LUV Options History — June 2016

In June 2016, LUV traded between $36.82 and $44.18. ATM implied volatility averaged 30.5%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.1% (HV 20d: 27.4%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-06-14: Highest Volume — 37,421 contracts
  • 2016-06-14: Largest IV spike — 16.2% change
  • 2016-06-27: Highest IV Rank — 81.9%
  • 2016-06-27: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.68$36.82$44.18$42.52$39.12
Max Pain$41.55$40.00$43.00$40.00$40.00
ATM IV30.5%24.4%41.1%25.9%34.0%
Expected Move8.5%7.1%11.4%7.1%8.8%
HV 20d27.4%18.7%38.1%22.6%38.1%
HV 60d24.2%21.4%28.5%21.4%28.5%
IV Rank29.5%0.0%81.9%6.6%46.9%
IV Percentile43.4%0.0%99.2%3.2%75.8%
Term Structure0.4%-1.0%3.2%-1.0%0.9%
VWIV29.7%24.6%39.1%25.8%29.4%
Skew 25d4.7%2.3%8.5%3.9%5.6%
Skew 10d8.4%3.1%12.8%7.7%5.8%
Call IV 25d28.7%23.3%37.5%24.3%32.8%
Put IV 25d33.4%25.7%46.0%28.1%38.4%
Bid-Ask Spread %24.8918.0838.8218.0824.23
Gamma HHI0.230.090.400.110.30
Net GEX312.5K-4.7M10.0M4.5M-3.3M
Net DEX23.7M-95.1M120.9M-60.1M74.5M
Net VEX-748.2K-848.2K-667.3K-717.3K-820.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.243.050.891.13
Total Volume14,725.8187,15337,42110,4668,803
Total OI130,184.091108,394155,211113,199153,308

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$42.52$40.0025.9%7.1%22.6%6.6%25.8%3.9%-1.0%4.5M-60.1M-717.3K0.8918.085,5344,93278,09135,108
2016-06-02$42.16$42.0025.4%7.3%18.7%4.0%25.0%3.5%-0.7%4.1M-50.7M-688.8K0.9722.045,2275,07278,42235,385
2016-06-03$41.72$42.0025.5%7.2%19.1%4.3%25.2%3.3%-0.3%3.1M-37.6M-676.8K0.9227.356,4445,94878,55435,768
2016-06-06$41.79$42.0025.4%7.3%19.1%3.8%25.8%3.3%0.2%2.9M-22.4M-667.4K0.5720.626,1913,50672,87435,520
2016-06-07$43.03$42.0024.6%7.2%21.4%0.0%25.8%2.3%0.9%5.3M-61.0M-704.5K0.5921.839,9065,85773,81736,352
2016-06-08$43.50$43.0024.6%7.3%21.1%0.3%25.4%3.7%0.4%6.5M-72.3M-704.8K0.4124.009,6803,98174,22237,551
2016-06-09$44.18$43.0024.4%7.1%20.6%0.0%24.6%2.4%0.3%8.2M-95.1M-716.7K0.4221.077,6583,22475,30238,083
2016-06-10$43.61$43.0024.9%7.2%19.4%2.3%28.4%3.7%0.7%10.0M-79.3M-706.3K1.6023.376,91311,02875,79438,452
2016-06-13$42.20$43.0028.5%8.2%23.0%19.9%29.4%5.0%2.6%2.7M-25.0M-693.2K1.4621.846,8249,96273,24543,583
2016-06-14$39.78$43.0033.1%9.5%30.5%42.5%32.8%5.8%1.2%-1.4M43.1M-667.3K3.0529.989,23428,18774,10550,514
2016-06-15$39.92$42.0031.1%8.9%30.4%33.0%32.6%4.1%1.8%-4.2M80.8M-822.2K0.9628.737,8857,57875,98874,197
2016-06-16$39.77$42.0032.0%9.1%30.2%37.2%31.3%5.3%2.2%-4.7M87.0M-830.1K0.6324.917,0574,43077,67576,938
2016-06-17$39.74$42.0031.4%8.7%30.0%34.3%30.6%5.1%3.2%-4.2M90.6M-827.0K0.6222.077,4494,60277,95377,258
2016-06-20$40.02$42.0031.4%8.2%30.2%34.5%28.7%4.5%-0.6%-4.5M69.4M-806.8K0.6625.685,1143,39956,41868,637
2016-06-21$40.55$41.0031.8%8.5%30.7%36.2%30.1%4.9%-0.1%-3.7M51.9M-832.8K0.2424.5815,4203,73558,99269,346
2016-06-22$40.28$41.0032.9%8.9%30.1%41.8%31.3%6.2%-0.1%-1.5M50.8M-848.2K0.7624.184,0613,09269,78370,362
2016-06-23$39.61$41.0034.1%9.1%30.4%47.7%31.4%4.4%-1.0%-2.4M73.7M-817.0K0.8538.8213,19211,15870,92070,680
2016-06-24$38.42$40.0036.4%10.5%31.5%59.0%35.7%6.3%-0.1%-2.3M97.0M-770.3K0.6528.087,3884,78975,36670,171
2016-06-27$36.82$40.0041.1%11.4%33.6%81.9%39.1%8.5%-0.8%-2.6M120.9M-676.1K0.7026.128,5115,92171,84167,990
2016-06-28$37.38$40.0037.6%10.0%34.3%64.8%34.1%5.2%-0.6%-2.8M115.3M-683.5K0.4422.729,7784,33373,45268,904
2016-06-29$38.90$40.0034.2%8.9%38.0%48.0%30.5%6.3%0.7%-2.7M69.9M-782.6K2.9327.265,32915,63677,28869,841
2016-06-30$39.12$40.0034.0%8.8%38.1%46.9%29.4%5.6%0.9%-3.3M74.5M-820.0K1.1324.234,1334,67078,77074,538