LUV Options History — April 2016

In April 2016, LUV traded between $43.59 and $47.65. ATM implied volatility averaged 30.3%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 12.0% (HV 20d: 18.3%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2016-04-22: Highest Volume — 42,875 contracts
  • 2016-04-21: Largest IV drop — 12.7% change
  • 2016-04-11: Highest IV Rank — 46.9%
  • 2016-04-11: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.52$43.59$47.65$44.56$44.60
Max Pain$43.90$43.00$45.00$43.50$45.00
ATM IV30.3%26.1%34.1%30.3%29.0%
Expected Move8.5%7.5%9.6%7.5%8.7%
HV 20d18.3%16.2%22.3%18.7%22.3%
HV 60d29.7%25.7%32.1%32.0%25.7%
IV Rank28.1%7.4%46.9%28.2%21.5%
IV Percentile37.5%3.2%78.2%34.5%25.0%
Term Structure-0.7%-2.3%0.7%-0.8%0.7%
VWIV30.2%26.1%33.0%26.1%30.8%
Skew 25d3.8%2.9%5.3%3.4%3.9%
Skew 10d8.1%3.7%17.4%8.1%9.9%
Call IV 25d28.9%24.9%32.6%28.9%28.0%
Put IV 25d32.7%28.7%36.8%32.4%31.9%
Bid-Ask Spread %53.0343.6480.8780.8759.29
Gamma HHI0.200.110.580.180.19
Net GEX9.4M3.6M27.4M7.3M3.8M
Net DEX-149.7M-292.7M-37.6M-121.5M-55.6M
Net VEX-859.6K-1.0M-751.9K-796.2K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.204.200.401.71
Total Volume15,388.6197,71642,87513,98711,992
Total OI122,641.048107,700142,283111,233140,844

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$44.56$43.5030.3%7.5%18.7%28.2%26.1%3.4%-0.8%7.3M-121.5M-796.2K0.4080.8710,0023,98578,05633,177
2016-04-04$44.04$43.0030.9%8.6%18.5%31.3%31.4%4.2%-0.3%7.1M-97.9M-759.4K1.3651.633,9095,32176,73630,964
2016-04-05$43.59$43.0031.3%8.6%19.0%33.0%31.5%3.5%-0.8%5.5M-80.5M-765.3K2.2151.342,5925,72677,35033,073
2016-04-06$43.69$43.0031.5%8.6%19.0%34.1%31.5%4.2%-0.1%5.3M-78.1M-751.9K1.4749.813,2644,79077,58034,336
2016-04-07$43.64$43.0031.6%8.8%18.3%34.6%31.9%5.3%0.0%4.6M-76.7M-769.6K0.8750.005,4464,74778,06835,205
2016-04-08$44.47$43.0033.3%9.3%19.3%43.1%32.3%5.1%-0.8%8.4M-107.4M-786.0K0.2046.6522,1784,34678,93835,617
2016-04-11$44.44$43.0034.1%9.6%16.8%46.9%33.0%4.2%-0.3%11.3M-135.4M-810.1K0.7146.105,9574,25792,85734,303
2016-04-12$44.65$43.0033.4%9.1%16.2%43.5%31.6%4.0%-1.1%13.5M-145.6M-806.0K0.8646.475,1494,42194,74335,167
2016-04-13$45.86$44.0032.3%8.8%18.3%38.1%31.7%2.9%-2.3%16.9M-209.5M-813.8K1.7743.646,02410,63896,40935,899
2016-04-14$46.74$44.0031.1%8.6%18.8%32.2%29.9%2.9%-1.3%18.3M-267.6M-799.4K0.3645.0612,7034,53297,12940,452
2016-04-15$47.00$44.0030.1%8.4%18.3%27.4%29.2%3.6%-1.6%27.4M-292.7M-796.0K0.8648.838,5377,307101,25241,031
2016-04-18$47.07$44.0030.5%8.6%17.7%29.3%30.6%2.9%-0.9%6.9M-185.2M-856.1K1.0047.194,2184,20578,06931,575
2016-04-19$47.09$44.0030.0%8.6%17.4%26.9%30.7%3.2%-0.9%7.1M-188.3M-857.3K1.1150.383,6584,05879,70732,606
2016-04-20$47.07$44.0029.9%8.6%16.9%26.3%30.3%3.3%-1.2%7.3M-190.7M-865.9K0.4750.4410,7205,03380,56333,322
2016-04-21$47.65$44.0026.1%7.5%17.1%7.4%26.1%3.9%-0.2%9.9M-230.0M-867.0K0.4957.6219,5329,54588,15334,792
2016-04-22$47.23$44.5027.5%8.0%16.9%14.4%28.0%4.1%-0.5%6.4M-209.8M-953.4K0.2453.4734,6498,22689,46839,514
2016-04-25$46.82$45.0027.1%8.0%17.2%12.1%27.8%4.0%-0.7%9.3M-167.2M-1.0M1.2152.114,9245,96486,91934,974
2016-04-26$46.18$45.0027.8%8.2%17.5%15.7%27.9%4.3%-0.5%9.1M-142.7M-1.0M1.6458.334,1996,87987,88935,480
2016-04-27$45.56$45.0028.8%8.5%18.1%20.5%30.4%3.6%-0.5%8.2M-122.7M-1.0M4.2060.344,87720,48488,72836,461
2016-04-28$44.03$45.0029.4%8.8%21.9%23.5%30.9%3.4%-1.3%3.6M-37.6M-972.7K1.9663.944,7949,37389,65748,399
2016-04-29$44.60$45.0029.0%8.7%22.3%21.5%30.8%3.9%0.7%3.8M-55.6M-1.0M1.7159.294,4287,56490,34850,496