LUV Options History — August 2017

In August 2017, LUV traded between $50.54 and $56.52. ATM implied volatility averaged 22.9%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.2% (HV 20d: 24.1%). Max pain ranged from $53.00 to $59.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-08-23: Highest Volume — 37,325 contracts
  • 2017-08-17: Largest IV spike — 10.7% change
  • 2017-08-17: Highest IV Rank — 28.6%
  • 2017-08-17: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.82$50.54$56.52$55.70$52.16
Max Pain$55.13$53.00$59.00$59.00$53.00
ATM IV22.9%21.4%24.5%22.3%23.7%
Expected Move6.6%6.3%7.0%6.4%6.7%
HV 20d24.1%21.2%29.0%23.4%29.0%
HV 60d20.2%18.7%22.8%19.7%22.8%
IV Rank16.3%4.7%28.6%12.1%22.7%
IV Percentile13.1%1.2%24.2%6.0%21.8%
Term Structure0.1%-1.0%1.8%-0.3%0.5%
VWIV23.1%21.9%24.4%22.8%23.7%
Skew 25d2.3%1.4%3.3%1.4%2.4%
Skew 10d4.2%-1.2%6.9%3.7%2.8%
Call IV 25d22.4%21.1%24.0%22.4%23.0%
Put IV 25d24.7%22.6%26.2%23.9%25.3%
Bid-Ask Spread %15.9810.7628.5615.7215.58
Gamma HHI0.120.090.280.100.10
Net GEX575.2K-3.5M7.6M1.5M2.5M
Net DEX20.6M-27.9M64.7M-1.4M21.6M
Net VEX-1.0M-1.2M-898.9K-898.9K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.261.290.620.96
Total Volume12,499.9137,61537,32515,22110,254
Total OI146,903.696123,892164,648134,485164,648

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$55.70$59.0022.3%6.4%23.4%12.1%22.8%1.4%-0.3%1.5M-1.4M-898.9K0.6215.729,4045,81783,61150,874
2017-08-02$55.66$58.0022.4%6.4%21.7%12.6%22.0%1.7%-0.5%1.6M-1.3M-931.0K0.9717.655,3505,18587,53154,148
2017-08-03$55.93$55.0021.4%6.5%21.9%4.7%23.0%2.7%-0.4%2.9M-5.9M-949.3K0.6317.057,9784,99788,12056,473
2017-08-04$56.52$55.0021.5%6.5%21.4%5.5%21.9%1.5%-0.1%7.6M-27.9M-988.9K0.5917.178,5675,04789,80057,585
2017-08-07$55.39$55.0021.6%6.6%21.7%6.6%23.0%2.0%1.8%805.8K-961.5K-1.0M0.9314.625,9875,57688,78057,074
2017-08-08$54.65$55.0022.0%6.5%21.2%9.5%22.4%1.9%0.6%-957.3K21.0M-999.6K1.1415.514,0724,63090,65759,678
2017-08-09$54.75$55.0022.2%6.6%21.2%10.9%22.5%2.5%0.5%-1.6M21.1M-1.0M1.0015.783,8003,81591,33961,211
2017-08-10$54.05$55.0023.4%6.7%21.3%20.4%24.0%2.8%-0.2%-3.4M40.8M-1.0M0.6915.744,6543,19991,75761,242
2017-08-11$54.29$55.0023.3%6.8%21.5%19.8%24.1%3.3%0.3%-3.5M30.9M-992.8K0.8618.784,2303,62692,43661,305
2017-08-14$54.81$55.0022.1%6.3%21.9%10.0%22.9%2.6%-0.0%-106.2K12.9M-1.0M1.0214.624,2454,32890,51758,435
2017-08-15$55.24$55.0022.3%6.4%22.4%11.5%22.4%3.2%-0.1%563.2K408.5K-987.7K1.2812.233,5414,51691,37058,954
2017-08-16$55.31$55.0022.1%6.3%22.6%10.4%22.1%2.2%-1.0%758.6K-2.2M-993.8K0.6518.225,0273,24792,04159,744
2017-08-17$53.26$55.0024.5%7.0%25.1%28.6%24.4%2.4%-0.4%-444.8K51.4M-960.5K0.6018.315,6603,41693,79060,097
2017-08-18$53.33$55.0023.1%6.6%25.1%18.1%22.9%2.1%0.4%-886.6K51.8M-946.1K1.2414.144,1205,11495,64560,690
2017-08-21$53.57$55.0022.8%6.5%25.4%15.9%23.0%2.5%-0.1%801.3K19.1M-960.8K0.8114.575,3104,28268,04255,850
2017-08-22$53.49$55.0022.2%6.3%25.1%11.4%21.9%1.8%0.3%1.6M14.7M-974.5K1.0815.043,6793,97070,84957,350
2017-08-23$51.75$55.0023.8%6.6%26.3%23.2%23.1%2.7%0.2%-449.5K48.3M-924.2K0.2628.5629,7117,61472,04156,707
2017-08-24$50.54$55.0024.2%6.9%22.2%26.4%23.6%1.7%0.5%-1.2M64.7M-975.4K0.8413.248,5557,21082,09159,726
2017-08-25$52.77$55.0023.5%6.5%28.2%21.2%23.5%2.3%0.4%3.0M-6.1M-1.1M0.9818.4511,30611,08586,54461,009
2017-08-28$51.74$55.0024.2%6.8%28.6%26.7%23.6%2.9%0.7%1.1M31.6M-1.1M1.2410.765,0576,25184,06562,705
2017-08-29$51.57$55.0023.9%6.8%28.5%24.3%23.8%2.6%-0.2%890.1K36.4M-1.1M1.2913.9510,15313,07585,39363,567
2017-08-30$51.46$53.0023.7%6.9%28.5%22.9%24.0%2.3%0.6%18.0K52.4M-1.1M0.7311.956,2494,58991,82871,466
2017-08-31$52.16$53.0023.7%6.7%29.0%22.7%23.7%2.4%0.5%2.5M21.6M-1.2M0.9615.585,2305,02492,88071,768