LUV Options History — February 2017

In February 2017, LUV traded between $52.72 and $58.46. ATM implied volatility averaged 24.7%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 9.0% (HV 20d: 33.7%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2017-02-15: Highest Volume — 32,033 contracts
  • 2017-02-15: Largest IV spike — 10.0% change
  • 2017-02-15: Highest IV Rank — 21.7%
  • 2017-02-27: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.60$52.72$58.46$52.72$57.92
Max Pain$47.58$45.00$55.00$53.00$55.00
ATM IV24.7%22.3%26.4%26.1%25.6%
Expected Move7.1%6.5%7.6%7.5%7.6%
HV 20d33.7%22.3%37.7%36.6%22.4%
HV 60d26.9%26.0%27.6%27.3%27.5%
IV Rank9.2%0.0%21.7%10.3%17.5%
IV Percentile5.8%0.0%20.6%14.3%14.7%
Term Structure-0.3%-3.1%1.2%0.0%0.2%
VWIV25.5%22.9%27.1%26.1%26.5%
Skew 25d2.4%0.7%4.0%3.4%2.7%
Skew 10d4.6%-2.0%10.6%5.0%3.2%
Call IV 25d24.2%23.1%25.3%25.3%24.8%
Put IV 25d26.6%24.1%28.7%28.7%27.4%
Bid-Ask Spread %17.0412.4025.0025.0017.66
Gamma HHI0.230.130.550.150.23
Net GEX4.5M-2.3M21.3M-1.5M6.3M
Net DEX-148.5M-230.2M-72.9M-72.9M-175.2M
Net VEX-673.3K-877.7K-562.3K-628.4K-877.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.262.170.680.82
Total Volume12,507.3165,17632,0338,20416,992
Total OI107,03892,541130,28093,809119,583

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$52.72$53.0026.1%7.5%36.6%10.3%26.1%3.4%0.0%-1.5M-72.9M-628.4K0.6825.004,8933,31141,40752,402
2017-02-02$52.86$45.0025.5%7.2%35.4%6.5%26.8%4.0%0.6%-614.9K-81.1M-637.0K1.1920.002,3672,80943,75153,038
2017-02-03$52.91$45.0024.6%6.9%34.9%1.5%27.0%1.8%1.2%-425.1K-86.3M-611.4K0.7714.723,2962,54344,32453,417
2017-02-06$52.90$45.0024.9%6.8%34.6%3.1%25.6%2.1%-1.7%-941.4K-84.2M-589.3K2.1715.332,9546,41942,90852,047
2017-02-07$52.93$45.0024.8%7.0%34.5%2.4%26.5%1.7%-0.8%-1.8M-82.0M-598.4K1.1215.882,8723,22844,24856,283
2017-02-08$52.92$45.0024.3%6.6%33.9%0.0%25.6%3.0%-0.9%-2.3M-77.6M-593.1K1.2116.463,0313,67944,66957,222
2017-02-09$54.53$45.0023.5%6.6%35.3%0.0%23.2%2.4%-0.3%708.7K-129.9M-562.3K0.7314.1611,3868,30244,93357,602
2017-02-10$54.68$45.0022.3%6.5%34.8%0.0%22.9%0.7%0.3%2.2M-144.6M-582.3K1.1112.774,7155,22548,59058,676
2017-02-13$55.94$45.0023.9%6.9%35.5%8.3%24.0%3.2%0.1%4.8M-165.6M-575.6K0.5714.067,7854,43247,59757,118
2017-02-14$55.27$45.0024.0%6.9%35.2%8.9%24.4%2.9%-0.3%7.5M-157.5M-600.1K0.5613.447,4884,16851,32758,104
2017-02-15$57.30$45.0026.4%7.6%36.8%21.7%25.0%1.4%-3.1%6.7M-224.6M-610.2K0.2617.9725,4616,57256,46959,014
2017-02-16$56.22$45.0024.8%7.1%37.7%13.3%24.7%0.7%-0.3%12.3M-198.7M-674.6K0.4212.4012,2755,16563,89261,620
2017-02-17$57.14$45.0024.9%7.2%37.6%13.5%24.0%2.2%-1.5%21.3M-230.2M-703.0K0.9415.985,8795,53267,63762,643
2017-02-21$57.91$45.0024.5%7.1%36.5%11.4%25.8%2.7%0.5%5.9M-174.4M-704.0K0.9216.815,1694,74953,64738,894
2017-02-22$57.96$46.0024.8%7.3%36.2%13.2%26.2%2.8%-0.0%6.0M-175.0M-739.4K1.0319.4411,52111,83755,54540,691
2017-02-23$57.34$55.0024.9%7.3%36.7%13.8%25.9%2.2%0.1%5.2M-167.1M-834.5K1.5018.493,2644,88563,99449,294
2017-02-24$58.46$55.0024.9%7.4%24.4%13.9%27.1%2.6%-0.4%6.5M-197.6M-835.6K0.6421.767,1654,57164,40950,777
2017-02-27$58.46$55.0025.4%7.6%22.3%16.3%26.9%2.8%0.8%8.4M-197.3M-834.8K0.7921.446,5535,14666,69849,252
2017-02-28$57.92$55.0025.6%7.6%22.4%17.5%26.5%2.7%0.2%6.3M-175.2M-877.7K0.8217.669,3387,65467,10152,482