LUV Options History — October 2017

In October 2017, LUV traded between $53.85 and $59.32. ATM implied volatility averaged 27.5%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 7.5% (HV 20d: 20.0%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.43.

Notable Days

  • 2017-10-25: Highest Volume — 38,995 contracts
  • 2017-10-25: Largest IV spike — 22.6% change
  • 2017-10-25: Highest IV Rank — 82.3%
  • 2017-10-25: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.64$53.85$59.32$55.91$53.85
Max Pain$56.34$55.00$57.50$55.00$56.00
ATM IV27.5%24.0%31.5%28.9%24.4%
Expected Move7.7%6.1%8.7%6.3%7.2%
HV 20d20.0%14.8%27.1%14.8%21.2%
HV 60d24.0%21.9%24.8%22.9%24.3%
IV Rank51.9%24.6%82.3%62.3%28.0%
IV Percentile61.3%28.2%92.1%73.8%32.1%
Term Structure-0.9%-2.8%1.2%-0.5%-0.1%
VWIV26.8%21.6%29.6%21.7%22.8%
Skew 25d2.8%0.7%14.4%2.5%3.6%
Skew 10d4.4%0.7%21.1%4.0%0.7%
Call IV 25d26.8%22.8%28.4%27.6%22.8%
Put IV 25d29.5%25.8%41.0%30.1%26.4%
Bid-Ask Spread %25.179.5661.0917.3612.79
Gamma HHI0.140.070.180.130.13
Net GEX12.5M-1.4M24.0M8.5M5.8M
Net DEX-233.7M-342.1M19.8M-165.3M-16.2M
Net VEX-1.4M-1.5M-1.4M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.313.040.670.76
Total Volume17,053.8189,66338,9959,66315,335
Total OI192,929.091167,262211,541167,262211,541

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$55.91$55.0028.9%6.3%14.8%62.3%21.7%2.5%-0.5%8.5M-165.3M-1.4M0.6717.365,7783,885102,09765,165
2017-10-03$58.54$55.0028.5%6.2%18.8%59.4%21.8%1.7%-1.3%12.4M-284.9M-1.4M0.3119.3222,2906,895105,69865,658
2017-10-04$58.36$55.0029.3%6.1%19.1%65.5%21.6%1.8%-1.4%17.8M-321.6M-1.5M0.6919.518,5875,967117,81567,886
2017-10-05$58.31$55.0028.3%7.6%19.2%57.4%26.5%3.0%-1.3%19.8M-314.5M-1.5M1.1212.496,0166,763118,93368,781
2017-10-06$58.42$55.0028.1%7.7%19.0%55.8%26.9%1.9%-1.0%24.0M-322.1M-1.5M2.9716.454,80314,281120,64770,040
2017-10-09$57.64$55.0028.6%7.9%19.8%60.3%27.6%2.0%-0.2%14.7M-261.7M-1.5M2.2912.665,31912,205117,58170,077
2017-10-10$57.99$55.0028.7%8.0%19.8%60.8%27.9%2.4%-0.4%14.7M-276.4M-1.5M0.7912.686,1464,849118,48377,935
2017-10-11$58.51$55.0028.2%7.8%19.7%56.9%27.3%1.7%-0.9%17.2M-309.2M-1.5M0.6513.478,8155,705119,66578,420
2017-10-12$58.79$55.0027.8%7.6%19.4%54.1%27.3%1.9%-1.8%17.2M-317.2M-1.5M1.0723.925,8266,251120,85979,340
2017-10-13$59.06$57.5027.5%7.7%19.4%51.3%27.3%2.2%-1.0%18.0M-342.1M-1.5M1.489.564,9817,392123,28481,132
2017-10-16$58.95$57.5028.2%8.0%18.7%57.3%28.3%2.5%-1.6%18.0M-316.5M-1.5M1.8646.754,1597,739120,66580,292
2017-10-17$58.75$57.5028.8%8.2%18.1%61.4%28.8%2.1%-2.0%17.5M-301.7M-1.5M1.8915.473,7897,143120,88781,514
2017-10-18$58.76$57.5027.4%7.9%17.9%51.0%28.5%2.1%-0.9%16.8M-299.0M-1.5M2.8215.492,5567,208120,97382,105
2017-10-19$58.58$57.5028.9%8.4%18.0%62.7%29.6%2.9%-2.8%14.7M-291.0M-1.4M3.0422.763,60110,964120,77582,727
2017-10-20$59.32$57.5026.5%7.7%18.3%43.6%27.4%2.1%-1.8%8.1M-329.2M-1.4M2.1918.654,80010,520120,85085,729
2017-10-23$58.70$57.5026.1%8.0%18.9%41.1%27.5%2.1%-0.5%7.9M-221.9M-1.4M1.5638.826,46810,076101,05567,301
2017-10-24$58.81$57.5025.7%8.2%18.8%38.0%28.7%1.5%-0.8%8.0M-228.0M-1.4M1.8923.534,6238,746104,24870,172
2017-10-25$57.12$57.5031.5%8.7%21.9%82.3%29.6%14.4%0.5%5.3M-142.1M-1.4M1.1145.7118,46520,530105,73972,352
2017-10-26$54.97$57.5025.2%8.1%25.9%34.1%29.0%3.7%-0.9%2.0M-33.1M-1.4M1.3461.099,58912,834118,03079,815
2017-10-27$54.04$57.5025.1%7.8%26.6%33.5%27.6%0.7%1.2%-1.4M19.8M-1.4M0.3758.4525,7489,485119,85183,377
2017-10-30$54.77$56.0024.0%7.6%27.1%24.6%25.8%2.2%-0.2%7.3M-68.6M-1.4M0.6536.7110,9717,081130,33874,608
2017-10-31$53.85$56.0024.4%7.2%21.2%28.0%22.8%3.6%-0.1%5.8M-16.2M-1.4M0.7612.798,6906,645134,45277,089