LUV Options History — June 2017

In June 2017, LUV traded between $59.03 and $62.47. ATM implied volatility averaged 23.1%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.1% (HV 20d: 17.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2017-06-05: Highest Volume — 11,885 contracts
  • 2017-06-26: Largest IV spike — 13.8% change
  • 2017-06-29: Highest IV Rank — 49.5%
  • 2017-06-05: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.65$59.03$62.47$60.32$62.47
Max Pain$59.55$55.00$60.00$55.00$60.00
ATM IV23.1%20.7%28.3%22.4%27.8%
Expected Move6.3%5.9%6.7%6.4%6.2%
HV 20d17.0%13.3%19.7%19.5%13.6%
HV 60d20.1%18.4%22.4%22.4%18.4%
IV Rank10.4%0.0%49.5%3.0%46.1%
IV Percentile12.8%0.0%60.7%0.8%56.3%
Term Structure0.9%-1.4%4.9%-0.8%-0.2%
VWIV22.3%20.5%24.6%22.9%21.9%
Skew 25d2.3%1.4%3.6%1.4%2.9%
Skew 10d5.2%3.1%13.9%3.1%6.1%
Call IV 25d22.5%19.9%27.3%22.8%27.1%
Put IV 25d24.8%21.7%30.3%24.2%29.9%
Bid-Ask Spread %15.217.1922.2811.6219.28
Gamma HHI0.150.080.530.190.26
Net GEX5.2M2.4M12.1M5.2M7.9M
Net DEX-113.4M-146.5M-65.2M-143.6M-145.8M
Net VEX-800.4K-833.1K-772.3K-799.4K-829.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.582.062.060.94
Total Volume8,125.0455,60611,8857,7796,135
Total OI94,013.31878,673106,84099,54189,257

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$60.32$55.0022.4%6.4%19.5%3.0%22.9%1.4%-0.8%5.2M-143.6M-799.4K2.0611.622,5435,23654,26645,275
2017-06-02$60.41$55.0021.9%6.4%19.5%0.1%22.5%2.2%-0.3%5.2M-146.5M-794.7K1.0814.015,0945,49054,63545,897
2017-06-05$60.99$60.0021.9%6.7%19.7%0.2%23.5%1.5%0.4%5.2M-132.7M-787.0K0.6613.797,1484,73749,12442,517
2017-06-06$60.21$60.0022.3%6.6%19.0%2.4%23.7%2.4%0.5%6.0M-114.1M-803.3K1.2314.334,4985,55452,63844,445
2017-06-07$60.11$60.0021.8%6.5%18.3%0.0%24.6%1.9%0.3%6.3M-108.9M-808.5K1.137.194,8725,52154,80246,716
2017-06-08$59.03$60.0022.1%6.5%19.6%1.4%22.6%2.1%0.3%3.5M-65.2M-801.9K1.2115.064,7535,74955,46648,969
2017-06-09$59.44$60.0021.8%6.5%19.7%0.0%22.9%2.5%0.1%3.4M-78.7M-816.3K1.4519.303,4094,93956,00150,839
2017-06-12$59.10$60.0022.8%6.6%18.8%5.6%23.9%2.8%0.2%3.4M-68.8M-798.6K1.4316.633,8455,48953,95547,059
2017-06-13$59.26$60.0022.3%6.4%18.1%3.0%23.0%3.2%-0.0%3.2M-70.0M-788.2K1.2710.062,9383,74454,24648,664
2017-06-14$59.50$60.0022.3%6.5%18.1%3.0%22.8%2.3%0.5%4.2M-78.5M-801.8K1.0710.113,6873,95554,78049,447
2017-06-15$60.05$60.0021.7%6.4%16.7%0.0%22.7%2.3%0.6%7.7M-100.3M-792.7K0.889.353,8963,42355,48650,519
2017-06-16$60.18$60.0022.0%6.3%16.7%1.5%21.9%2.0%-0.4%12.1M-115.2M-782.5K0.589.795,7083,33456,11850,609
2017-06-19$60.97$60.0020.7%6.0%16.9%0.0%20.6%2.1%4.3%2.7M-109.2M-778.2K0.7417.963,8902,88943,41035,263
2017-06-20$60.30$60.0020.8%6.0%16.6%0.1%21.6%2.3%4.8%2.4M-97.9M-772.3K0.9716.993,1993,09545,08536,256
2017-06-21$61.07$60.0020.9%6.0%16.8%0.8%21.2%2.0%4.1%3.8M-116.3M-788.6K0.9617.663,3723,22945,65236,494
2017-06-22$61.50$60.0021.8%6.0%16.9%5.0%21.3%1.5%4.6%4.9M-128.1M-786.9K0.7818.015,3594,19746,69337,061
2017-06-23$61.91$60.0022.3%5.9%14.8%7.6%20.5%1.4%4.9%6.6M-142.7M-789.4K0.5914.715,3403,15648,91235,898
2017-06-26$61.77$60.0025.4%6.0%14.6%22.7%21.2%2.6%-0.7%5.1M-131.8M-803.4K1.3716.852,9994,11048,88534,919
2017-06-27$61.65$60.0027.5%6.2%13.3%33.4%21.6%3.6%-0.9%5.0M-129.1M-820.5K1.4617.782,7113,96149,89536,385
2017-06-28$62.04$60.0028.0%6.2%13.3%42.8%21.9%2.6%-1.0%5.4M-137.5M-833.1K1.0522.282,9033,03850,12637,142
2017-06-29$61.93$60.0028.3%6.4%13.4%49.5%22.4%3.2%-1.4%5.5M-133.0M-832.2K1.1721.762,5843,02250,66537,822
2017-06-30$62.47$60.0027.8%6.2%13.6%46.1%21.9%2.9%-0.2%7.9M-145.8M-829.6K0.9419.283,1632,97250,84638,411