LUV Options History — September 2018

In September 2018, LUV traded between $60.98 and $63.78. ATM implied volatility averaged 23.6%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.6% (HV 20d: 20.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.71.

Notable Days

2018-09-04: Highest Volume — 36,032 contracts
2018-09-24: Largest IV spike — 16.7% change
2018-09-26: Highest IV Rank — 44.5%
2018-09-05: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.36	$60.98	$63.78	$61.93	$62.43
Max Pain	$58.55	$55.00	$60.00	$55.00	$60.00
ATM IV	23.6%	22.0%	26.6%	23.2%	26.2%
Expected Move	6.4%	5.9%	7.0%	6.7%	6.0%
HV 20d	20.0%	17.7%	22.2%	17.7%	21.9%
HV 60d	25.5%	24.8%	26.3%	24.8%	26.3%
IV Rank	25.9%	16.2%	44.5%	23.5%	41.6%
IV Percentile	29.4%	14.7%	56.7%	26.6%	54.4%
Term Structure	0.9%	-1.1%	4.6%	0.7%	-1.0%
VWIV	22.6%	21.2%	24.4%	23.8%	21.2%
Skew 25d	2.0%	1.2%	2.9%	2.0%	2.3%
Skew 10d	4.5%	3.2%	6.0%	4.0%	4.5%
Call IV 25d	23.0%	20.5%	26.0%	22.6%	25.9%
Put IV 25d	25.0%	22.4%	28.6%	24.6%	28.1%
Bid-Ask Spread %	15.81	11.54	31.93	14.91	18.03
Gamma HHI	0.24	0.14	0.33	0.23	0.18
Net GEX	25.2M	16.0M	42.1M	18.2M	16.0M
Net DEX	-483.3M	-638.1M	-347.3M	-413.3M	-390.8M
Net VEX	-1.3M	-1.5M	-1.2M	-1.3M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.24	1.43	0.24	0.37
Total Volume	13,845.526	8,606	36,032	36,032	12,952
Total OI	215,135.526	173,766	235,245	199,962	183,992

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
2018-09-04	$61.93	$55.00	23.2%	6.7%	17.7%	23.5%	23.8%	2.0%	0.7%	18.2M	-413.3M	-1.3M	0.24	14.91	29,135	6,897	126,650	73,312
2018-09-05	$61.51	$55.00	23.9%	7.0%	18.0%	27.9%	24.2%	2.4%	0.2%	23.4M	-434.1M	-1.5M	0.35	14.02	15,624	5,429	143,374	77,927
2018-09-06	$60.98	$57.50	23.9%	7.0%	18.1%	28.1%	24.0%	2.5%	0.7%	25.2M	-424.9M	-1.5M	0.95	15.61	5,619	5,342	152,659	78,932
2018-09-07	$61.84	$57.50	22.6%	6.7%	18.6%	19.7%	24.4%	2.3%	0.8%	30.2M	-504.0M	-1.5M	0.65	16.67	9,085	5,918	153,981	79,269
2018-09-10	$62.61	$57.50	22.5%	6.4%	18.8%	19.4%	22.8%	1.8%	-0.4%	27.9M	-543.2M	-1.3M	0.54	13.70	8,232	4,432	148,855	76,951
2018-09-11	$63.07	$57.50	22.3%	6.5%	18.8%	18.1%	22.9%	1.8%	0.2%	28.2M	-574.1M	-1.3M	0.72	11.54	6,743	4,857	149,236	77,286
2018-09-12	$61.30	$57.50	22.9%	6.6%	21.9%	21.5%	23.4%	1.8%	0.4%	29.0M	-437.4M	-1.4M	1.17	14.94	5,993	6,986	149,284	78,212
2018-09-13	$62.50	$57.50	22.4%	6.4%	21.9%	18.5%	22.8%	2.3%	-0.1%	33.3M	-520.6M	-1.3M	1.43	16.03	4,144	5,938	150,205	80,348
2018-09-14	$62.37	$57.50	22.0%	6.3%	21.4%	16.2%	22.3%	1.9%	-0.3%	42.1M	-524.7M	-1.3M	0.60	16.39	8,433	5,086	151,243	80,649
2018-09-17	$63.13	$60.00	22.3%	6.4%	21.6%	17.9%	22.6%	1.6%	3.6%	25.6M	-573.4M	-1.2M	0.47	12.92	10,071	4,779	147,132	79,603
2018-09-18	$63.05	$60.00	22.2%	6.4%	18.3%	17.3%	22.0%	1.8%	3.8%	27.5M	-561.8M	-1.2M	0.88	13.26	5,516	4,831	148,091	80,264
2018-09-19	$63.32	$60.00	22.3%	6.4%	17.9%	17.8%	22.0%	2.0%	3.8%	26.4M	-583.0M	-1.2M	0.77	14.74	5,391	4,145	149,679	80,519
2018-09-20	$62.57	$60.00	22.4%	6.2%	18.1%	18.6%	21.5%	1.2%	4.4%	34.2M	-547.7M	-1.3M	0.88	14.60	6,839	6,035	153,821	80,901
2018-09-21	$63.78	$60.00	22.2%	5.9%	19.1%	17.3%	21.6%	1.9%	4.6%	20.4M	-638.1M	-1.2M	0.73	12.29	7,813	5,728	152,893	82,352
2018-09-24	$62.00	$60.00	25.9%	6.4%	21.9%	40.0%	22.8%	2.9%	-0.8%	19.1M	-360.3M	-1.3M	0.77	13.03	8,054	6,189	117,383	56,383
2018-09-25	$61.57	$60.00	26.2%	6.3%	22.1%	41.6%	21.9%	2.2%	-1.1%	20.1M	-347.3M	-1.3M	0.85	17.83	5,856	4,968	120,790	58,856
2018-09-26	$62.17	$60.00	26.6%	6.1%	22.0%	44.5%	21.4%	2.0%	-0.9%	16.5M	-386.2M	-1.2M	0.72	31.93	5,007	3,599	121,804	60,804
2018-09-27	$62.79	$60.00	26.3%	6.0%	22.2%	42.6%	21.4%	1.7%	-0.6%	16.3M	-416.8M	-1.2M	0.44	17.96	7,920	3,479	122,947	60,988
2018-09-28	$62.43	$60.00	26.2%	6.0%	21.9%	41.6%	21.2%	2.3%	-1.0%	16.0M	-390.8M	-1.2M	0.37	18.03	9,428	3,524	122,763	61,229