LUV Options History — January 2017

In January 2017, LUV traded between $49.61 and $53.85. ATM implied volatility averaged 30.9%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 8.0% (HV 20d: 22.8%). Max pain ranged from $42.00 to $53.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.51.

Notable Days

  • 2017-01-26: Highest Volume — 25,307 contracts
  • 2017-01-26: Largest IV drop — 18.2% change
  • 2017-01-09: Highest IV Rank — 56.5%
  • 2017-01-09: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.00$49.61$53.85$49.93$52.33
Max Pain$49.50$42.00$53.00$42.00$53.00
ATM IV30.9%24.4%33.9%33.3%25.7%
Expected Move8.7%7.2%9.4%8.0%7.5%
HV 20d22.8%17.5%36.9%21.4%36.6%
HV 60d27.8%21.7%29.3%29.1%27.3%
IV Rank38.6%0.0%56.5%53.1%8.1%
IV Percentile60.1%0.0%86.1%81.7%9.9%
Term Structure-0.6%-1.9%0.7%-0.7%0.2%
VWIV30.9%25.2%33.4%27.9%28.0%
Skew 25d3.2%2.2%4.1%3.7%4.1%
Skew 10d7.9%0.3%21.0%4.4%8.4%
Call IV 25d30.0%23.4%33.8%32.4%24.6%
Put IV 25d33.2%25.9%36.6%36.1%28.6%
Bid-Ask Spread %22.8318.0033.1018.6120.35
Gamma HHI0.150.110.290.170.14
Net GEX922.6K-1.9M3.3M2.7M-1.9M
Net DEX-153.6M-224.6M-42.3M-189.9M-60.2M
Net VEX-499.6K-621.5K-448.1K-501.5K-621.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.524.261.341.89
Total Volume10,332.86,08325,3078,5798,343
Total OI118,228.462,374146,910127,87592,184

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$49.93$42.0033.3%8.0%21.4%53.1%27.9%3.7%-0.7%2.7M-189.9M-501.5K1.3418.613,6624,91772,66755,208
2017-01-04$51.31$42.0032.9%7.6%21.7%50.5%27.5%3.5%-1.1%3.3M-224.0M-489.4K0.8521.193,8853,30274,34857,393
2017-01-05$50.56$50.0033.5%9.1%22.5%54.6%31.8%3.0%-0.4%2.4M-199.4M-493.9K0.9218.003,9543,65573,71159,839
2017-01-06$50.01$50.0033.7%9.2%17.5%55.4%32.8%2.8%-1.2%2.0M-180.9M-503.7K2.0322.243,8107,74174,28960,443
2017-01-09$50.36$50.0033.9%9.4%17.6%56.5%32.8%3.6%-0.6%1.0M-187.9M-498.1K1.9020.843,8127,25472,98162,788
2017-01-10$51.39$50.0032.5%9.3%18.9%48.3%32.5%2.4%-0.5%1.8M-218.8M-482.6K0.7626.074,7073,58373,73967,715
2017-01-11$51.79$50.0033.0%9.3%18.6%51.4%32.9%3.1%-1.3%2.0M-224.6M-477.1K1.7920.173,3926,07073,26568,411
2017-01-12$51.07$50.0032.8%9.3%19.4%50.1%32.9%3.0%-0.8%357.6K-200.0M-502.6K1.9521.333,8117,42273,52971,567
2017-01-13$51.22$50.0032.1%9.1%19.4%46.1%32.0%3.2%-0.1%384.0K-205.8M-494.4K1.1122.243,1433,49174,43572,475
2017-01-17$50.40$50.0032.6%9.3%18.4%48.9%33.4%2.6%-1.3%-755.5K-180.4M-478.5K1.1423.882,8363,24772,41171,242
2017-01-18$50.41$50.0031.9%9.1%18.1%44.7%32.9%3.8%-1.4%-743.9K-180.5M-470.9K1.3322.302,7593,67572,67571,676
2017-01-19$50.08$50.0031.3%9.0%18.2%41.5%31.3%3.4%-0.8%-1.2M-173.0M-463.9K1.1220.853,2273,62873,06472,299
2017-01-20$51.00$50.0031.3%9.1%18.9%41.1%31.9%3.1%-1.9%3.2M-207.9M-448.1K0.7124.574,8543,47073,22572,787
2017-01-23$50.01$50.0031.4%9.3%20.1%41.9%33.2%2.8%-0.8%936.1K-56.7M-458.9K1.3323.422,8363,78631,62230,752
2017-01-24$49.74$50.0030.8%9.2%20.1%38.4%33.4%2.2%-1.0%895.3K-53.0M-472.4K4.2626.712,62311,18032,87732,561
2017-01-25$49.61$50.0030.0%9.4%20.0%33.2%33.1%3.0%-0.1%-75.9K-42.3M-494.4K1.5933.103,6905,85433,44138,993
2017-01-26$53.85$50.0024.5%7.3%35.6%0.5%27.2%3.9%0.2%2.1M-117.8M-455.1K0.5222.3916,6278,68035,08142,374
2017-01-27$52.63$50.0024.4%7.2%36.7%0.0%25.2%2.4%0.7%1.2M-105.1M-585.1K1.1826.7010,05411,83743,88745,169
2017-01-30$52.20$53.0025.7%7.6%36.9%8.2%26.4%3.7%0.5%-1.2M-63.1M-600.5K2.3621.623,5268,31339,18948,256
2017-01-31$52.33$53.0025.7%7.5%36.6%8.1%28.0%4.1%0.2%-1.9M-60.2M-621.5K1.8920.352,8915,45240,46551,719