LUV Options History — November 2017

In November 2017, LUV traded between $53.24 and $60.67. ATM implied volatility averaged 22.3%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.4% (HV 20d: 20.9%). Max pain ranged from $55.00 to $56.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2017-11-29: Highest Volume — 36,378 contracts
  • 2017-11-02: Largest IV drop — 18.8% change
  • 2017-11-01: Highest IV Rank — 57.7%
  • 2017-11-29: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.94$53.24$60.67$53.99$60.67
Max Pain$55.07$55.00$56.00$56.00$55.50
ATM IV22.3%19.9%28.3%28.3%25.3%
Expected Move6.7%6.0%8.1%7.1%8.0%
HV 20d20.9%14.9%24.1%21.3%24.1%
HV 60d22.2%19.5%24.1%24.1%22.5%
IV Rank13.6%0.0%57.7%57.7%38.6%
IV Percentile14.6%0.0%71.8%71.8%47.6%
Term Structure0.1%-1.8%2.3%1.8%-0.6%
VWIV23.5%21.1%30.2%24.3%30.2%
Skew 25d2.6%0.5%4.1%2.4%2.7%
Skew 10d6.3%-1.9%24.1%18.1%24.1%
Call IV 25d21.7%19.4%31.1%31.1%25.1%
Put IV 25d24.3%21.2%33.5%33.5%27.8%
Bid-Ask Spread %18.138.9962.4615.9362.46
Gamma HHI0.180.110.240.130.15
Net GEX11.1M4.5M17.9M6.0M17.1M
Net DEX-104.5M-472.6M18.1M-30.4M-472.6M
Net VEX-1.4M-1.5M-1.3M-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.411.480.950.88
Total Volume14,816.3338,35136,37811,46133,190
Total OI215,489.857193,925233,284215,918221,805

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$53.99$56.0028.3%7.1%21.3%57.7%24.3%2.4%1.8%6.0M-30.4M-1.4M0.9515.935,8895,572138,32777,591
2017-11-02$54.00$55.0023.0%6.9%21.3%17.1%23.9%2.7%-0.5%6.1M-22.4M-1.4M0.7611.875,4974,200139,78977,857
2017-11-03$54.12$55.0021.9%6.8%21.3%9.0%24.7%3.6%-0.1%5.5M-35.2M-1.4M0.9517.734,8534,622140,89477,883
2017-11-06$54.51$55.0022.5%6.8%21.4%13.4%23.6%2.7%2.0%5.9M-51.3M-1.4M0.8716.388,3847,315134,81577,019
2017-11-07$53.87$55.0022.0%6.8%21.3%9.4%23.1%3.0%2.0%4.5M-11.7M-1.4M0.419.2014,7766,100137,07279,167
2017-11-08$53.99$55.0021.6%6.7%20.9%6.3%23.8%3.6%1.9%6.3M-16.1M-1.3M0.8115.176,0864,933145,34778,993
2017-11-09$53.47$55.0022.5%7.0%20.8%13.6%23.4%3.2%2.3%7.8M18.1M-1.3M0.7216.0710,7337,720146,59479,776
2017-11-10$53.48$55.0023.4%6.8%20.6%20.2%23.6%4.1%1.4%8.1M11.5M-1.4M1.4414.955,5598,002150,92282,362
2017-11-13$53.24$55.0023.2%6.7%20.5%18.5%23.1%2.9%-0.6%7.2M-19.7M-1.3M1.189.325,9507,020144,14072,621
2017-11-14$53.71$55.0023.2%6.7%21.1%18.7%23.2%2.6%-1.6%9.2M-44.9M-1.4M0.6212.906,3883,936145,20373,482
2017-11-15$54.60$55.0022.9%6.6%22.3%16.5%23.3%3.1%-0.8%13.6M-89.1M-1.4M0.7310.646,0854,444146,91774,251
2017-11-16$55.28$55.0021.2%6.2%23.1%3.4%21.9%2.4%-1.8%17.7M-136.2M-1.4M0.6713.137,3284,881147,39474,365
2017-11-17$54.72$55.0020.6%6.0%22.4%0.0%21.1%2.6%-0.8%11.3M-99.7M-1.4M0.808.995,0244,011149,01674,994
2017-11-20$54.68$55.0021.3%6.3%22.3%5.2%21.7%2.4%-1.2%11.4M-102.1M-1.3M0.5928.6211,0906,507126,90267,023
2017-11-21$55.40$55.0020.4%6.2%23.0%0.0%21.7%1.7%-0.2%15.4M-152.8M-1.4M1.2016.095,7326,867131,76969,758
2017-11-22$55.06$55.0020.2%6.2%20.9%0.0%22.0%1.8%-0.0%15.9M-132.1M-1.4M1.3915.713,9715,503133,90773,488
2017-11-24$55.14$55.0019.9%6.0%15.9%0.0%22.0%1.8%-0.9%16.8M-133.2M-1.4M1.4819.443,3654,986134,30873,959
2017-11-27$54.67$55.0020.3%6.2%14.9%2.3%21.5%0.5%-0.3%13.4M-103.5M-1.3M0.9716.765,8825,682132,14171,670
2017-11-28$56.15$55.0021.4%6.5%17.0%10.3%22.9%2.0%1.1%16.5M-188.7M-1.4M0.6823.799,9386,744132,90573,491
2017-11-29$58.89$55.0023.5%8.1%22.4%25.6%29.0%2.3%0.1%17.9M-381.9M-1.5M0.4625.5124,84511,533141,17474,196
2017-11-30$60.67$55.5025.3%8.0%24.1%38.6%30.2%2.7%-0.6%17.1M-472.6M-1.5M0.8862.4617,65215,538144,43077,375