LUV Options History — July 2018

In July 2018, LUV traded between $51.46 and $58.39. ATM implied volatility averaged 28.7%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 9.0% (HV 20d: 19.6%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-07-26: Highest Volume — 29,396 contracts
  • 2018-07-26: Largest IV drop — 21.0% change
  • 2018-07-03: Highest IV Rank — 87.2%
  • 2018-07-17: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.76$51.46$58.39$51.46$58.27
Max Pain$51.88$50.00$55.00$51.00$55.00
ATM IV28.7%21.9%33.7%32.4%21.9%
Expected Move8.0%6.3%8.7%7.0%6.5%
HV 20d19.6%13.5%34.5%16.4%34.5%
HV 60d21.1%18.5%26.4%21.2%26.4%
IV Rank55.5%12.3%87.2%78.8%12.3%
IV Percentile68.0%5.2%95.6%91.3%5.2%
Term Structure-0.9%-2.2%0.5%-0.6%-0.6%
VWIV28.5%23.2%32.3%25.9%23.3%
Skew 25d2.2%1.5%3.5%2.0%2.1%
Skew 10d4.4%2.7%8.8%5.0%4.0%
Call IV 25d28.1%21.0%32.1%31.6%21.4%
Put IV 25d30.2%23.4%35.6%33.6%23.6%
Bid-Ask Spread %18.8010.4742.5615.9510.47
Gamma HHI0.110.080.150.100.12
Net GEX9.9M2.7M15.7M5.0M9.0M
Net DEX-147.5M-325.1M-35.3M-67.5M-244.6M
Net VEX-1.4M-1.6M-1.2M-1.6M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.291.271.080.83
Total Volume15,792.817,27929,39612,86810,312
Total OI194,121.905165,839210,976205,860167,471

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$51.46$51.0032.4%7.0%16.4%78.8%25.9%2.0%-0.6%5.0M-67.5M-1.6M1.0815.956,1736,695124,76781,093
2018-07-03$51.52$51.0033.7%7.2%15.5%87.2%25.2%3.5%-1.7%5.9M-69.1M-1.6M0.7042.564,2862,993126,86982,585
2018-07-05$51.77$50.0031.7%8.6%15.6%74.4%30.7%2.1%-0.8%8.7M-82.9M-1.6M0.9617.604,7454,550126,82082,653
2018-07-06$52.77$50.0030.7%8.5%16.8%68.3%29.5%1.8%-1.2%14.7M-151.4M-1.6M0.7221.537,9625,713127,17483,802
2018-07-09$53.23$50.0030.0%8.4%16.8%64.0%29.5%2.1%0.0%11.2M-151.9M-1.5M0.4717.0411,1625,238121,32376,249
2018-07-10$53.02$50.0029.7%8.5%16.5%62.0%30.1%1.5%0.2%11.7M-138.5M-1.5M0.6718.607,7265,185122,51177,227
2018-07-11$52.47$50.0030.3%8.6%17.0%65.9%31.1%1.8%-0.4%9.4M-103.8M-1.5M0.4323.5015,8936,896122,24279,069
2018-07-12$52.75$50.0030.3%8.5%16.7%66.0%31.1%2.1%-0.8%11.7M-120.0M-1.5M0.5326.1612,9236,911121,09581,557
2018-07-13$53.08$52.5029.8%8.3%16.5%62.3%28.7%1.7%-1.5%15.7M-142.9M-1.5M0.7814.276,6035,151121,39482,604
2018-07-16$53.09$52.5029.8%8.5%16.4%62.4%29.6%2.1%-1.7%12.2M-132.8M-1.4M0.9116.754,4774,065118,76474,247
2018-07-17$53.30$52.5030.5%8.7%16.5%67.2%30.4%2.1%-2.2%12.8M-144.8M-1.4M0.3716.2014,8095,541119,77974,426
2018-07-18$53.95$52.5030.2%8.7%16.4%65.2%31.0%2.1%-1.8%15.2M-186.5M-1.5M0.2914.1817,6485,033127,26275,639
2018-07-19$53.80$52.5030.2%8.7%16.4%64.9%32.3%1.5%-1.1%15.3M-181.3M-1.5M1.2715.455,1866,582130,67876,502
2018-07-20$53.55$52.5029.6%8.7%15.0%61.6%30.2%2.5%-1.8%9.9M-165.3M-1.4M1.0715.356,5266,996131,06279,078
2018-07-23$53.70$52.5028.4%8.4%13.5%53.9%29.6%2.4%-1.2%5.2M-99.4M-1.4M1.1715.544,8485,673100,20168,281
2018-07-24$51.96$52.5029.0%8.6%17.1%57.4%30.3%1.7%-1.0%2.7M-35.3M-1.3M0.8024.129,8107,842102,50570,702
2018-07-25$52.21$52.5027.8%8.5%17.2%49.8%29.7%2.5%-0.9%4.3M-50.5M-1.3M0.4218.0518,7407,780107,20772,305
2018-07-26$56.71$52.5022.0%6.4%33.1%12.9%23.3%3.1%0.5%9.8M-274.7M-1.3M0.5014.3719,5879,809113,48672,946
2018-07-27$58.39$52.5022.1%6.3%34.1%13.7%23.2%2.2%-0.3%8.7M-325.1M-1.3M0.9225.3611,54210,585112,25274,894
2018-07-30$57.91$55.0022.4%6.5%34.5%15.7%23.5%2.3%-0.6%8.1M-228.7M-1.3M0.7211.806,6434,81099,07866,761
2018-07-31$58.27$55.0021.9%6.5%34.5%12.3%23.3%2.1%-0.6%9.0M-244.6M-1.2M0.8310.475,6354,677100,57766,894