LUV Options History — August 2016

In August 2016, LUV traded between $35.56 and $37.85. ATM implied volatility averaged 27.2%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 12.4% (HV 20d: 39.5%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-08-25: Highest Volume — 19,058 contracts
  • 2016-08-02: Largest IV spike — 7.8% change
  • 2016-08-02: Highest IV Rank — 29.2%
  • 2016-08-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.74$35.56$37.85$37.00$36.90
Max Pain$38.48$37.00$40.00$40.00$37.00
ATM IV27.2%25.1%30.4%28.2%25.7%
Expected Move7.8%6.9%9.2%8.4%7.5%
HV 20d39.5%21.6%53.0%49.7%21.6%
HV 60d38.5%37.4%38.9%37.4%38.2%
IV Rank13.9%4.2%29.2%18.3%7.5%
IV Percentile15.8%2.4%40.5%19.8%6.0%
Term Structure0.2%-1.0%1.6%0.1%0.7%
VWIV27.1%24.3%30.9%29.7%25.8%
Skew 25d3.1%0.6%5.2%4.4%2.3%
Skew 10d5.0%-5.2%11.5%6.0%1.8%
Call IV 25d26.6%24.6%28.8%26.8%25.5%
Put IV 25d29.6%26.9%33.0%31.1%27.8%
Bid-Ask Spread %19.0813.4825.1424.5223.49
Gamma HHI0.100.080.140.100.13
Net GEX975.1K-990.6K4.8M64.2K4.8M
Net DEX43.7M-34.6M98.4M59.4M-29.9M
Net VEX-789.4K-899.5K-714.3K-811.5K-820.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.451.430.980.91
Total Volume10,922.7392,73319,05811,1158,258
Total OI180,795.261153,346192,364173,685180,346

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$37.00$40.0028.2%8.4%49.7%18.3%29.7%4.4%0.1%64.2K59.4M-811.5K0.9824.525,6275,488107,28966,396
2016-08-02$35.56$40.0030.4%9.2%51.3%29.2%30.7%3.7%-0.6%11.7K98.4M-714.3K1.2221.067,7059,426108,58067,050
2016-08-03$35.89$40.0029.1%8.7%51.6%23.0%30.9%3.8%-0.0%-990.6K97.9M-754.2K0.7621.207,7095,839110,74071,730
2016-08-04$36.46$39.0029.2%8.5%51.4%23.3%29.4%3.1%-0.3%-922.8K77.6M-804.8K0.4919.5610,8075,248112,63273,225
2016-08-05$37.85$39.0028.4%8.3%53.0%19.3%29.2%5.2%-0.3%293.2K12.6M-899.5K0.7521.7410,6787,964116,82774,179
2016-08-08$37.41$39.0029.3%8.3%52.7%23.8%30.2%2.2%-0.2%450.6K46.9M-849.1K1.3018.224,9516,412111,60471,934
2016-08-09$37.44$39.0029.2%8.1%49.7%23.7%28.2%3.1%-1.0%368.2K47.0M-853.1K0.9718.384,9414,775112,94374,609
2016-08-10$36.95$39.0028.0%7.9%49.7%17.4%27.9%2.2%-0.1%-119.1K70.5M-800.9K1.1219.734,9185,506114,17775,453
2016-08-11$37.26$39.0027.8%8.0%49.2%16.7%27.4%4.8%0.1%1.0M55.6M-824.6K1.0218.754,6264,727114,87276,165
2016-08-12$36.54$39.0027.6%7.8%49.3%15.7%27.6%0.6%-0.6%-236.0K86.4M-772.1K0.8815.504,8914,311115,43976,925
2016-08-15$36.90$39.0027.5%7.9%49.6%15.1%27.1%3.2%0.6%123.8K75.7M-774.0K0.5917.215,9883,509111,76175,025
2016-08-16$36.53$39.0027.0%7.7%49.6%12.6%27.6%2.4%1.5%102.8K80.5M-767.5K1.0314.793,9504,084113,39575,600
2016-08-17$36.85$39.0027.2%7.8%49.9%13.4%26.9%4.3%-0.4%489.5K72.2M-775.8K0.5916.151,7161,017113,99575,908
2016-08-18$36.84$39.0026.3%7.6%27.6%9.3%26.5%3.1%-0.1%-818.8K73.5M-763.6K1.4316.681,5612,225114,24175,565
2016-08-19$36.35$39.0025.8%7.3%27.5%6.9%25.0%2.2%1.6%970.3K90.7M-733.5K1.3217.815,6647,503114,37075,932
2016-08-22$36.27$38.0025.4%7.1%27.2%4.5%24.8%3.1%0.5%550.2K17.2M-732.2K0.8817.918,5277,51399,86653,480
2016-08-23$36.73$37.0025.9%7.1%26.2%7.3%24.4%3.2%0.1%1.6M4.3M-772.3K0.9218.085,4865,037105,64957,452
2016-08-24$36.66$37.0025.6%7.1%25.2%6.9%24.5%3.0%0.4%2.1M-825.9K-765.2K0.4517.071,900858108,04256,568
2016-08-25$36.71$37.0025.7%7.2%25.2%7.8%24.3%1.7%0.7%2.5M-927.7K-767.1K0.5424.7012,3756,683109,05057,126
2016-08-26$36.29$37.0025.8%7.2%25.2%8.2%25.3%3.5%0.3%2.5M9.6M-784.1K0.5325.148,7914,686116,88359,627
2016-08-29$36.44$37.0025.1%6.9%25.3%4.2%25.2%3.1%0.1%2.9M-3.6M-794.2K0.7013.485,2183,629118,87258,210
2016-08-30$37.11$37.0025.2%7.2%21.6%4.8%24.6%2.6%0.9%4.8M-34.6M-822.7K0.6717.605,0753,421120,22758,332
2016-08-31$36.90$37.0025.7%7.5%21.6%7.5%25.8%2.3%0.7%4.8M-29.9M-820.2K0.9123.494,3313,927121,77758,569