LUV Options History — November 2018

In November 2018, LUV traded between $50.97 and $54.50. ATM implied volatility averaged 28.0%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 14.3% (HV 20d: 42.3%). Max pain ranged from $51.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2018-11-02: Highest Volume — 18,435 contracts
  • 2018-11-07: Largest IV drop — 11.3% change
  • 2018-11-20: Highest IV Rank — 76.0%
  • 2018-11-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.51$50.97$54.50$50.97$54.50
Max Pain$53.79$51.00$55.00$51.00$52.50
ATM IV28.0%25.2%31.8%27.9%25.3%
Expected Move8.3%7.5%9.2%8.8%7.9%
HV 20d42.3%16.7%51.3%50.1%16.7%
HV 60d33.6%33.2%34.3%33.6%33.6%
IV Rank53.0%35.9%76.0%52.2%36.0%
IV Percentile62.7%40.9%85.3%63.9%40.9%
Term Structure-0.4%-2.3%0.8%0.1%-0.1%
VWIV29.4%26.0%33.1%30.8%28.7%
Skew 25d3.2%2.5%3.7%3.4%3.1%
Skew 10d6.9%5.4%9.0%5.6%5.6%
Call IV 25d27.1%24.1%30.8%26.7%24.4%
Put IV 25d30.3%27.3%34.5%30.2%27.6%
Bid-Ask Spread %16.649.4229.7111.1722.82
Gamma HHI0.110.090.260.090.11
Net GEX4.5M3.1M8.5M3.1M5.7M
Net DEX-40.2M-103.9M-2.8M-2.8M-103.9M
Net VEX-1.0M-1.1M-948.9K-983.2K-983.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.451.940.510.55
Total Volume10,520.4297,44918,43515,1848,276
Total OI170,780.238163,595178,735169,897172,105

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$50.97$51.0027.9%8.8%50.1%52.2%30.8%3.4%0.1%3.1M-2.8M-983.2K0.5111.1710,0685,116104,65665,241
2018-11-02$51.98$51.0029.1%9.2%51.1%59.4%33.1%3.4%-0.4%4.4M-43.2M-1.1M0.5415.1711,9356,500107,95265,797
2018-11-05$51.43$52.5029.3%8.3%51.1%61.0%28.3%3.6%0.2%3.6M-16.0M-1.0M0.559.427,0053,872104,53663,288
2018-11-06$51.79$52.5028.4%8.2%51.3%55.6%29.2%2.7%0.1%4.0M-29.7M-1.0M0.4510.867,2713,266106,08763,652
2018-11-07$52.85$52.5025.2%7.5%50.6%35.9%26.9%3.3%-0.1%5.0M-63.9M-1.0M0.5229.717,2783,777107,14564,239
2018-11-08$52.67$52.5025.5%7.5%50.6%37.5%26.0%3.0%-0.1%4.8M-55.7M-1.0M1.5712.794,5277,109108,58364,973
2018-11-09$52.64$55.0025.8%7.8%50.6%39.6%27.0%3.0%0.5%4.6M-45.3M-1.1M0.7513.334,8893,664109,51667,892
2018-11-12$52.07$55.0028.7%8.3%50.3%57.0%30.5%3.3%0.6%3.7M-20.7M-1.0M0.8116.374,1153,334107,44166,905
2018-11-13$52.57$55.0027.8%8.2%50.1%51.3%29.5%3.5%0.8%3.9M-37.3M-1.0M0.5414.795,9763,255107,58467,430
2018-11-14$52.61$55.0029.0%8.4%50.0%59.0%31.1%3.1%0.1%4.2M-41.8M-1.0M0.5814.315,8753,416107,77368,018
2018-11-15$53.24$55.0029.1%8.5%50.0%59.7%29.4%3.2%0.6%5.0M-65.0M-1.1M0.7116.357,3215,164108,25168,568
2018-11-16$52.63$55.0027.8%7.9%50.0%51.8%27.8%3.3%-0.0%8.5M-46.2M-996.7K1.2514.386,1597,692109,91368,822
2018-11-19$52.40$55.0028.8%8.3%50.0%57.9%28.9%3.3%-2.3%3.2M-26.2M-984.7K1.1616.424,3425,053100,38163,748
2018-11-20$51.76$55.0031.8%9.1%50.1%76.0%31.9%3.7%-1.6%3.5M-3.3M-967.5K1.0016.244,1594,156101,14063,328
2018-11-21$52.24$55.0029.5%8.5%49.5%62.0%29.7%3.6%-1.6%4.4M-21.1M-977.7K0.9816.344,6054,513102,01164,158
2018-11-23$52.68$55.0029.9%8.7%29.0%64.7%31.7%3.2%-1.5%4.2M-40.1M-993.0K0.6623.675,3263,503102,42764,464
2018-11-26$52.68$55.0028.0%8.4%28.9%52.5%30.0%2.6%-0.9%3.6M-34.5M-948.9K0.5617.554,9432,749100,99662,599
2018-11-27$52.74$55.0028.3%8.5%21.7%54.8%29.4%3.0%-0.5%4.3M-40.5M-973.5K0.9917.265,0845,032103,62963,213
2018-11-28$52.99$52.5027.2%8.1%18.6%48.0%29.1%3.3%-0.8%4.4M-46.0M-954.9K0.9614.523,9573,781104,53063,775
2018-11-29$53.31$52.5026.1%7.9%18.6%41.2%28.9%2.5%-0.7%5.5M-61.5M-978.3K1.9426.024,3708,496105,67463,945
2018-11-30$54.50$52.5025.3%7.9%16.7%36.0%28.7%3.1%-0.1%5.7M-103.9M-983.8K0.5522.825,3402,936105,98566,120