LUV Options History — April 2017

In April 2017, LUV traded between $53.00 and $57.24. ATM implied volatility averaged 30.7%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 8.3% (HV 20d: 22.4%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.41.

Notable Days

  • 2017-04-07: Highest Volume — 19,682 contracts
  • 2017-04-27: Largest IV drop — 11.3% change
  • 2017-04-17: Highest IV Rank — 59.1%
  • 2017-04-17: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.02$53.00$57.24$53.89$56.17
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV30.7%24.9%33.4%30.6%24.9%
Expected Move8.5%6.9%9.4%7.0%6.9%
HV 20d22.4%18.5%26.5%24.7%20.9%
HV 60d28.1%24.1%29.6%29.2%24.6%
IV Rank44.7%14.0%59.1%44.0%14.0%
IV Percentile69.9%9.9%92.9%69.8%9.9%
Term Structure-0.6%-1.6%0.6%0.0%-0.8%
VWIV29.7%24.3%33.6%24.8%24.3%
Skew 25d2.8%1.1%4.9%3.4%2.6%
Skew 10d5.2%3.0%10.3%5.1%5.0%
Call IV 25d29.7%23.8%32.3%29.1%23.8%
Put IV 25d32.5%26.4%35.7%32.5%26.4%
Bid-Ask Spread %24.8313.2948.2940.2120.02
Gamma HHI0.120.070.240.100.10
Net GEX1.8M-3.7M11.4M-350.5K5.0M
Net DEX-70.2M-126.1M-4.0M-28.6M-102.9M
Net VEX-912.4K-975.1K-866.0K-904.3K-877.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.333.501.241.61
Total Volume10,311.4216,88319,6827,7079,846
Total OI112,125.78993,159126,566107,585109,598

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$53.89$55.0030.6%7.0%24.7%44.0%24.8%3.4%0.0%-350.5K-28.6M-904.3K1.2440.213,4474,26058,47149,114
2017-04-04$53.00$55.0030.9%7.1%24.8%45.8%24.8%2.4%-1.0%-1.8M-4.0M-889.2K1.2048.294,7185,65759,84649,634
2017-04-05$53.41$55.0030.4%6.9%25.0%43.1%24.3%3.0%-0.8%-1.4M-17.9M-923.2K0.4629.136,4332,97462,66851,290
2017-04-06$53.34$55.0030.5%8.5%25.0%43.7%28.6%2.9%-0.8%-2.0M-14.0M-928.8K0.4813.295,3052,53063,75352,044
2017-04-07$54.60$55.0031.3%8.8%26.5%47.8%30.7%3.1%-0.7%733.1K-60.4M-945.1K0.3322.6114,8184,86464,34252,437
2017-04-10$54.23$55.0032.2%8.9%25.4%52.7%31.8%3.2%-1.3%4.2M-55.0M-957.7K1.0820.405,1855,59468,26050,624
2017-04-11$54.96$55.0032.0%9.1%22.6%51.8%31.2%4.9%-0.8%6.9M-88.7M-964.8K0.8622.394,6724,04170,27553,293
2017-04-12$55.54$55.0033.2%9.4%21.1%57.8%32.7%2.5%-0.4%11.4M-126.1M-975.1K1.1720.537,1438,36571,13854,373
2017-04-13$54.44$55.0033.0%9.1%22.4%56.6%31.9%3.3%-1.6%26.7K-48.8M-950.4K2.1921.053,5217,71970,55756,009
2017-04-17$54.34$55.0033.4%9.4%21.7%59.1%33.6%2.3%0.5%-2.2M-39.3M-930.4K3.3125.621,8065,98159,98552,128
2017-04-18$54.58$55.0032.5%9.2%21.8%54.2%32.4%3.8%-0.1%-2.9M-46.4M-917.7K2.4316.252,3645,74760,42052,388
2017-04-19$54.49$55.0031.2%8.9%18.5%47.3%32.1%2.7%0.6%-3.7M-44.8M-897.3K3.5016.511,7125,99661,34752,967
2017-04-20$56.10$55.0030.9%8.8%20.6%45.5%30.6%3.4%0.3%915.3K-114.9M-882.6K0.9519.544,8294,57061,56953,236
2017-04-21$55.75$55.0031.1%9.0%20.9%46.8%31.2%3.4%-0.6%3.1M-108.5M-892.3K1.7317.822,6594,60763,63753,497
2017-04-24$56.52$55.0030.2%8.7%21.2%42.2%30.8%2.8%-1.5%3.3M-102.6M-879.1K1.2519.373,4324,28652,75340,406
2017-04-25$57.24$55.0029.4%8.8%21.4%37.6%30.7%2.0%-0.9%3.8M-121.5M-876.4K0.9741.343,4913,39254,43541,419
2017-04-26$57.02$55.0029.6%8.9%20.2%38.9%31.6%1.1%-1.2%4.1M-120.2M-878.2K0.8531.136,4175,43755,87642,397
2017-04-27$55.82$55.0026.3%7.2%20.9%21.0%25.8%1.3%0.5%4.4M-89.6M-866.0K1.1926.348,2529,84759,37444,830
2017-04-28$56.17$55.0024.9%6.9%20.9%14.0%24.3%2.6%-0.8%5.0M-102.9M-877.9K1.6120.023,7676,07960,09749,501