LUV Options History — July 2016

In July 2016, LUV traded between $37.05 and $43.22. ATM implied volatility averaged 32.0%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 9.6% (HV 20d: 41.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2016-07-21: Highest Volume — 50,707 contracts
  • 2016-07-22: Largest IV drop — 8.3% change
  • 2016-07-06: Highest IV Rank — 56.9%
  • 2016-07-06: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.09$37.05$43.22$39.68$37.05
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV32.0%27.7%36.0%33.7%28.5%
Expected Move8.9%7.9%9.9%8.8%8.2%
HV 20d41.6%32.7%54.4%38.5%50.1%
HV 60d32.3%28.2%38.3%28.7%37.4%
IV Rank37.0%16.1%56.9%45.5%20.3%
IV Percentile56.2%18.3%88.1%74.6%23.4%
Term Structure-1.0%-3.6%0.6%-0.6%-1.2%
VWIV31.0%27.7%34.1%30.7%27.9%
Skew 25d4.1%2.3%6.0%5.0%2.3%
Skew 10d8.0%-2.4%19.7%10.3%6.7%
Call IV 25d30.3%26.4%34.1%31.5%28.0%
Put IV 25d34.4%29.6%39.6%36.6%30.2%
Bid-Ask Spread %35.8021.9453.6330.8428.38
Gamma HHI0.150.100.270.210.27
Net GEX-452.7K-4.8M3.4M-1.9M-4.8M
Net DEX-2.2M-119.8M96.4M31.3M67.1M
Net VEX-764.9K-867.0K-568.7K-773.4K-830.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.281.090.671.07
Total Volume14,688.95,99350,70712,12613,041
Total OI146,829.5119,085182,353143,004182,353

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$39.68$40.0033.7%8.8%38.5%45.5%30.7%5.0%-0.6%-1.9M31.3M-773.4K0.6730.847,2814,84579,31463,690
2016-07-05$39.22$40.0035.5%9.7%38.6%54.7%33.7%5.0%-0.3%-1.0M39.8M-745.0K0.8949.184,5894,07972,87962,139
2016-07-06$39.13$40.0036.0%9.9%36.7%56.9%34.1%6.0%-0.2%-1.0M44.4M-744.2K0.8252.715,0684,16874,43563,448
2016-07-07$39.84$40.0035.2%9.5%37.2%52.9%32.9%4.5%-0.3%-641.2K13.2M-768.1K0.9153.634,9504,52575,98964,345
2016-07-08$40.55$40.0034.6%9.1%37.3%50.2%31.2%5.4%-0.4%-537.0K-19.2M-780.3K0.3650.239,1853,27676,76264,884
2016-07-11$41.07$40.0034.4%9.4%37.7%48.9%31.8%4.8%-1.7%-204.8K-34.7M-770.4K0.4835.946,4693,12575,56563,715
2016-07-12$42.88$40.0034.0%9.2%39.3%47.2%33.0%3.5%-3.0%1.2M-94.6M-780.9K0.3247.2011,3933,59276,63964,506
2016-07-13$42.42$40.0034.2%9.0%32.7%48.1%31.2%2.8%-3.6%1.1M-90.3M-792.3K0.3344.359,8493,28880,29065,851
2016-07-14$43.22$40.0032.4%8.8%33.2%39.0%32.1%5.1%-2.3%2.9M-119.8M-783.1K0.4640.086,3342,91282,05166,866
2016-07-15$43.13$40.0031.5%8.5%33.1%34.6%29.8%3.7%-2.4%3.4M-119.6M-781.0K0.5925.054,4492,64682,42967,455
2016-07-18$43.17$40.0032.0%9.0%33.1%37.4%32.1%5.1%-0.5%1.7M-63.4M-768.9K0.7722.774,0733,15367,12851,957
2016-07-19$42.71$40.0032.3%9.2%33.5%38.8%32.7%3.7%0.1%1.4M-52.1M-772.8K0.9429.213,0932,90068,46052,917
2016-07-20$42.05$40.0031.1%8.9%33.9%32.9%31.2%3.9%-0.8%805.1K-35.6M-752.3K1.0029.688,1498,12669,05453,191
2016-07-21$37.38$40.0030.2%8.6%54.4%28.5%30.2%3.4%-0.6%-2.1M96.4M-568.7K0.9329.2826,22824,47972,71458,325
2016-07-22$37.81$40.0027.7%7.9%54.4%16.1%27.7%3.1%0.6%-3.3M86.4M-677.9K1.0930.3415,84817,35488,76870,840
2016-07-25$37.32$40.0028.7%8.5%53.5%21.1%29.0%3.1%-0.8%-2.2M72.9M-711.1K0.6721.948,2885,52391,23366,826
2016-07-26$38.21$40.0029.0%8.3%51.9%22.4%30.0%4.1%-0.6%-1.2M34.8M-793.3K0.2839.6318,9385,36395,00168,564
2016-07-27$37.44$40.0029.1%8.4%52.2%22.8%29.6%3.0%-1.1%-1.2M51.2M-837.1K0.5723.918,4034,787106,10169,323
2016-07-28$37.48$40.0028.8%8.3%50.1%21.7%28.8%4.5%-1.2%-1.4M47.4M-867.0K0.8731.605,3644,645110,46670,117
2016-07-29$37.05$40.0028.5%8.2%50.1%20.3%27.9%2.3%-1.2%-4.8M67.1M-830.3K1.0728.386,2896,752111,52170,832