LUV Options History — March 2018

In March 2018, LUV traded between $56.26 and $61.01. ATM implied volatility averaged 27.0%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.6% (HV 20d: 22.4%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2018-03-21: Highest Volume — 43,277 contracts
  • 2018-03-22: Largest IV spike — 14.9% change
  • 2018-03-28: Highest IV Rank — 97.7%
  • 2018-03-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.56$56.26$61.01$58.01$57.37
Max Pain$58.64$57.50$60.00$58.00$59.50
ATM IV27.0%23.0%34.6%29.4%31.0%
Expected Move7.5%6.6%9.0%9.0%7.5%
HV 20d22.4%17.7%26.9%26.9%25.3%
HV 60d24.7%23.4%26.5%25.2%26.5%
IV Rank46.7%20.2%97.7%62.9%73.4%
IV Percentile60.7%25.0%99.6%85.7%92.9%
Term Structure1.0%-1.6%6.4%-1.6%-0.3%
VWIV26.5%22.6%31.9%31.9%26.4%
Skew 25d3.0%1.8%4.6%2.8%3.6%
Skew 10d7.1%4.8%15.0%11.2%7.0%
Call IV 25d26.0%21.5%33.2%29.5%29.6%
Put IV 25d29.0%23.5%37.1%32.3%33.2%
Bid-Ask Spread %15.7410.2822.4222.4215.44
Gamma HHI0.100.080.230.080.10
Net GEX6.5M2.1M14.8M3.8M6.2M
Net DEX-65.7M-203.6M18.0M-21.0M-22.0M
Net VEX-1.5M-1.5M-1.4M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.381.331.120.75
Total Volume13,789.0957,35143,27714,3838,586
Total OI178,183.81137,062197,897180,276173,449

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$58.01$58.0029.4%9.0%26.9%62.9%31.9%2.8%-1.6%3.8M-21.0M-1.4M1.1222.426,7787,605104,90775,369
2018-03-02$57.82$58.0029.0%8.3%26.7%60.1%30.6%2.9%-0.4%4.0M-16.0M-1.4M0.9217.159,1628,442107,22577,260
2018-03-05$58.45$57.5027.0%7.8%25.5%47.0%27.3%3.0%0.2%5.1M-49.4M-1.4M0.3817.9116,0486,106107,51775,927
2018-03-06$58.26$57.5026.8%7.7%23.1%45.9%26.6%2.8%0.1%6.3M-42.8M-1.5M0.4813.128,1173,926114,12477,082
2018-03-07$57.60$57.5026.8%7.6%22.5%46.0%26.4%3.0%0.2%4.9M-18.6M-1.5M0.6117.936,3563,888115,93977,019
2018-03-08$58.28$57.5025.5%7.5%22.9%36.9%25.8%2.6%0.5%7.1M-51.2M-1.5M0.5213.207,7604,060116,83976,704
2018-03-09$59.57$57.5024.4%6.9%18.9%30.0%24.6%2.5%0.6%11.1M-125.7M-1.5M0.5519.718,2324,493118,03177,156
2018-03-12$59.82$57.5025.1%7.1%18.7%34.2%25.0%1.8%-0.3%9.6M-127.5M-1.5M0.7210.286,3824,580115,87075,404
2018-03-13$60.28$57.5024.3%6.9%17.7%29.2%26.4%2.6%-0.7%11.3M-155.3M-1.5M0.7318.057,7025,607117,45376,303
2018-03-14$59.67$57.5023.6%6.9%18.3%24.1%24.6%2.3%0.7%9.9M-117.8M-1.5M0.6415.866,0313,865117,93078,000
2018-03-15$59.99$57.5023.0%6.7%18.1%20.5%23.1%3.0%0.4%11.7M-138.7M-1.5M0.7813.384,9633,859119,30778,293
2018-03-16$61.01$60.0023.0%6.6%18.8%20.2%22.6%2.0%-0.1%14.8M-203.6M-1.5M0.4311.0413,6945,867119,50178,396
2018-03-19$60.69$60.0024.6%7.0%19.0%30.8%25.3%2.8%6.4%6.6M-120.2M-1.5M0.7514.426,3884,81982,09354,969
2018-03-20$60.69$60.0023.6%6.8%18.5%24.6%24.4%2.9%5.5%6.7M-126.4M-1.5M0.7413.174,2453,15384,79956,377
2018-03-21$57.91$60.0024.6%7.1%25.4%31.3%25.1%3.2%4.3%3.4M-32.9M-1.4M0.4015.6330,99212,28585,49756,964
2018-03-22$57.05$58.5028.3%7.9%25.6%55.7%26.9%3.1%3.2%2.3M-14.0M-1.5M1.3319.226,6258,812104,73463,983
2018-03-23$56.70$60.0030.3%8.3%25.5%68.6%28.9%3.3%3.8%2.6M18.0M-1.5M0.9316.395,0884,728105,15868,867
2018-03-26$57.62$60.0029.9%7.7%24.2%66.3%26.6%3.5%0.2%3.5M-29.8M-1.5M0.5212.546,0733,181101,34464,845
2018-03-27$56.74$60.0031.2%7.9%24.2%75.1%27.5%4.6%0.4%2.9M1.7M-1.4M0.7313.534,2373,114103,95365,651
2018-03-28$56.26$60.0034.6%8.7%24.1%97.7%30.1%3.9%-1.3%2.1M12.6M-1.4M0.6820.058,1895,533105,24866,373
2018-03-29$57.37$59.5031.0%7.5%25.3%73.4%26.4%3.6%-0.3%6.2M-22.0M-1.4M0.7515.444,8953,691106,94966,500