LUV Options History — September 2019

In September 2019, LUV traded between $51.52 and $56.25. ATM implied volatility averaged 25.6%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.2% (HV 20d: 19.4%). Max pain ranged from $52.50 to $54.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2019-09-11: Highest Volume — 10,539 contracts
  • 2019-09-16: Largest IV spike — 12.8% change
  • 2019-09-30: Highest IV Rank — 36.4%
  • 2019-09-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.29$51.52$56.25$51.52$54.16
Max Pain$52.80$52.50$54.50$52.50$54.50
ATM IV25.6%22.2%30.2%26.7%30.2%
Expected Move6.9%6.5%7.6%7.6%7.1%
HV 20d19.4%16.6%23.0%21.7%17.0%
HV 60d21.0%20.3%21.4%20.6%21.3%
IV Rank17.2%2.6%36.4%24.3%36.4%
IV Percentile35.1%4.4%75.4%43.7%75.4%
Term Structure0.9%-1.4%4.6%-0.3%-0.4%
VWIV24.1%22.0%26.4%26.4%25.5%
Skew 25d3.5%2.4%5.2%4.8%3.5%
Skew 10d7.9%5.4%12.9%8.6%9.5%
Call IV 25d24.2%21.1%28.6%24.9%28.6%
Put IV 25d27.7%23.9%33.3%29.8%32.2%
Bid-Ask Spread %12.346.0819.6110.4814.65
Gamma HHI0.160.090.520.110.09
Net GEX4.5M635.2K15.3M635.2K2.0M
Net DEX-71.2M-142.5M-5.8M-5.8M-35.2M
Net VEX-965.3K-989.2K-934.2K-943.7K-973.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.195.420.640.19
Total Volume4,651.552,27510,5393,2388,356
Total OI126,416.95100,141140,535128,024107,669

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$51.52$52.5026.7%7.6%21.7%24.3%26.4%4.8%-0.3%635.2K-5.8M-943.7K0.6410.481,9761,26263,93164,093
2019-09-04$52.09$52.5024.9%7.1%21.5%13.9%25.2%3.9%0.0%2.2M-25.2M-936.7K1.949.761,7373,36764,95864,935
2019-09-05$52.59$52.5024.1%7.0%21.6%10.4%24.5%3.5%0.3%3.3M-40.6M-967.9K1.2219.611,7982,19865,64067,601
2019-09-06$52.22$52.5022.8%6.7%21.6%5.0%23.2%2.4%0.5%1.7M-26.0M-948.4K1.489.881,0701,58466,02368,587
2019-09-09$53.14$52.5023.4%6.9%22.4%7.8%23.6%3.2%0.4%2.3M-45.9M-965.0K0.2313.745,8321,33663,52667,965
2019-09-10$53.25$52.5024.0%6.9%21.5%10.3%24.0%3.4%-0.5%2.9M-52.2M-967.9K0.7017.611,33594064,98068,464
2019-09-11$54.68$52.5022.7%6.6%23.0%4.6%22.4%2.4%0.2%5.3M-102.3M-949.0K0.658.306,3774,16265,30068,846
2019-09-12$55.14$52.5022.2%6.5%20.4%2.6%22.7%2.8%0.5%6.7M-117.2M-989.2K0.5612.213,1781,76567,97372,170
2019-09-13$55.89$52.5022.3%6.5%19.7%2.9%22.0%2.7%0.8%6.2M-142.5M-979.9K0.376.084,6641,72368,35171,214
2019-09-16$55.73$52.5025.1%7.2%17.8%14.8%24.9%3.1%3.9%5.8M-118.8M-978.7K0.9615.742,7242,62065,92270,751
2019-09-17$55.93$52.5024.7%7.1%17.3%13.2%24.2%4.2%4.3%6.2M-125.0M-981.7K0.9715.992,0021,95166,68471,501
2019-09-18$56.25$52.5024.8%7.1%16.6%13.7%23.6%3.5%3.8%6.5M-133.8M-967.2K0.2712.563,68799166,82771,767
2019-09-19$55.30$52.5024.4%6.8%18.4%12.1%25.3%3.0%4.6%7.6M-106.6M-971.9K1.026.741,3831,41067,84272,026
2019-09-20$54.84$52.5024.9%6.7%18.7%13.9%23.5%2.9%4.5%15.3M-82.0M-968.1K0.827.782,8992,38468,08172,454
2019-09-23$54.62$52.5027.7%6.8%18.1%25.6%22.8%4.0%-1.0%2.9M-54.3M-934.2K0.4214.392,13490252,00748,134
2019-09-24$54.77$52.5029.0%7.0%17.9%31.2%25.3%4.5%-1.1%3.2M-57.0M-970.9K0.5211.421,69988053,59249,672
2019-09-25$54.91$52.5029.2%6.8%17.9%31.9%23.5%3.5%-0.9%3.4M-61.1M-968.6K0.3413.481,97367453,94850,256
2019-09-26$54.50$54.5029.7%7.0%18.1%34.2%24.2%3.8%-1.4%3.4M-52.1M-960.3K5.4212.686693,62955,27650,506
2019-09-27$54.30$54.5030.1%7.0%16.9%35.7%25.1%5.2%-1.1%2.4M-41.4M-983.8K2.7913.759932,76755,42853,439
2019-09-30$54.16$54.5030.2%7.1%17.0%36.4%25.5%3.5%-0.4%2.0M-35.2M-973.5K0.1914.657,0001,35653,74553,924