94$41.0027.5%7.8%24.3%14.0%28.5%3.7%5.1%14.9M-245.9M-835.3K1.9322.717,42314,313127,51962,936
2016-03-15$43.57$41.0028.3%8.2%24.6%18.4%28.4%3.4%3.7%14.9M-227.4M-810.8K3.2618.603,96912,938127,73064,272
2016-03-16$44.14$41.0027.0%7.7%21.8%11.6%30.7%4.8%2.6%16.6M-264.5M-807.5K2.3936.116,27915,027128,17264,807
2016-03-17$43.75$41.0027.1%7.6%22.4%12.5%27.6%2.5%3.3%16.2M-244.4M-776.3K1.9931.997,98315,861128,62166,075
2016-03-18$44.47$42.0026.8%7.4%22.7%10.6%24.4%3.8%3.1%13.9M-292.2M-776.2K1.4127.309,58013,494132,10867,896
2016-03-21$45.03$42.0027.7%7.2%19.5%15.0%25.7%3.0%-0.2%9.8M-142.2M-780.9K1.9727.615,14210,14671,28428,020
2016-03-22$44.63$42.0029.0%7.4%20.1%21.5%26.2%4.5%-0.3%10.3M-126.3M-776.7K1.8169.414,8488,76473,33829,918
2016-03-23$44.50$42.0030.6%7.5%20.3%29.8%27.3%3.7%0.1%10.7M-119.8M-783.7K2.2637.095,51312,48574,30230,887
2016-03-24$44.02$43.5031.4%7.9%18.6%33.5%26.8%5.2%-1.7%5.2M-97.4M-779.7K1.1269.908,8319,87975,22333,294
2016-03-28$43.86$43.0030.9%7.8%18.5%31.2%28.1%4.1%0.2%5.6M-94.0M-774.2K0.8969.644,8404,30269,46930,237
2016-03-29$44.61$43.0031.2%7.6%19.1%32.7%26.8%5.2%-0.3%6.6M-110.6M-796.2K0.5776.267,1884,13369,87631,003
2016-03-30$44.98$43.0030.1%7.5%19.1%27.0%26.4%3.6%-0.4%7.7M-131.3M-797.6K0.7373.786,7794,92072,65831,642
2016-03-31$44.89$43.5030.0%7.4%18.3%26.7%25.1%4.1%-0.8%8.5M-131.3M-790.2K0.4879.378,2713,98374,87332,597