LUV Options History — September 2016

In September 2016, LUV traded between $36.60 and $38.98. ATM implied volatility averaged 27.8%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.0% (HV 20d: 23.8%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2016-09-09: Highest Volume — 25,503 contracts
  • 2016-09-09: Largest IV spike — 10.7% change
  • 2016-09-29: Highest IV Rank — 40.5%
  • 2016-09-13: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.46$36.60$38.98$36.60$38.98
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV27.8%25.3%31.2%26.1%30.4%
Expected Move7.5%6.7%8.3%7.4%7.2%
HV 20d23.8%15.7%28.2%21.1%28.2%
HV 60d36.7%34.7%38.7%38.1%35.7%
IV Rank20.2%5.0%40.5%10.2%35.8%
IV Percentile27.1%3.2%59.5%11.5%52.8%
Term Structure0.8%-1.7%4.3%0.2%0.3%
VWIV26.4%24.4%29.2%26.0%25.8%
Skew 25d3.8%1.8%7.0%3.7%5.5%
Skew 10d7.2%-14.7%23.0%3.8%7.8%
Call IV 25d26.5%23.5%29.9%24.9%27.4%
Put IV 25d30.3%26.8%34.5%28.6%33.0%
Bid-Ask Spread %22.9014.8533.7718.1030.30
Gamma HHI0.140.110.250.140.15
Net GEX5.7M1.2M8.6M4.2M8.6M
Net DEX-45.5M-126.7M19.0M-15.0M-101.1M
Net VEX-809.3K-873.8K-766.3K-801.8K-822.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.321.821.030.65
Total Volume10,880.3816,15125,5036,3099,286
Total OI170,398.19142,589203,776181,976149,217

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$36.60$37.0026.1%7.4%21.1%10.2%26.0%3.7%0.2%4.2M-15.0M-801.8K1.0318.103,1023,207122,72059,256
2016-09-02$36.84$37.0025.3%6.7%16.2%5.0%24.4%1.8%0.5%5.6M-26.5M-799.6K0.9414.854,1603,898123,31159,536
2016-09-06$36.89$37.0025.3%7.5%15.7%5.3%26.2%4.0%0.2%4.6M-24.4M-766.3K0.7724.384,3513,367121,27958,577
2016-09-07$38.60$37.0025.7%7.4%22.7%7.7%26.0%3.6%-0.3%7.3M-108.6M-820.9K0.3322.7515,4315,069122,36058,739
2016-09-08$38.72$37.0025.5%7.4%22.0%6.4%26.5%2.1%-0.0%8.4M-126.7M-843.4K0.3220.2710,1523,234126,80059,328
2016-09-09$37.58$37.0028.2%7.8%24.6%22.9%26.9%2.0%1.7%6.2M-65.6M-803.1K1.8223.849,05016,453129,48059,474
2016-09-12$37.87$37.0028.8%7.8%23.6%26.0%27.5%4.4%-1.7%4.7M-57.2M-873.8K1.5223.176,4679,824128,14870,564
2016-09-13$37.10$37.0029.1%8.3%24.7%28.2%29.2%2.7%0.3%4.0M-22.1M-856.2K0.5424.216,0543,267128,78471,013
2016-09-14$36.82$37.0029.2%8.1%24.5%28.9%28.1%2.5%-0.4%3.5M2.4M-820.5K0.4624.948,8824,093130,04471,461
2016-09-15$36.99$37.0028.0%7.7%24.4%21.6%27.3%3.5%-1.6%8.4M-7.9M-813.9K0.4222.868,3713,489131,29572,481
2016-09-16$36.62$37.0028.2%7.8%24.7%22.6%27.4%4.1%-1.0%1.2M19.0M-786.3K0.6826.548,2035,552129,52972,577
2016-09-19$36.76$37.0027.2%7.8%24.2%16.4%25.9%4.1%3.6%3.8M-25.0M-778.2K0.4527.485,7122,57197,44645,637
2016-09-20$36.89$37.0026.9%7.7%24.2%14.7%24.9%4.7%3.1%4.3M-28.7M-784.1K0.4223.815,6322,35899,95546,201
2016-09-21$37.06$37.0025.9%7.4%23.9%9.1%26.4%4.5%4.3%5.1M-33.5M-789.5K0.7933.774,0943,216102,56246,440
2016-09-22$37.37$37.0025.8%7.2%24.0%8.0%25.0%3.2%3.2%6.5M-49.8M-796.4K0.5920.264,5042,679103,44647,501
2016-09-23$37.22$37.0026.7%7.2%24.1%13.8%25.2%3.3%3.9%6.2M-46.0M-783.6K0.7818.133,9933,125104,21847,657
2016-09-26$36.88$37.0029.5%7.4%23.9%30.7%26.1%4.5%-0.2%4.7M-24.4M-771.1K0.9619.083,1423,00997,45045,139
2016-09-27$38.49$37.0030.4%7.4%28.2%36.1%26.3%7.0%-0.5%7.0M-79.5M-839.6K0.3424.8710,5463,53798,31045,876
2016-09-28$38.05$37.0030.1%7.7%28.0%34.2%27.0%2.7%0.5%7.4M-62.6M-818.4K0.8719.074,0083,470100,03146,874
2016-09-29$38.28$37.0031.2%7.6%27.9%40.5%26.8%4.9%-0.1%7.8M-71.4M-826.6K0.8018.324,4093,521100,26347,383
2016-09-30$38.98$37.0030.4%7.2%28.2%35.8%25.8%5.5%0.3%8.6M-101.1M-822.1K0.6530.305,6443,642101,45047,767