LUV Options History — November 2016

In November 2016, LUV traded between $39.53 and $47.53. ATM implied volatility averaged 27.4%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 8.3% (HV 20d: 35.7%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-11-15: Highest Volume — 23,132 contracts
  • 2016-11-09: Largest IV drop — 6.0% change
  • 2016-11-01: Highest IV Rank — 33.0%
  • 2016-11-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.48$39.53$47.53$39.53$46.70
Max Pain$40.10$38.00$41.00$38.00$41.00
ATM IV27.4%25.4%29.9%29.9%26.9%
Expected Move7.8%7.3%9.2%9.2%7.9%
HV 20d35.7%20.2%41.5%40.3%20.6%
HV 60d30.4%29.5%31.1%29.6%30.9%
IV Rank17.5%5.6%33.0%33.0%14.9%
IV Percentile23.2%4.4%45.6%45.6%19.4%
Term Structure-0.2%-2.1%1.5%-0.4%-0.4%
VWIV28.0%26.0%32.8%32.8%28.1%
Skew 25d3.7%1.9%5.3%3.4%3.3%
Skew 10d7.9%2.3%14.4%5.1%4.5%
Call IV 25d26.2%24.1%28.8%28.8%25.7%
Put IV 25d29.9%28.1%32.4%32.1%29.0%
Bid-Ask Spread %19.5212.5130.4228.7822.13
Gamma HHI0.100.070.350.100.07
Net GEX5.4M2.3M12.0M2.3M5.7M
Net DEX-211.8M-342.7M-46.4M-46.4M-226.5M
Net VEX-689.9K-810.3K-601.4K-806.2K-633.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.321.421.191.37
Total Volume11,543.6676,22223,1328,63910,261
Total OI171,767.762157,217186,539167,294173,476

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$39.53$38.0029.9%9.2%40.3%33.0%32.8%3.4%-0.4%2.3M-46.4M-806.2K1.1928.783,9424,69795,97171,323
2016-11-02$39.68$38.0028.8%8.7%40.3%26.4%31.1%5.1%0.2%2.3M-52.5M-810.3K0.8830.424,5794,04896,66172,742
2016-11-03$39.71$40.0029.2%8.2%40.3%28.8%29.6%4.0%-0.6%3.0M-53.7M-793.9K0.9317.383,2203,00297,27172,871
2016-11-04$40.28$40.0029.6%8.4%39.9%31.2%29.1%5.2%0.4%2.7M-83.6M-794.8K0.3220.2312,8354,07497,47072,877
2016-11-07$41.43$40.0028.0%7.8%39.6%21.5%28.3%4.4%-0.7%4.2M-126.3M-760.7K0.7819.885,1003,95698,24870,165
2016-11-08$41.96$40.0027.3%7.5%39.8%17.2%27.6%5.3%-1.2%5.0M-148.0M-758.2K0.8116.703,6262,93799,65270,325
2016-11-09$42.33$40.0025.6%7.4%39.8%7.3%26.0%4.8%-0.0%5.2M-170.6M-721.8K0.5519.436,7013,686100,12970,378
2016-11-10$43.61$40.0026.7%7.3%39.2%13.9%27.3%4.2%-2.1%4.9M-217.1M-691.7K0.3923.6810,9424,23899,35970,395
2016-11-11$43.78$40.0026.4%7.4%39.2%12.0%26.9%4.6%-0.8%5.7M-226.3M-685.4K0.4619.9710,4934,820101,69770,646
2016-11-14$45.34$40.0027.6%7.9%40.7%18.8%27.0%4.4%-0.1%5.5M-275.7M-673.2K0.7219.196,5464,736103,27870,609
2016-11-15$46.30$40.0028.2%8.1%41.1%22.8%29.2%3.3%0.2%4.8M-307.6M-667.2K0.3716.5116,8696,263104,76972,662
2016-11-16$45.83$40.0027.8%8.0%41.3%19.9%27.7%3.1%0.2%5.9M-301.6M-654.8K1.0515.705,9936,307108,36674,559
2016-11-17$46.62$40.0027.3%7.7%41.5%17.3%27.1%2.6%1.5%5.5M-322.5M-651.2K0.7626.666,3344,819108,40776,316
2016-11-18$47.03$40.0026.5%7.5%41.5%12.4%27.1%2.7%1.0%12.0M-342.7M-619.6K0.5915.738,2534,903110,03076,509
2016-11-21$47.32$40.0026.5%7.4%41.5%12.5%26.1%2.7%-0.7%6.2M-257.6M-609.7K0.6221.0112,8337,92291,30265,915
2016-11-22$47.04$41.0026.7%7.4%41.4%13.3%26.9%3.2%0.1%6.6M-249.0M-665.6K0.7814.055,1634,03796,87170,554
2016-11-23$47.40$41.0025.4%7.4%20.6%5.6%26.3%3.6%0.3%7.0M-261.8M-642.2K0.9415.894,1473,89697,38371,129
2016-11-25$47.45$41.0026.5%7.5%20.2%12.2%27.3%1.9%-0.5%6.9M-267.3M-634.9K1.4214.612,9914,23598,43372,040
2016-11-28$47.53$41.0026.8%7.7%20.2%14.4%28.0%3.1%-0.7%6.1M-259.2M-601.4K0.8612.514,5313,91795,50771,095
2016-11-29$47.25$41.0026.6%8.0%20.6%13.2%27.7%2.9%0.3%6.4M-252.5M-611.6K0.6019.526,6153,95097,22172,512
2016-11-30$46.70$41.0026.9%7.9%20.6%14.9%28.1%3.3%-0.4%5.7M-226.5M-633.3K1.3722.134,3335,92899,48173,995