LUV Options History — December 2017

In December 2017, LUV traded between $59.99 and $66.11. ATM implied volatility averaged 24.7%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.6% (HV 20d: 26.3%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2017-12-15: Highest Volume — 34,553 contracts
  • 2017-12-26: Largest IV spike — 17.9% change
  • 2017-12-27: Highest IV Rank — 59.0%
  • 2017-12-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.13$59.99$66.11$59.99$65.56
Max Pain$55.10$55.00$57.00$57.00$55.00
ATM IV24.7%21.9%28.1%26.2%28.1%
Expected Move6.7%6.1%8.6%8.6%6.2%
HV 20d26.3%19.1%28.4%24.8%19.1%
HV 60d23.7%22.3%24.2%22.6%22.3%
IV Rank34.1%14.3%59.0%45.3%58.5%
IV Percentile41.0%9.1%71.8%57.9%71.8%
Term Structure1.0%-1.6%5.6%-0.1%-1.5%
VWIV24.1%21.9%31.1%31.1%23.1%
Skew 25d2.8%0.6%4.8%2.6%3.2%
Skew 10d5.2%0.8%8.7%7.5%6.6%
Call IV 25d24.0%20.7%27.6%25.7%27.6%
Put IV 25d26.7%23.1%30.9%28.3%30.8%
Bid-Ask Spread %12.637.2821.3719.469.80
Gamma HHI0.140.110.160.150.11
Net GEX13.2M10.8M16.2M16.2M11.2M
Net DEX-534.7M-594.2M-422.5M-422.5M-527.1M
Net VEX-1.3M-1.5M-1.2M-1.5M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.441.840.491.34
Total Volume17,593.1510,65434,55326,86611,509
Total OI218,307.9201,106231,356222,352217,577

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$59.99$57.0026.2%8.6%24.8%45.3%31.1%2.6%-0.1%16.2M-422.5M-1.5M0.4919.4618,0588,808143,62278,730
2017-12-04$62.09$55.0026.1%7.3%26.9%44.1%26.3%2.9%0.1%14.9M-514.3M-1.4M0.5516.3919,92210,957138,84978,640
2017-12-05$61.76$55.0026.1%7.3%27.2%44.5%26.1%2.1%0.0%14.4M-490.8M-1.4M0.519.3211,7765,955140,33083,440
2017-12-06$61.11$55.0024.6%7.3%27.1%33.7%25.9%1.9%1.8%14.2M-427.2M-1.5M0.8211.268,3966,845139,12183,625
2017-12-07$63.03$55.0023.7%6.9%28.4%27.2%24.8%3.2%-0.7%15.1M-533.1M-1.4M1.0121.379,0149,081140,18184,367
2017-12-08$63.26$55.0023.7%7.0%27.7%27.3%24.2%0.6%0.7%14.3M-550.4M-1.4M0.888.677,8586,941139,80184,858
2017-12-11$63.31$55.0024.2%7.0%27.7%30.4%25.4%2.4%0.2%15.0M-540.8M-1.3M0.447.2811,5125,039138,27782,901
2017-12-12$63.47$55.0024.7%7.0%27.4%34.3%24.7%2.5%-0.5%15.6M-547.6M-1.3M0.9210.655,8255,367140,22483,520
2017-12-13$63.15$55.0023.5%6.7%27.8%25.5%23.8%4.8%-0.1%15.2M-537.7M-1.3M0.638.4012,5107,886140,75283,763
2017-12-14$63.80$55.0023.3%6.4%27.6%23.9%23.2%2.7%-1.2%14.2M-562.4M-1.3M1.617.956,72510,857139,94087,062
2017-12-15$64.61$55.0022.7%6.3%27.6%19.6%22.6%4.6%-1.2%11.3M-594.2M-1.2M0.6512.5420,98613,567140,25791,099
2017-12-18$65.71$55.0022.4%6.4%27.0%17.5%22.5%2.3%4.6%11.1M-544.3M-1.3M0.7814.559,7347,609124,00177,105
2017-12-19$65.92$55.0022.7%6.5%26.8%20.0%22.7%2.1%5.0%11.6M-556.7M-1.3M0.9315.946,6706,194126,29378,983
2017-12-20$66.11$55.0021.9%6.3%26.9%14.3%22.3%1.9%5.4%12.2M-573.4M-1.2M0.7814.2213,06210,125127,31479,485
2017-12-21$66.06$55.0023.0%6.3%26.5%22.2%22.3%1.9%5.4%12.1M-570.6M-1.3M1.3710.826,0338,276129,54483,333
2017-12-22$65.99$55.0023.3%6.1%26.6%24.2%21.9%2.4%5.6%12.0M-568.0M-1.2M1.8412.734,7238,685130,19285,032
2017-12-26$65.93$55.0027.5%6.6%26.1%54.2%23.4%4.3%-1.6%11.4M-547.9M-1.2M1.5515.055,3428,282127,81183,765
2017-12-27$65.94$55.0028.1%6.3%25.5%59.0%22.6%3.6%-1.3%11.3M-545.3M-1.2M1.6913.443,9656,689128,92886,537
2017-12-28$65.83$55.0027.8%6.1%20.9%56.5%22.2%3.5%-0.9%10.8M-540.2M-1.2M1.1612.665,1245,956129,35087,549
2017-12-29$65.56$55.0028.1%6.2%19.1%58.5%23.1%3.2%-1.5%11.2M-527.1M-1.2M1.349.804,9266,583129,72487,853