LUV Options History — September 2017

In September 2017, LUV traded between $51.16 and $56.13. ATM implied volatility averaged 24.9%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.1% (HV 20d: 24.8%). Max pain ranged from $53.00 to $55.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-09-27: Highest Volume — 23,289 contracts
  • 2017-09-25: Largest IV spike — 17.6% change
  • 2017-09-27: Highest IV Rank — 65.0%
  • 2017-09-05: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.08$51.16$56.13$52.21$55.96
Max Pain$54.90$53.00$55.00$53.00$55.00
ATM IV24.9%21.8%29.3%23.7%28.5%
Expected Move6.8%6.0%7.8%6.6%6.0%
HV 20d24.8%14.7%29.8%28.6%14.7%
HV 60d23.3%22.6%23.6%22.6%23.2%
IV Rank31.5%7.9%65.0%22.4%58.9%
IV Percentile33.7%3.6%74.2%21.8%69.4%
Term Structure1.3%-1.4%6.5%0.1%-1.1%
VWIV24.0%20.6%27.6%23.3%20.6%
Skew 25d2.1%1.4%3.2%1.9%2.0%
Skew 10d5.7%2.8%15.1%3.1%12.4%
Call IV 25d24.1%20.9%28.7%22.9%28.1%
Put IV 25d26.2%22.9%30.6%24.8%30.1%
Bid-Ask Spread %16.2910.5922.3719.6522.37
Gamma HHI0.120.090.290.110.29
Net GEX5.0M-1.1M20.1M1.2M20.1M
Net DEX-59.6M-176.0M59.0M16.4M-176.0M
Net VEX-1.2M-1.4M-1.1M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.231.250.800.54
Total Volume10,804.856,72523,28911,11715,331
Total OI157,958.8132,726173,997167,063169,921

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$52.21$53.0023.7%6.6%28.6%22.4%23.3%1.9%0.1%1.2M16.4M-1.2M0.8019.656,1904,92794,51272,551
2017-09-05$51.16$55.0025.6%7.8%28.6%36.7%26.7%3.2%0.1%-1.1M59.0M-1.1M0.9518.165,8775,60291,16871,302
2017-09-06$51.68$55.0025.3%7.7%28.8%34.9%27.6%2.5%0.4%117.1K34.8M-1.2M0.8211.108,4376,90294,15472,380
2017-09-07$52.20$55.0025.3%7.6%29.1%35.1%26.7%2.3%0.8%2.8M8.8M-1.2M0.7113.525,7624,06797,74773,384
2017-09-08$52.91$55.0024.1%7.6%29.4%26.0%26.3%2.3%-0.2%3.5M-17.7M-1.2M1.0214.724,1084,20797,20373,533
2017-09-11$53.63$55.0023.9%7.3%29.8%24.0%25.8%1.7%1.2%6.0M-40.6M-1.2M0.5915.616,9634,10094,51471,675
2017-09-12$53.95$55.0023.4%6.8%29.6%19.9%25.8%1.8%0.2%7.4M-58.5M-1.2M0.8617.736,0445,19797,21672,266
2017-09-13$54.59$55.0022.6%6.7%29.8%14.0%23.8%1.4%0.6%9.4M-92.6M-1.2M0.5710.596,1343,49297,91874,183
2017-09-14$54.34$55.0022.0%6.6%29.8%9.5%23.6%2.0%1.0%9.2M-75.9M-1.2M0.9412.004,0393,78199,05574,514
2017-09-15$54.69$55.0021.8%6.4%26.5%7.9%22.9%1.9%0.9%2.7M-80.5M-1.2M0.8717.064,4933,90999,00974,988
2017-09-18$54.05$55.0023.1%6.7%26.9%18.0%23.6%1.9%4.6%2.7M-50.3M-1.2M1.2315.323,1453,87573,91658,810
2017-09-19$53.51$55.0023.8%6.8%27.2%23.1%23.4%2.0%4.8%1.9M-30.7M-1.2M1.1216.193,4593,86174,86259,953
2017-09-20$54.25$55.0022.9%6.6%27.6%16.5%22.9%2.1%3.7%2.9M-55.7M-1.2M1.2018.063,2113,85076,08460,960
2017-09-21$54.63$55.0022.8%6.2%24.6%15.5%21.7%2.0%6.5%3.6M-67.6M-1.2M1.2116.765,8787,13377,21261,611
2017-09-22$54.96$55.0024.1%6.2%22.5%25.6%22.2%2.3%6.1%4.4M-81.3M-1.2M0.9117.863,8673,52781,23765,812
2017-09-25$55.11$55.0028.3%6.6%17.2%58.0%23.6%2.2%-1.4%3.6M-85.2M-1.2M1.2519.232,9933,73280,40564,663
2017-09-26$55.67$55.0028.4%6.8%15.3%58.1%24.3%2.1%-0.9%4.3M-107.0M-1.2M0.9518.624,4384,23281,38465,659
2017-09-27$55.87$55.0029.3%6.4%15.1%65.0%23.3%1.9%-0.9%6.0M-118.8M-1.2M0.2319.8318,8824,40783,02566,153
2017-09-28$56.13$55.0028.7%6.0%14.9%61.0%21.5%2.3%-0.9%9.8M-172.3M-1.4M0.4911.5010,7795,26697,31266,925
2017-09-29$55.96$55.0028.5%6.0%14.7%58.9%20.6%2.0%-1.1%20.1M-176.0M-1.4M0.5422.379,9345,397102,31767,604