LUV Options History — July 2017

In July 2017, LUV traded between $55.72 and $64.21. ATM implied volatility averaged 27.8%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 11.3% (HV 20d: 16.5%). Max pain ranged from $59.50 to $61.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-07-27: Highest Volume — 56,307 contracts
  • 2017-07-28: Largest IV drop — 10.6% change
  • 2017-07-12: Highest IV Rank — 63.0%
  • 2017-07-26: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.85$55.72$64.21$62.07$55.72
Max Pain$60.02$59.50$61.00$60.00$59.50
ATM IV27.8%23.1%29.3%28.5%23.1%
Expected Move7.7%6.4%8.5%6.4%6.5%
HV 20d16.5%12.2%23.6%13.6%23.3%
HV 60d18.3%17.3%19.7%18.5%19.7%
IV Rank52.0%18.3%63.0%50.6%18.3%
IV Percentile56.3%12.3%70.2%62.3%12.3%
Term Structure-1.0%-2.0%-0.1%-0.7%-0.1%
VWIV27.3%21.8%33.8%21.8%24.1%
Skew 25d2.3%1.3%2.9%1.6%1.4%
Skew 10d5.1%0.6%11.5%4.9%3.1%
Call IV 25d27.0%23.2%28.4%27.7%23.2%
Put IV 25d29.3%24.6%30.8%29.3%24.6%
Bid-Ask Spread %16.877.1039.6523.0627.75
Gamma HHI0.120.070.260.130.10
Net GEX5.3M-194.9K9.2M4.7M1.0M
Net DEX-104.3M-183.8M-377.6K-129.6M-377.6K
Net VEX-841.6K-923.6K-807.1K-810.0K-886.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.241.510.790.75
Total Volume11,159.755,89956,3076,36111,705
Total OI101,838.5586,140133,66086,140130,334

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$62.07$60.0028.5%6.4%13.6%50.6%21.8%1.6%-0.7%4.7M-129.6M-810.0K0.7923.063,5522,80949,06437,076
2017-07-05$63.22$61.0028.5%6.4%13.9%51.0%22.1%2.7%-1.7%5.5M-153.6M-808.0K1.0017.213,2003,19749,99238,147
2017-07-06$63.25$60.0028.8%7.6%13.8%52.5%26.1%2.2%-1.5%6.2M-157.0M-820.9K0.7915.413,2932,60651,71039,155
2017-07-07$64.21$60.0028.3%7.6%12.2%52.5%27.2%2.5%-1.9%6.4M-183.8M-826.0K1.0815.362,9973,22952,52739,640
2017-07-10$63.19$60.0028.8%7.7%14.1%58.0%27.8%2.8%-1.4%5.7M-150.4M-808.3K0.438.889,2523,93851,35238,656
2017-07-11$61.91$60.0029.3%8.2%16.1%62.9%27.7%2.3%-0.1%7.7M-139.1M-844.9K1.2214.472,8043,42358,02240,883
2017-07-12$62.03$60.0029.2%8.2%16.1%63.0%27.7%2.7%-0.4%7.6M-142.3M-842.0K1.4715.112,7093,98358,18741,594
2017-07-13$61.99$60.0028.7%8.1%16.1%59.4%28.1%2.6%-0.9%7.8M-141.1M-845.9K1.4710.372,4713,62559,08243,458
2017-07-14$61.97$60.0028.2%8.0%15.9%57.2%26.7%1.9%-0.8%8.0M-140.4M-837.4K1.5110.273,1434,75059,23143,878
2017-07-17$62.24$60.0028.9%8.2%16.0%62.1%27.4%2.9%-1.8%9.2M-150.6M-826.4K1.4511.603,2384,69958,29542,513
2017-07-18$61.60$60.0028.9%8.2%15.9%62.3%27.6%2.9%-1.9%7.8M-125.4M-829.2K0.9313.923,0882,86859,39444,777
2017-07-19$61.41$60.0028.6%8.2%15.4%60.2%27.9%2.6%-2.0%7.2M-115.1M-821.5K1.2814.723,5814,58560,14945,582
2017-07-20$60.38$60.0027.8%8.0%16.0%53.5%28.3%2.9%-0.7%8.6M-72.1M-807.1K0.817.104,8263,91661,10647,495
2017-07-21$60.40$60.0027.6%8.0%15.7%52.5%28.4%2.9%-1.1%6.5M-73.7M-830.6K1.5112.853,2554,90463,02047,688
2017-07-24$59.85$60.0027.8%8.3%15.7%53.8%28.9%2.2%-0.8%1.9M-67.9M-812.9K0.6814.585,6503,86348,42441,380
2017-07-25$58.92$60.0027.6%8.3%16.5%52.5%28.7%2.1%-0.7%1.6M-55.6M-837.5K1.0818.995,2175,64451,52542,572
2017-07-26$59.52$60.0027.7%8.5%17.1%52.9%29.5%2.9%-1.1%2.4M-70.8M-916.4K1.2522.026,5838,21455,28645,310
2017-07-27$56.68$60.0026.3%7.5%23.6%42.6%33.8%1.3%-0.7%-194.9K-10.4M-896.4K0.2439.6545,32410,98358,34648,261
2017-07-28$56.52$60.0023.5%6.7%23.6%21.2%26.2%1.5%-0.1%1.2M-6.4M-923.6K0.5124.0410,6295,44280,98052,680
2017-07-31$55.72$59.5023.1%6.5%23.3%18.3%24.1%1.4%-0.1%1.0M-377.6K-886.3K0.7527.756,6975,00881,50748,827