LUV Options History — May 2016

In May 2016, LUV traded between $41.21 and $43.99. ATM implied volatility averaged 29.1%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 4.2% (HV 20d: 24.9%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2016-05-06: Highest Volume — 20,253 contracts
  • 2016-05-04: Largest IV spike — 7.4% change
  • 2016-05-04: Highest IV Rank — 39.3%
  • 2016-05-04: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.29$41.21$43.99$43.99$42.48
Max Pain$40.19$39.00$45.00$45.00$40.00
ATM IV29.1%24.9%32.6%29.6%25.8%
Expected Move8.4%6.9%9.9%9.0%7.2%
HV 20d24.9%22.4%26.4%22.4%23.5%
HV 60d22.7%21.1%25.8%25.8%21.5%
IV Rank22.4%1.2%39.3%24.8%5.6%
IV Percentile27.1%0.4%63.9%28.2%1.6%
Term Structure0.1%-1.5%0.9%-0.2%-0.7%
VWIV30.6%25.5%38.6%31.9%26.0%
Skew 25d4.0%3.0%4.8%4.2%4.6%
Skew 10d7.3%3.8%17.6%5.6%3.9%
Call IV 25d27.7%23.9%30.4%27.5%24.5%
Put IV 25d31.7%26.9%34.7%31.7%29.1%
Bid-Ask Spread %28.9015.1673.6870.7915.16
Gamma HHI0.100.060.180.180.11
Net GEX2.5M152.7K4.8M2.6M4.2M
Net DEX-20.4M-68.3M34.1M-38.7M-58.1M
Net VEX-821.5K-969.1K-703.7K-969.1K-703.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.241.670.980.85
Total Volume13,417.9057,67220,2537,67212,287
Total OI139,342.429112,109161,015136,286112,109

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$43.99$45.0029.6%9.0%22.4%24.8%31.9%4.2%-0.2%2.6M-38.7M-969.1K0.9870.793,8823,79087,61348,673
2016-05-03$43.13$45.0030.3%9.3%23.3%28.2%32.4%4.2%0.1%1.7M-11.2M-919.3K1.0770.824,8205,15688,34149,221
2016-05-04$41.62$45.0032.6%9.9%26.3%39.3%35.3%4.3%-0.9%675.6K29.3M-833.7K1.6773.686,01910,06788,67449,929
2016-05-05$41.54$41.0031.5%9.0%26.3%34.3%31.1%4.3%0.3%179.7K30.1M-841.6K0.8446.817,2226,03390,47253,465
2016-05-06$41.71$41.0031.7%8.8%25.2%34.9%28.8%4.5%-0.0%152.7K34.1M-861.9K0.9719.9710,3059,94893,17054,914
2016-05-09$42.21$39.0030.6%8.7%25.8%29.9%29.9%3.8%-0.1%1.3M-9.8M-867.6K1.0622.438,4779,02795,28950,880
2016-05-10$42.84$39.0029.4%8.3%26.4%23.6%25.5%4.2%-0.1%1.8M-28.3M-886.1K0.3616.849,3533,39397,98951,276
2016-05-11$42.13$39.0029.8%8.6%24.6%25.8%38.4%3.9%0.6%1.4M-8.0M-836.4K0.5421.979,9085,35997,77751,431
2016-05-12$41.21$39.0030.8%9.0%23.7%30.8%38.6%3.7%0.7%644.3K17.5M-803.4K0.4221.098,7603,66198,68651,991
2016-05-13$41.56$39.0030.9%8.8%23.9%31.3%35.0%4.0%-0.1%717.6K9.5M-812.5K0.4720.998,0083,79998,60952,152
2016-05-16$42.26$39.0030.4%8.8%25.2%28.8%28.2%4.0%-1.5%1.3M-10.4M-824.0K0.2418.5114,5213,48997,52751,474
2016-05-17$42.57$39.0030.3%8.7%25.5%28.0%26.6%4.8%0.8%3.1M-25.5M-849.9K0.4423.357,8593,496105,10151,818
2016-05-18$42.82$39.0028.7%8.2%25.7%20.1%30.9%3.8%0.3%4.5M-36.6M-842.3K0.5124.358,8694,484107,16851,943
2016-05-19$42.23$39.0030.0%8.6%25.1%26.8%26.6%4.3%0.0%4.4M-16.7M-822.2K0.4420.868,1153,568108,50752,450
2016-05-20$42.15$39.0028.7%8.2%25.1%20.4%36.7%4.4%0.9%3.4M-19.4M-812.4K0.4717.359,6304,560108,86252,153
2016-05-23$42.19$39.0027.6%7.9%25.2%14.6%30.7%3.3%0.5%3.8M-52.3M-790.4K0.5917.706,5413,87878,48636,410
2016-05-24$42.83$39.0026.1%7.2%26.0%7.4%27.5%4.0%0.4%4.8M-68.3M-800.0K0.7322.478,3626,10679,75636,751
2016-05-25$42.56$39.0025.9%7.2%25.8%6.5%28.2%3.5%0.1%4.7M-64.3M-741.9K0.7222.097,9815,72878,91835,000
2016-05-26$41.77$40.0026.2%7.2%23.8%7.5%28.1%3.5%-0.3%4.0M-44.2M-710.0K0.7919.877,6926,04579,75335,384
2016-05-27$42.31$40.0024.9%6.9%23.8%1.2%25.9%3.0%0.8%3.7M-56.5M-724.0K1.0719.855,5965,98280,18735,882
2016-05-31$42.48$40.0025.8%7.2%23.5%5.6%26.0%4.6%-0.7%4.2M-58.1M-703.7K0.8515.166,6415,64677,34934,760