LUV Options History — October 2016

In October 2016, LUV traded between $38.31 and $42.32. ATM implied volatility averaged 31.0%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.1% (HV 20d: 27.9%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-10-26: Highest Volume — 67,364 contracts
  • 2016-10-26: Largest IV drop — 4.9% change
  • 2016-10-13: Highest IV Rank — 56.0%
  • 2016-10-07: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.41$38.31$42.32$39.60$39.99
Max Pain$38.67$37.50$40.00$37.50$38.00
ATM IV31.0%26.4%33.8%31.4%28.1%
Expected Move8.7%7.5%9.4%7.5%8.5%
HV 20d27.9%21.7%40.6%28.6%40.2%
HV 60d30.4%24.9%35.7%35.7%29.6%
IV Rank39.7%11.9%56.0%42.1%22.3%
IV Percentile59.5%15.1%82.9%63.5%29.4%
Term Structure-0.2%-2.4%2.2%-0.2%0.3%
VWIV30.7%26.2%33.4%27.8%29.7%
Skew 25d3.7%1.1%6.5%5.8%3.6%
Skew 10d7.0%-15.2%19.9%19.9%6.1%
Call IV 25d29.8%26.1%33.9%28.4%26.9%
Put IV 25d33.5%29.4%37.2%34.2%30.5%
Bid-Ask Spread %22.7616.4744.9521.9123.37
Gamma HHI0.110.080.140.130.11
Net GEX6.2M1.7M9.5M7.9M2.5M
Net DEX-123.4M-203.9M-2.5M-113.6M-64.6M
Net VEX-790.3K-836.3K-662.9K-836.3K-798.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.381.290.690.97
Total Volume13,105.6195,88167,3649,77111,844
Total OI153,480.286134,235180,161146,413163,321

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$39.60$37.5031.4%7.5%28.6%42.1%27.8%5.8%-0.2%7.9M-113.6M-836.3K0.6921.915,7903,98199,35547,058
2016-10-04$39.24$37.5032.5%7.8%28.9%48.7%27.5%2.1%1.1%8.2M-103.2M-826.9K0.8728.324,8924,257100,94848,055
2016-10-05$39.17$38.0031.5%7.5%24.2%42.5%26.2%4.5%0.2%8.5M-98.5M-830.7K0.8720.553,5583,107102,26849,070
2016-10-06$39.22$38.0031.9%8.9%24.2%44.6%30.3%4.3%-0.1%9.0M-102.6M-825.8K1.2917.932,5723,309102,38748,884
2016-10-07$38.48$38.0032.8%9.4%22.7%50.3%32.9%4.3%0.3%8.2M-70.6M-795.2K1.2424.804,1605,164102,34048,914
2016-10-10$39.72$38.0032.6%8.9%25.1%49.1%32.5%3.3%-1.5%8.4M-114.3M-805.6K0.7120.094,8083,39999,75750,215
2016-10-11$39.78$38.0033.0%9.2%23.6%51.6%32.2%4.1%-1.0%8.8M-118.7M-810.0K0.6316.604,6162,919101,14050,779
2016-10-12$39.93$39.0033.0%9.2%23.2%51.3%32.8%5.8%-1.3%9.5M-127.8M-803.9K0.9516.473,5423,353102,01651,041
2016-10-13$41.39$39.0033.8%9.3%25.8%56.0%33.4%6.5%-1.7%6.8M-182.0M-801.0K0.5217.009,5344,929102,25351,697
2016-10-14$41.31$39.0033.2%9.1%25.3%52.4%31.3%2.1%-1.7%6.0M-183.2M-796.3K0.7722.224,5423,504103,17352,636
2016-10-17$41.25$39.0032.9%9.3%25.4%50.7%32.2%3.8%-2.4%6.1M-167.4M-781.0K0.9620.072,9972,887100,14051,025
2016-10-18$41.68$39.0032.0%9.1%25.5%45.7%32.5%2.8%0.1%6.1M-182.0M-776.9K1.0620.544,3874,634101,04351,538
2016-10-19$42.27$39.0031.0%8.9%25.6%39.5%32.1%4.3%-0.2%5.6M-200.6M-773.6K1.0818.163,4473,707102,26353,609
2016-10-20$42.28$39.0030.7%8.8%25.7%37.7%30.7%3.6%0.1%6.0M-203.9M-756.3K0.9522.554,2754,042102,69153,738
2016-10-21$42.32$40.0030.2%8.7%25.5%34.7%30.2%3.4%-1.2%4.7M-201.7M-768.3K0.9017.954,6274,184102,91954,506
2016-10-24$42.31$40.0030.3%8.9%25.0%35.4%31.9%2.5%0.8%5.0M-131.3M-756.2K1.1318.873,4523,91385,70848,527
2016-10-25$41.93$40.0029.1%8.8%21.7%28.3%32.0%3.8%-0.5%4.8M-119.7M-744.2K0.7825.976,9065,36386,32750,091
2016-10-26$38.31$40.0027.7%8.5%39.8%19.8%29.2%1.1%2.2%1.7M-2.5M-662.9K0.7544.9538,56128,80389,42752,945
2016-10-27$39.24$38.0026.4%8.2%40.6%11.9%28.5%2.8%1.4%3.7M-51.2M-835.2K0.3828.1720,5887,916108,20471,957
2016-10-28$39.27$38.0027.5%8.0%40.1%18.7%29.2%3.4%0.3%2.5M-52.6M-810.5K0.4531.5815,7377,012105,75773,364
2016-10-31$39.99$38.0028.1%8.5%40.2%22.3%29.7%3.6%0.3%2.5M-64.6M-798.8K0.9723.376,0135,83193,93569,386