LUV Options History — January 2018

In January 2018, LUV traded between $59.92 and $66.26. ATM implied volatility averaged 28.7%, placing in the 64.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 8.3% (HV 20d: 20.4%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2018-01-25: Highest Volume — 42,536 contracts
2018-01-31: Largest IV spike — 17.1% change
2018-01-31: Highest IV Rank — 84.8%
2018-01-24: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.61	$59.92	$66.26	$66.26	$60.88
Max Pain	$62.88	$55.00	$65.00	$55.00	$62.50
ATM IV	28.7%	25.8%	31.4%	27.5%	31.4%
Expected Move	8.0%	6.2%	9.5%	6.2%	7.4%
HV 20d	20.4%	12.8%	28.2%	18.3%	28.2%
HV 60d	23.8%	22.3%	24.8%	22.3%	24.8%
IV Rank	64.5%	43.4%	84.8%	54.2%	84.8%
IV Percentile	78.8%	59.1%	97.2%	67.1%	97.2%
Term Structure	-0.9%	-3.7%	1.6%	-0.8%	-3.7%
VWIV	28.3%	23.6%	32.8%	23.6%	26.2%
Skew 25d	2.6%	1.6%	6.1%	2.5%	6.1%
Skew 10d	5.7%	4.0%	9.4%	6.2%	8.0%
Call IV 25d	28.0%	25.0%	30.6%	26.6%	30.6%
Put IV 25d	30.6%	27.0%	36.7%	29.1%	36.7%
Bid-Ask Spread %	14.29	11.18	18.52	12.18	17.83
Gamma HHI	0.14	0.09	0.44	0.10	0.10
Net GEX	7.6M	9.2K	15.0M	10.4M	6.2M
Net DEX	-348.6M	-589.5M	-24.4M	-535.1M	-82.4M
Net VEX	-1.3M	-1.4M	-1.2M	-1.2M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.36	1.91	0.94	0.40
Total Volume	16,537.952	10,357	42,536	12,334	11,675
Total OI	197,907.714	132,180	239,239	206,439	163,600

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-01-02	$66.26	$55.00	27.5%	6.2%	18.3%	54.2%	23.6%	2.5%	-0.8%	10.4M	-535.1M	-1.2M	0.94	12.18	6,343	5,991	127,940	78,499
2018-01-03	$64.92	$55.00	28.9%	6.5%	16.9%	64.5%	25.0%	2.6%	-1.0%	8.5M	-491.6M	-1.2M	0.36	13.00	19,103	6,786	128,973	79,506
2018-01-04	$64.77	$62.50	28.4%	7.7%	16.8%	60.9%	29.5%	3.2%	-0.8%	10.0M	-496.9M	-1.2M	0.82	12.74	7,289	5,975	133,412	81,444
2018-01-05	$64.32	$62.50	28.3%	7.6%	16.5%	60.5%	27.3%	2.6%	-0.6%	10.7M	-478.4M	-1.2M	0.72	15.38	7,579	5,423	134,849	82,997
2018-01-08	$63.99	$62.50	28.7%	7.8%	12.8%	63.2%	27.3%	2.4%	-1.0%	8.9M	-464.1M	-1.2M	0.66	15.27	7,201	4,783	132,510	81,582
2018-01-09	$62.40	$62.50	29.8%	8.2%	15.7%	70.6%	28.5%	3.0%	-1.5%	9.7M	-392.5M	-1.2M	1.82	16.54	5,590	10,160	135,278	82,717
2018-01-10	$62.91	$62.50	29.5%	8.1%	16.0%	70.9%	28.2%	2.6%	-1.2%	6.7M	-412.2M	-1.2M	0.74	17.03	12,455	9,273	136,512	86,625
2018-01-11	$64.87	$65.00	30.7%	8.4%	19.4%	79.9%	29.6%	3.2%	-1.2%	10.2M	-534.0M	-1.3M	0.55	13.73	11,550	6,388	143,839	90,195
2018-01-12	$65.31	$65.00	30.4%	8.3%	19.4%	77.8%	29.1%	2.2%	-2.1%	9.3M	-569.8M	-1.3M	0.75	11.18	7,253	5,459	145,925	91,215
2018-01-16	$65.51	$65.00	29.9%	8.5%	19.1%	73.9%	29.4%	2.7%	-1.2%	9.6M	-567.8M	-1.2M	1.59	11.88	5,294	8,421	143,396	88,380
2018-01-17	$65.96	$65.00	28.9%	8.3%	18.8%	66.6%	29.4%	2.1%	-0.6%	8.8M	-589.5M	-1.2M	1.91	11.97	4,354	8,323	143,129	92,698
2018-01-18	$65.04	$65.00	28.5%	8.2%	18.5%	63.8%	28.5%	3.0%	-1.3%	7.0M	-522.5M	-1.2M	1.17	12.80	5,490	6,450	143,477	95,762
2018-01-19	$65.02	$65.00	28.0%	8.1%	18.5%	59.9%	29.0%	2.2%	-1.5%	15.0M	-513.1M	-1.2M	0.72	14.31	6,059	4,376	142,409	96,581
2018-01-22	$64.89	$65.00	28.2%	8.5%	18.4%	61.1%	29.9%	2.1%	-0.6%	5.6M	-174.8M	-1.2M	0.69	12.52	6,326	4,379	71,633	60,547
2018-01-23	$65.32	$65.00	28.1%	8.5%	18.6%	60.6%	30.9%	2.6%	-1.0%	6.7M	-199.9M	-1.2M	0.76	13.67	6,732	5,124	74,881	61,761
2018-01-24	$62.21	$65.00	30.7%	9.5%	25.3%	79.6%	32.8%	2.3%	-1.3%	3.8M	-102.9M	-1.2M	0.66	18.52	22,843	14,989	78,452	63,357
2018-01-25	$60.21	$63.00	27.7%	7.9%	27.4%	57.9%	27.7%	1.7%	1.6%	9.2K	-24.4M	-1.2M	0.80	15.63	23,640	18,896	90,726	72,504
2018-01-26	$60.75	$62.50	25.8%	7.5%	27.8%	43.4%	26.2%	1.8%	0.1%	4.9M	-62.7M	-1.4M	0.67	15.67	10,408	7,024	101,338	80,453
2018-01-29	$60.33	$62.50	26.5%	7.7%	27.8%	49.1%	27.6%	2.3%	-0.1%	4.4M	-61.1M	-1.4M	0.78	14.23	5,816	4,541	91,032	65,940
2018-01-30	$59.92	$62.50	26.8%	7.8%	27.8%	50.8%	27.9%	1.6%	0.2%	3.5M	-45.4M	-1.4M	0.96	14.09	5,894	5,642	92,643	67,345
2018-01-31	$60.88	$62.50	31.4%	7.4%	28.2%	84.8%	26.2%	6.1%	-3.7%	6.2M	-82.4M	-1.4M	0.40	17.83	8,337	3,338	94,356	69,244