LUV Options History — November 2019

In November 2019, LUV traded between $56.18 and $58.18. ATM implied volatility averaged 19.2%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.0% (HV 20d: 20.2%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2019-11-07: Highest Volume — 7,308 contracts
  • 2019-11-25: Largest IV drop — 7.9% change
  • 2019-11-20: Highest IV Rank — 7.8%
  • 2019-11-05: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.49$56.18$58.18$56.18$57.53
Max Pain$52.63$52.50$55.00$55.00$52.50
ATM IV19.2%17.1%20.7%19.9%17.6%
Expected Move5.6%5.0%6.0%5.5%5.0%
HV 20d20.2%11.9%23.5%22.3%11.9%
HV 60d19.4%18.3%21.0%20.9%18.3%
IV Rank1.8%0.0%7.8%0.7%1.8%
IV Percentile1.6%0.0%7.1%0.8%0.8%
Term Structure0.1%-0.7%1.0%1.0%0.5%
VWIV20.2%17.6%24.2%19.3%18.4%
Skew 25d2.7%1.8%4.0%3.3%1.9%
Skew 10d6.1%4.0%14.0%5.3%4.1%
Call IV 25d18.1%15.9%19.9%18.1%16.6%
Put IV 25d20.7%18.4%22.8%21.4%18.5%
Bid-Ask Spread %9.156.7612.308.7712.07
Gamma HHI0.120.110.150.110.13
Net GEX4.8M1.8M6.2M2.1M4.9M
Net DEX-113.5M-149.0M-72.9M-72.9M-109.6M
Net VEX-859.5K-940.0K-768.3K-931.5K-780.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.202.570.532.22
Total Volume3,190.151,4517,3082,1872,281
Total OI128,825.9122,339134,658134,658125,447

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$56.18$55.0019.9%5.5%22.3%0.7%19.3%3.3%1.0%2.1M-72.9M-931.5K0.538.771,43175660,28874,370
2019-11-04$56.85$52.5020.4%6.0%22.5%2.9%24.2%3.5%-0.1%4.1M-91.0M-940.0K0.239.004,4881,04658,50970,004
2019-11-05$57.91$52.5020.0%6.0%23.1%1.3%22.6%4.0%-0.0%5.6M-135.3M-902.8K0.307.952,70181560,71170,266
2019-11-06$57.72$52.5019.5%5.8%23.2%0.0%22.0%3.5%0.8%5.8M-130.2M-927.9K0.626.761,27379062,04670,483
2019-11-07$58.18$52.5019.9%6.0%23.2%1.6%22.0%2.3%0.2%6.1M-149.0M-902.9K0.207.036,1041,20462,30870,804
2019-11-08$58.11$52.5019.2%5.9%23.2%0.0%21.5%2.7%0.8%6.1M-146.1M-911.9K1.517.181,4352,17262,34771,225
2019-11-11$58.16$52.5019.3%5.7%23.1%0.5%20.5%3.0%0.4%6.0M-140.2M-888.2K1.697.662,2933,87461,26368,793
2019-11-12$57.69$52.5019.4%5.7%23.5%0.7%20.1%2.3%0.2%5.2M-127.2M-890.2K0.798.911,6311,29162,00670,363
2019-11-13$57.67$52.5019.5%5.6%23.1%1.3%20.5%2.8%0.3%5.3M-125.7M-887.2K0.788.5585166662,18570,677
2019-11-14$57.50$52.5019.6%5.7%23.2%1.6%20.4%3.4%0.5%5.2M-120.6M-873.7K0.778.031,15189062,17470,851
2019-11-15$57.75$52.5018.6%5.3%23.0%0.0%19.4%1.8%-0.1%6.2M-131.8M-847.6K0.599.801,65797862,42770,883
2019-11-18$57.61$52.5019.2%5.5%22.8%2.5%19.2%2.0%-0.7%4.6M-106.1M-830.5K0.6111.161,31679856,59666,245
2019-11-19$57.69$52.5019.9%5.7%22.4%4.7%19.8%2.1%-0.7%4.8M-108.0M-835.2K2.579.751,0002,56657,39666,679
2019-11-20$56.78$52.5020.7%5.9%23.5%7.8%21.4%2.4%-0.7%2.3M-78.2M-843.6K1.0212.301,6591,69557,82568,285
2019-11-21$56.65$52.5020.3%5.8%14.7%6.4%20.0%2.3%-0.7%1.8M-76.2M-836.6K1.1410.121,5231,73858,23968,300
2019-11-22$56.94$52.5019.3%5.6%14.4%2.8%19.4%2.6%-0.3%2.7M-88.4M-814.8K0.9310.4975070159,00666,978
2019-11-25$57.65$52.5017.8%5.1%13.7%0.0%18.2%2.3%0.3%5.7M-113.2M-768.3K0.748.751,5421,13957,87364,466
2019-11-26$57.60$52.5017.2%5.0%13.6%0.0%17.6%2.9%0.3%5.8M-109.8M-779.9K0.889.331,5571,37558,64164,786
2019-11-27$57.59$52.5017.1%5.0%13.4%0.0%18.0%2.6%-0.1%5.6M-110.1M-796.2K0.409.441,91175559,06865,705
2019-11-29$57.53$52.5017.6%5.0%11.9%1.8%18.4%1.9%0.5%4.9M-109.6M-780.6K2.2212.077091,57259,48365,964