LUV Options History — December 2016

In December 2016, LUV traded between $46.94 and $50.84. ATM implied volatility averaged 27.8%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.2% (HV 20d: 22.6%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-12-05: Highest Volume — 15,290 contracts
  • 2016-12-27: Largest IV spike — 12.1% change
  • 2016-12-30: Highest IV Rank — 50.0%
  • 2016-12-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.55$46.94$50.84$46.94$49.65
Max Pain$40.67$38.00$42.00$41.00$42.00
ATM IV27.8%25.3%32.8%27.6%32.8%
Expected Move7.7%7.2%8.4%8.2%8.1%
HV 20d22.6%20.6%25.5%20.6%22.4%
HV 60d29.8%29.0%30.5%29.7%29.1%
IV Rank20.0%5.3%50.0%19.3%50.0%
IV Percentile28.4%3.2%77.8%26.2%77.8%
Term Structure1.1%-1.1%5.1%0.1%0.2%
VWIV27.7%26.1%30.4%28.9%27.7%
Skew 25d2.9%1.8%4.7%2.8%4.5%
Skew 10d6.3%2.5%18.5%6.2%5.2%
Call IV 25d27.0%24.3%31.8%27.1%31.8%
Put IV 25d29.9%27.3%36.2%29.9%36.2%
Bid-Ask Spread %17.1011.8922.0320.4018.61
Gamma HHI0.140.080.370.080.16
Net GEX4.8M2.4M8.5M6.0M2.4M
Net DEX-232.4M-283.8M-184.5M-235.4M-184.5M
Net VEX-546.7K-650.9K-502.9K-650.9K-528.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.281.831.630.82
Total Volume9,362.4766,26415,2908,5177,323
Total OI149,001121,096176,728175,748128,906

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$46.94$41.0027.6%8.2%20.6%19.3%28.9%2.8%0.1%6.0M-235.4M-650.9K1.6320.403,2395,278100,12375,625
2016-12-02$47.95$41.0027.6%8.4%20.9%18.8%30.4%4.7%0.2%8.5M-276.4M-632.3K1.2814.715,1756,650100,38476,344
2016-12-05$47.07$38.0026.7%7.7%23.0%13.8%27.2%2.9%0.6%6.3M-238.3M-606.8K0.2819.2511,9403,35097,57574,657
2016-12-06$47.65$40.0026.7%7.8%21.8%13.7%28.3%3.5%0.7%6.3M-193.8M-594.0K0.7316.384,3993,21584,02075,184
2016-12-07$49.72$40.0026.1%7.7%25.1%10.0%28.3%2.8%-0.0%6.0M-264.0M-533.4K0.8220.538,3526,88784,12675,627
2016-12-08$49.58$40.0026.7%7.8%25.5%13.5%28.4%2.2%0.1%4.8M-257.1M-555.5K1.0411.894,5994,77185,17479,464
2016-12-09$49.76$40.0025.7%7.6%24.1%7.4%27.3%2.9%0.3%4.8M-273.2M-536.6K0.8216.316,4245,30086,01180,226
2016-12-12$49.31$40.0027.3%8.0%24.8%17.2%28.2%2.7%0.5%4.9M-238.7M-548.1K0.6116.695,7853,54683,22276,258
2016-12-13$49.54$40.0027.3%8.0%22.3%17.3%29.0%2.0%0.5%4.8M-251.0M-551.5K0.9917.505,1085,05584,87477,051
2016-12-14$49.40$40.0028.5%8.1%21.5%24.2%28.1%1.8%-0.1%4.4M-247.2M-549.8K0.6822.034,6483,17885,12278,361
2016-12-15$50.62$40.0027.9%7.9%22.1%20.8%28.7%2.9%-0.9%4.6M-283.8M-539.2K0.6313.927,2014,52586,31178,914
2016-12-16$50.12$40.0027.1%7.6%22.2%16.1%27.5%1.8%-1.1%7.5M-279.1M-519.6K1.0814.744,6585,01887,13780,049
2016-12-19$50.27$40.0025.6%7.3%22.2%6.8%26.5%2.7%4.0%4.1M-205.0M-520.0K0.8913.594,9014,38571,31249,784
2016-12-20$50.84$40.0025.3%7.2%22.3%5.3%27.4%2.8%4.4%4.4M-223.4M-504.7K1.8314.963,8477,05272,44150,367
2016-12-21$50.62$42.0025.4%7.3%22.2%6.0%26.8%3.0%4.4%3.9M-211.2M-544.8K0.9917.433,6593,61672,87154,419
2016-12-22$50.27$42.0026.5%7.4%22.5%12.6%26.2%2.9%4.5%3.8M-203.1M-531.0K0.8918.893,3192,94573,19555,171
2016-12-23$50.43$42.0027.4%7.3%22.5%17.9%26.1%3.0%5.1%4.5M-209.3M-521.1K0.7519.823,9432,95273,53655,494
2016-12-27$50.51$42.0030.7%7.5%22.5%37.8%27.0%2.7%-0.1%3.0M-207.5M-503.1K0.6617.254,5523,02071,86653,810
2016-12-28$50.21$42.0031.9%7.8%22.5%45.1%27.4%3.2%-0.1%2.9M-199.3M-502.9K0.7617.963,6522,76572,10854,481
2016-12-29$50.18$42.0032.1%7.9%21.9%46.0%27.0%3.9%-0.0%3.0M-198.6M-506.1K0.9016.233,3643,01672,59754,824
2016-12-30$49.65$42.0032.8%8.1%22.4%50.0%27.7%4.5%0.2%2.4M-184.5M-528.3K0.8218.614,0323,29173,43055,476