LUV Options History — May 2017

In May 2017, LUV traded between $56.42 and $61.04. ATM implied volatility averaged 23.4%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.9% (HV 20d: 21.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.64.

Notable Days

  • 2017-05-25: Highest Volume — 13,824 contracts
  • 2017-05-17: Largest IV spike — 20.4% change
  • 2017-05-17: Highest IV Rank — 25.2%
  • 2017-05-17: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.51$56.42$61.04$56.42$60.12
Max Pain$53.18$50.00$55.00$55.00$55.00
ATM IV23.4%21.9%27.0%24.5%22.7%
Expected Move6.7%6.3%7.8%6.8%6.6%
HV 20d21.4%19.5%23.0%20.9%19.5%
HV 60d24.0%22.6%25.3%24.6%22.6%
IV Rank5.8%0.0%25.2%11.5%4.7%
IV Percentile5.4%0.0%43.3%4.0%3.2%
Term Structure0.1%-2.1%2.0%0.1%-0.4%
VWIV23.8%22.5%26.1%23.5%23.7%
Skew 25d1.9%1.2%3.3%1.2%1.4%
Skew 10d3.7%2.3%5.5%2.6%3.3%
Call IV 25d22.8%21.7%24.7%23.7%22.7%
Put IV 25d24.7%23.2%27.9%24.9%24.1%
Bid-Ask Spread %13.685.9824.2523.6015.36
Gamma HHI0.160.100.340.120.20
Net GEX6.1M2.1M10.0M3.9M4.8M
Net DEX-134.6M-175.0M-100.1M-100.1M-136.2M
Net VEX-834.8K-875.8K-795.8K-857.8K-801.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.882.481.052.42
Total Volume10,858.9098,19013,82410,5498,190
Total OI99,911.27391,505105,67696,01897,555

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$56.42$55.0024.5%6.8%20.9%11.5%23.5%1.2%0.1%3.9M-100.1M-857.8K1.0523.605,1465,40354,11341,905
2017-05-02$58.11$55.0023.4%6.7%23.0%5.6%23.6%2.1%0.3%5.9M-141.4M-862.8K0.8824.256,0255,28956,42542,633
2017-05-03$58.27$55.0022.9%6.7%21.7%3.3%23.6%2.1%0.6%7.3M-149.6M-875.8K2.1823.382,8906,30858,55143,201
2017-05-04$58.30$50.0022.7%6.7%21.7%2.1%22.9%2.6%1.2%7.4M-148.6M-861.1K1.5913.813,8136,08158,34141,960
2017-05-05$58.34$50.0022.7%6.6%21.7%1.8%25.3%1.9%-0.0%7.4M-148.9M-848.2K2.1912.023,6067,88258,22642,388
2017-05-08$57.30$50.0023.3%7.0%21.9%5.3%23.9%1.7%0.8%5.3M-113.7M-848.8K1.7212.884,2447,28556,36642,756
2017-05-09$58.26$50.0022.9%6.6%22.1%2.9%23.3%1.2%0.2%6.0M-137.1M-846.6K1.4810.734,9157,29456,64944,092
2017-05-10$58.27$50.0022.7%6.5%21.9%2.1%23.4%1.6%0.2%7.2M-139.2M-851.8K2.469.162,9337,21158,11544,540
2017-05-11$58.11$50.0022.6%6.6%21.8%1.6%23.9%1.9%0.2%7.0M-132.7M-841.6K2.489.622,9667,36158,10245,272
2017-05-12$57.17$50.0023.5%7.1%21.3%6.3%23.9%2.1%2.0%2.1M-102.6M-841.9K1.8210.603,2935,97958,91546,761
2017-05-15$58.07$50.0023.1%6.6%21.7%4.2%24.3%1.8%0.5%5.4M-127.5M-827.7K1.0210.305,8335,96456,63943,596
2017-05-16$58.23$55.0022.4%6.4%21.7%0.7%23.3%1.7%0.8%7.0M-140.0M-818.1K1.987.882,8545,65759,05144,284
2017-05-17$57.15$55.0027.0%7.8%23.0%25.2%26.1%3.1%-2.1%4.9M-105.4M-846.5K1.2420.934,9456,15259,86244,826
2017-05-18$57.45$55.0026.3%7.6%20.8%21.3%25.5%3.3%-1.8%5.8M-114.9M-839.9K1.415.984,0285,69659,97345,257
2017-05-19$57.96$55.0023.9%6.8%20.8%8.5%24.0%1.6%0.3%10.0M-133.7M-827.2K1.018.516,1356,17659,75245,745
2017-05-22$59.01$55.0023.5%6.6%21.2%6.3%23.6%1.6%-0.1%4.7M-128.3M-822.0K0.9612.666,5916,30051,15540,350
2017-05-23$59.58$55.0023.2%6.6%21.0%4.9%23.2%1.8%-0.2%5.6M-144.1M-831.5K1.3513.235,5757,55053,53541,385
2017-05-24$59.56$55.0023.1%6.5%20.9%4.1%22.9%2.0%-0.4%6.3M-141.5M-816.0K2.2513.652,9556,65053,70442,230
2017-05-25$61.04$55.0022.4%6.3%20.4%0.7%22.9%1.7%0.2%6.5M-175.0M-804.6K1.6914.405,1388,68654,46043,005
2017-05-26$60.65$55.0021.9%6.3%20.7%0.0%22.5%1.5%-0.2%7.7M-167.9M-798.7K1.6013.094,1876,69054,86642,992
2017-05-30$59.74$55.0022.9%6.8%21.8%5.4%24.2%2.5%-0.2%5.2M-133.0M-795.8K1.3914.834,6066,41453,12341,392
2017-05-31$60.12$55.0022.7%6.6%19.5%4.7%23.7%1.4%-0.4%4.8M-136.2M-801.6K2.4215.362,3955,79553,51744,038