LUV Options History — December 2018

In December 2018, LUV traded between $44.64 and $54.51. ATM implied volatility averaged 33.0%, placing in the 68.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 7.9% (HV 20d: 25.2%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2018-12-05: Highest Volume — 8,553 contracts
  • 2018-12-20: Largest IV spike — 23.6% change
  • 2018-12-20: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.55$44.64$54.51$54.51$46.50
Max Pain$52.75$52.50$55.00$52.50$52.50
ATM IV33.0%23.9%45.4%23.9%40.0%
Expected Move9.4%7.3%12.3%7.3%10.4%
HV 20d25.2%15.6%33.3%15.6%31.3%
HV 60d34.4%33.4%36.0%33.4%36.0%
IV Rank68.4%27.7%100.0%27.7%79.4%
IV Percentile75.1%31.7%100.0%31.7%98.4%
Term Structure1.1%-2.6%6.1%0.4%-1.4%
VWIV32.8%25.8%41.9%25.8%34.6%
Skew 25d4.3%2.2%6.3%2.2%5.1%
Skew 10d8.6%4.5%12.4%4.5%12.4%
Call IV 25d31.5%23.4%43.7%23.4%37.8%
Put IV 25d35.8%25.6%50.0%25.6%42.9%
Bid-Ask Spread %21.337.4538.9025.5926.92
Gamma HHI0.130.090.150.120.15
Net GEX1.3M-1.1M5.8M5.8M-841.3K
Net DEX49.5M-91.2M129.9M-91.2M87.7M
Net VEX-774.5K-967.7K-579.7K-922.6K-584.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.502.320.780.50
Total Volume5,543.352,5338,5536,4385,356
Total OI167,617.65150,150176,466167,929150,616

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$54.51$52.5023.9%7.3%15.6%27.7%25.8%2.2%0.4%5.8M-91.2M-922.6K0.7825.593,6262,812103,45664,473
2018-12-04$52.83$55.0026.0%8.2%19.2%40.5%29.8%3.3%0.7%3.5M-18.6M-929.9K1.1534.933,9454,542102,58466,186
2018-12-05$52.78$55.0026.4%8.6%19.1%42.9%30.5%2.9%0.7%3.6M-19.4M-911.4K1.1438.904,0024,551102,58466,186
2018-12-06$53.80$52.5027.9%7.9%18.9%52.5%28.4%4.6%0.8%3.4M-50.0M-967.7K2.3215.712,3995,561102,63267,688
2018-12-07$51.64$52.5028.6%8.3%24.1%56.3%30.2%3.7%0.3%2.0M24.5M-940.3K1.2017.352,6323,150105,61070,717
2018-12-10$51.16$52.5029.9%8.9%24.2%64.8%30.0%3.8%1.1%2.5M23.8M-888.1K0.7910.142,1681,718105,23167,308
2018-12-11$51.09$52.5029.2%8.6%24.0%60.0%29.1%3.8%0.7%2.5M30.4M-865.9K0.8712.791,3561,177105,57067,411
2018-12-12$51.16$52.5027.5%8.2%23.7%49.5%27.3%3.6%0.9%2.9M26.1M-848.5K0.967.452,2402,157106,04667,490
2018-12-13$50.36$52.5027.8%8.2%24.2%51.9%29.8%3.3%0.8%1.1M62.3M-801.0K0.6410.764,0782,591106,50668,573
2018-12-14$50.09$52.5028.8%8.4%23.6%57.9%28.9%3.2%0.8%1.5M64.7M-790.5K0.7115.021,9601,389107,92568,541
2018-12-17$49.26$52.5031.1%8.9%24.0%71.5%31.8%4.2%4.6%617.4K79.0M-743.1K0.8512.562,1081,788105,43466,248
2018-12-18$49.69$52.5030.6%8.8%24.3%68.8%30.7%4.5%4.9%1.1M70.1M-764.4K0.5812.542,0261,185106,63366,923
2018-12-19$48.69$52.5030.0%8.6%24.9%65.1%30.2%4.7%6.1%139.7K99.0M-706.3K0.8826.113,6313,189107,35067,169
2018-12-20$46.94$52.5037.1%10.4%27.1%100.0%36.0%4.5%4.0%-943.3K115.1M-683.6K0.9726.383,4183,320109,48766,212
2018-12-21$46.00$52.5039.1%10.9%27.1%100.0%39.1%5.8%3.1%-784.8K129.9M-635.6K1.5628.262,9624,624110,31766,111
2018-12-24$44.64$52.5045.4%12.3%28.2%100.0%41.6%6.3%-2.6%-1.1M113.3M-579.7K0.7329.302,3121,67794,77355,377
2018-12-26$46.57$52.5044.9%11.9%33.3%98.3%41.9%5.6%-1.2%-239.6K85.3M-647.3K0.6124.773,6152,22295,34955,369
2018-12-27$46.50$52.5044.0%11.9%33.1%94.7%41.9%4.7%-1.2%-48.0K79.9M-649.9K0.6425.052,5831,64897,49855,321
2018-12-28$46.75$52.5042.0%11.1%33.1%87.2%37.4%5.5%-1.3%-217.0K77.9M-629.7K0.7226.142,9912,15897,83755,612
2018-12-31$46.50$52.5040.0%10.4%31.3%79.4%34.6%5.1%-1.4%-841.3K87.7M-584.5K0.5026.923,5601,79695,42255,194