LUV Options History — February 2018

In February 2018, LUV traded between $55.66 and $60.24. ATM implied volatility averaged 28.4%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 1.3% (HV 20d: 29.7%). Max pain ranged from $57.50 to $58.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.83.

Notable Days

2018-02-14: Highest Volume — 21,994 contracts
2018-02-05: Largest IV spike — 22.7% change
2018-02-05: Highest IV Rank — 100.0%
2018-02-09: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.84	$55.66	$60.24	$60.24	$57.97
Max Pain	$57.58	$57.50	$58.00	$57.50	$58.00
ATM IV	28.4%	24.5%	35.0%	24.5%	26.8%
Expected Move	8.2%	7.3%	9.8%	7.3%	8.1%
HV 20d	29.7%	25.4%	32.6%	27.7%	27.6%
HV 60d	26.9%	24.9%	27.8%	24.9%	25.3%
IV Rank	58.3%	32.0%	100.0%	33.9%	45.7%
IV Percentile	70.6%	44.0%	100.0%	45.2%	59.9%
Term Structure	-0.5%	-2.3%	0.6%	0.6%	-1.2%
VWIV	28.8%	25.6%	33.5%	25.6%	29.2%
Skew 25d	2.9%	1.1%	5.0%	1.1%	1.8%
Skew 10d	5.8%	0.8%	9.9%	2.4%	4.7%
Call IV 25d	27.5%	24.1%	33.1%	24.2%	26.4%
Put IV 25d	30.4%	25.2%	37.3%	25.2%	28.2%
Bid-Ask Spread %	15.05	8.79	21.00	9.63	16.85
Gamma HHI	0.08	0.07	0.10	0.09	0.08
Net GEX	2.1M	-176.5K	5.2M	4.2M	2.3M
Net DEX	3.6M	-82.8M	87.9M	-51.1M	-17.3M
Net VEX	-1.3M	-1.4M	-1.3M	-1.3M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.26	2.44	0.77	2.44
Total Volume	14,085.421	7,348	21,994	7,348	16,437
Total OI	170,499.579	159,532	185,162	165,336	178,604

Daily Data (19 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
2018-02-01	$60.24	$57.50	24.5%	7.3%	27.7%	33.9%	25.6%	1.1%	0.6%	4.2M	-51.1M	-1.3M	0.77	9.63	4,149	3,199	95,459	69,877
2018-02-02	$58.72	$57.50	27.5%	7.9%	28.7%	56.0%	27.2%	1.3%	-0.8%	1.3M	10.0M	-1.3M	0.82	8.79	6,609	5,419	95,693	70,509
2018-02-05	$56.99	$57.50	33.7%	9.1%	30.1%	100.0%	32.7%	2.6%	-2.3%	244.4K	48.6M	-1.3M	1.00	20.03	6,299	6,320	91,148	69,666
2018-02-06	$58.05	$57.50	32.5%	9.3%	31.3%	90.7%	32.2%	3.5%	0.6%	583.8K	21.7M	-1.4M	0.26	21.00	17,364	4,499	93,064	72,038
2018-02-07	$58.11	$57.50	29.5%	8.4%	30.4%	69.2%	30.5%	2.5%	-0.4%	411.8K	13.2M	-1.4M	0.51	15.65	9,729	4,992	98,799	72,803
2018-02-08	$55.87	$57.50	33.4%	9.7%	32.6%	97.3%	33.1%	3.3%	0.3%	-35.1K	78.9M	-1.3M	0.97	16.54	4,845	4,710	100,494	73,817
2018-02-09	$55.66	$57.50	35.0%	9.8%	29.6%	100.0%	33.5%	4.3%	-0.8%	15.3K	87.9M	-1.3M	0.79	15.72	6,052	4,783	100,984	74,345
2018-02-12	$56.79	$57.50	30.5%	8.7%	30.8%	70.2%	30.5%	5.0%	-0.3%	-176.5K	51.9M	-1.3M	0.81	18.74	5,978	4,821	98,567	72,691
2018-02-13	$57.19	$57.50	28.8%	8.2%	31.0%	58.9%	28.2%	4.3%	-0.3%	582.8K	34.1M	-1.3M	0.92	15.41	4,557	4,182	101,973	73,564
2018-02-14	$57.76	$57.50	27.6%	7.9%	31.2%	50.8%	27.7%	3.8%	-0.9%	1.4M	20.7M	-1.3M	0.79	13.87	12,263	9,731	103,273	73,915
2018-02-15	$58.11	$57.50	27.0%	7.8%	31.4%	46.8%	26.3%	2.9%	-0.3%	2.2M	-4.7M	-1.4M	0.96	12.67	8,196	7,872	107,426	74,902
2018-02-16	$58.36	$57.50	27.0%	7.8%	31.5%	46.8%	26.3%	2.6%	-1.2%	2.3M	-26.5M	-1.4M	0.67	12.82	7,764	5,185	109,942	75,220
2018-02-20	$57.79	$57.50	26.7%	8.0%	31.6%	44.7%	27.8%	3.4%	0.0%	3.8M	-17.4M	-1.3M	0.62	15.04	6,121	3,767	92,478	67,054
2018-02-21	$58.08	$57.50	26.7%	7.9%	31.5%	44.8%	27.4%	2.0%	-0.4%	4.3M	-30.7M	-1.3M	0.45	14.73	7,234	3,231	93,759	68,364
2018-02-22	$57.38	$57.50	26.4%	7.9%	27.3%	43.0%	27.8%	2.7%	-0.2%	2.4M	985.0K	-1.3M	0.63	13.43	6,482	4,086	94,841	68,832
2018-02-23	$57.88	$57.50	24.7%	7.3%	25.4%	32.0%	26.3%	3.0%	-0.4%	3.1M	-17.0M	-1.3M	0.39	15.64	13,004	5,095	96,590	70,162
2018-02-26	$59.45	$58.00	25.1%	7.5%	27.1%	34.1%	27.0%	2.5%	-0.1%	5.1M	-82.8M	-1.4M	0.77	14.89	12,332	9,549	97,617	69,182
2018-02-27	$58.58	$58.00	26.3%	8.0%	27.5%	42.3%	28.2%	2.6%	-0.9%	5.2M	-51.3M	-1.4M	1.24	14.40	9,261	11,506	100,477	71,363
2018-02-28	$57.97	$58.00	26.8%	8.1%	27.6%	45.7%	29.2%	1.8%	-1.2%	2.3M	-17.3M	-1.4M	2.44	16.85	4,785	11,652	103,227	75,377