LUV Options History — March 2017

In March 2017, LUV traded between $51.87 and $59.14. ATM implied volatility averaged 26.6%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.5% (HV 20d: 27.1%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.15.

Notable Days

  • 2017-03-13: Highest Volume — 41,205 contracts
  • 2017-03-27: Largest IV spike — 9.8% change
  • 2017-03-29: Highest IV Rank — 46.5%
  • 2017-03-13: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.78$51.87$59.14$59.14$53.89
Max Pain$55.91$55.00$60.00$57.00$55.00
ATM IV26.6%24.1%31.1%25.0%30.5%
Expected Move7.2%6.8%7.7%7.5%6.9%
HV 20d27.1%23.0%30.6%23.0%25.2%
HV 60d28.6%27.2%29.9%27.7%29.4%
IV Rank22.9%9.5%46.5%14.2%43.4%
IV Percentile28.3%1.6%73.4%8.3%69.4%
Term Structure0.8%-1.4%5.3%-0.2%-0.9%
VWIV25.5%23.9%28.1%25.9%24.0%
Skew 25d2.3%0.3%4.9%2.3%3.8%
Skew 10d3.8%-4.5%12.3%5.6%4.9%
Call IV 25d26.1%23.5%29.8%24.3%29.2%
Put IV 25d28.4%25.1%34.3%26.7%32.9%
Bid-Ask Spread %18.938.9525.6319.4423.00
Gamma HHI0.150.070.400.320.09
Net GEX1.2M-5.9M8.4M8.4M1.5M
Net DEX-24.8M-227.9M115.4M-227.9M-31.2M
Net VEX-915.4K-1.0M-822.1K-929.9K-901.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.473.990.550.92
Total Volume13,549.2176,34741,20510,30511,644
Total OI129,508.47891,159167,951131,701110,641

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$59.14$57.0025.0%7.5%23.0%14.2%25.9%2.3%-0.2%8.4M-227.9M-929.9K0.5519.446,6293,67673,74857,953
2017-03-02$57.71$57.0025.1%7.3%25.5%14.8%25.1%2.3%0.4%6.8M-165.5M-951.3K0.7315.587,0825,13676,15359,261
2017-03-03$58.79$57.0024.4%6.9%25.9%11.0%24.2%2.5%0.4%8.2M-219.9M-928.1K3.9922.184,80419,18476,18660,148
2017-03-06$57.69$60.0025.9%7.0%27.3%19.2%25.8%3.0%-0.1%2.0M-133.3M-1.0M0.6712.997,9525,34172,70871,216
2017-03-07$56.84$55.0025.7%7.5%28.1%18.2%25.7%2.0%-0.4%362.2K-60.8M-1.0M0.9111.485,6075,12467,96573,503
2017-03-08$56.92$60.0024.9%7.4%28.1%13.8%25.6%1.9%-0.0%-499.2K-54.8M-1.0M0.7011.865,1553,62068,33975,103
2017-03-09$56.46$60.0026.0%7.6%28.4%19.8%26.1%2.1%-0.4%-1.2M-31.9M-1.0M1.2916.698,88311,42168,78975,540
2017-03-10$55.89$55.0025.5%7.5%26.9%16.7%25.9%2.5%0.5%-5.9M20.8M-1.0M0.4725.1521,35510,06373,95082,601
2017-03-13$54.69$55.0027.0%7.7%28.1%24.7%27.2%2.3%0.2%72.2K54.9M-998.5K1.8117.7414,64926,55683,95383,928
2017-03-14$52.88$55.0027.0%7.6%29.1%24.8%28.1%0.3%0.2%-1.7M115.4M-854.9K1.4716.257,70011,31789,40178,550
2017-03-15$54.26$55.0025.9%7.4%30.6%18.9%26.2%2.9%-0.6%21.5K72.8M-895.0K0.8920.137,6466,81385,35980,196
2017-03-16$54.14$55.0025.7%7.4%27.3%17.7%25.9%1.7%-0.2%714.5K66.8M-888.8K0.9210.064,3904,03687,30179,395
2017-03-17$53.38$55.0024.8%6.9%27.0%13.1%24.8%1.7%-1.4%7.9M94.7M-860.2K1.068.955,1395,46387,79779,835
2017-03-20$53.45$55.0024.1%6.9%26.1%9.5%24.2%1.6%5.2%-343.2K-12.2M-852.6K1.2020.993,8604,63250,56840,591
2017-03-21$51.87$55.0025.7%7.3%26.9%17.8%25.7%1.8%3.7%-1.3M19.6M-822.1K0.9924.314,8634,82352,25042,603
2017-03-22$52.39$55.0025.6%7.3%27.4%17.5%25.6%2.0%5.3%-1.3M10.6M-854.5K0.8023.074,7553,80554,00244,648
2017-03-23$52.36$55.0026.4%7.3%27.4%21.7%25.6%1.7%4.6%18.4K7.6M-854.7K1.3123.412,7533,59456,03645,307
2017-03-24$52.68$55.0027.0%7.2%26.2%24.6%25.3%1.2%5.3%2.4M-919.1K-866.4K0.9622.613,4683,34356,67446,146
2017-03-27$52.96$55.0029.6%7.3%26.4%38.7%25.5%4.9%-0.6%-826.6K-3.6M-856.4K0.9022.533,6223,26953,76144,430
2017-03-28$54.27$55.0029.7%6.9%28.3%39.5%24.8%3.9%-0.9%1.3M-42.3M-889.6K1.1025.634,5494,99355,12845,684
2017-03-29$53.44$55.0031.1%7.1%27.1%46.5%24.4%1.8%-1.2%454.0K-17.8M-873.4K1.7024.023,2805,58356,80947,672
2017-03-30$53.82$55.0030.0%6.8%26.4%40.8%23.9%2.7%-0.5%1.5M-30.6M-875.4K1.1417.244,6895,36657,77549,092
2017-03-31$53.89$55.0030.5%6.9%25.2%43.4%24.0%3.8%-0.9%1.5M-31.2M-901.4K0.9223.006,0755,56960,12850,513