LUV Options History — December 2019

In December 2019, LUV traded between $53.62 and $56.84. ATM implied volatility averaged 20.5%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.4% (HV 20d: 14.1%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2019-12-16: Highest Volume — 9,852 contracts
  • 2019-12-23: Largest IV spike — 13.3% change
  • 2019-12-30: Highest IV Rank — 35.1%
  • 2019-12-03: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.81$53.62$56.84$56.84$53.98
Max Pain$52.81$52.50$55.00$52.50$53.00
ATM IV20.5%17.7%26.2%18.8%25.2%
Expected Move5.4%4.7%6.0%5.6%5.1%
HV 20d14.1%11.6%16.0%12.8%15.6%
HV 60d18.0%17.5%18.5%18.4%17.5%
IV Rank12.8%2.2%35.1%6.1%34.7%
IV Percentile14.5%1.2%52.4%2.0%46.8%
Term Structure1.6%-1.4%7.5%0.2%-0.8%
VWIV19.1%17.4%21.6%19.9%17.9%
Skew 25d2.7%2.0%3.8%2.5%3.5%
Skew 10d4.6%-0.6%6.6%4.4%6.6%
Call IV 25d19.5%16.2%25.3%17.8%23.9%
Put IV 25d22.2%18.4%28.5%20.2%27.4%
Bid-Ask Spread %8.084.4613.5712.738.74
Gamma HHI0.140.110.210.130.13
Net GEX-1.2M-7.7M4.5M4.5M-2.2M
Net DEX-12.1M-82.0M39.0M-82.0M9.9M
Net VEX-809.4K-844.3K-780.8K-780.8K-794.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.373.270.650.37
Total Volume4,693.3331,4279,8524,5362,640
Total OI128,942.857116,241141,500123,931121,519

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$56.84$52.5018.8%5.6%12.8%6.1%19.9%2.5%0.2%4.5M-82.0M-780.8K0.6512.732,7461,79058,61565,316
2019-12-03$55.84$52.5020.3%6.0%13.6%11.3%21.6%2.7%0.7%3.0M-48.3M-831.4K2.0813.571,8373,81960,18666,579
2019-12-04$55.84$52.5019.1%5.7%11.6%7.1%19.9%2.9%0.9%2.7M-46.7M-828.5K0.619.251,31580860,55169,260
2019-12-05$55.59$52.5019.3%6.0%11.6%7.9%20.7%3.0%0.7%2.6M-39.3M-817.0K1.427.451,4282,02660,96569,526
2019-12-06$56.09$52.5017.8%5.6%11.7%2.7%19.5%2.2%1.3%2.1M-61.5M-803.7K0.937.881,9951,84661,78170,460
2019-12-09$55.47$52.5018.8%5.7%12.2%6.0%19.0%2.0%0.8%1.7M-39.3M-785.1K0.374.692,32685959,50768,994
2019-12-10$54.89$55.0018.8%5.7%12.4%6.3%20.1%2.5%0.6%627.7K-11.4M-802.6K1.364.822,2263,02257,77569,656
2019-12-11$53.92$55.0019.6%5.8%13.4%8.9%21.2%2.2%0.8%-1.9M19.3M-802.5K1.084.734,3614,72857,50870,627
2019-12-12$54.60$52.5019.5%5.7%14.5%8.7%20.2%2.8%0.6%-898.5K-2.6M-844.3K1.1210.672,0752,32858,96974,322
2019-12-13$54.24$52.5017.8%5.1%14.6%2.6%18.2%2.6%0.3%-3.1M14.3M-825.8K0.484.461,26360459,52176,020
2019-12-16$54.43$52.5018.2%5.2%14.6%3.9%20.2%2.6%6.4%-1.2M-4.2M-799.1K2.247.753,0406,81258,35273,240
2019-12-17$54.03$52.5017.7%5.1%14.6%2.2%19.2%2.1%6.3%-4.5M17.1M-816.3K2.496.122,2195,51760,76977,855
2019-12-18$53.62$52.5019.2%5.5%14.6%7.6%18.9%2.1%6.2%-7.4M39.0M-815.7K3.275.431,4914,87761,49179,702
2019-12-19$54.01$52.5018.6%4.9%14.3%5.4%18.0%2.2%7.1%-6.9M17.2M-803.0K1.185.581,6591,95162,32078,310
2019-12-20$54.38$52.5019.5%4.8%14.7%8.6%17.7%2.2%7.5%-7.7M5.7M-807.8K0.397.685,0491,95362,49279,008
2019-12-23$55.30$52.5022.1%4.7%16.0%17.8%17.7%3.6%-0.6%-472.7K-27.7M-797.0K0.909.894,3193,88150,81165,430
2019-12-24$54.82$52.5023.6%4.9%15.3%23.3%17.7%3.0%-1.0%-1.1M-12.7M-821.6K0.7110.0783359452,66966,639
2019-12-26$54.88$52.5025.1%5.0%15.4%28.7%17.4%3.8%-1.2%-973.2K-14.3M-807.3K0.489.411,70081653,08666,738
2019-12-27$54.09$53.0026.2%5.3%15.9%33.8%18.6%3.2%-1.4%-2.1M7.2M-808.4K0.567.902,1241,18554,02966,877
2019-12-30$54.12$53.0025.8%5.3%16.0%35.1%17.8%3.1%-0.8%-2.4M5.7M-805.4K0.4610.771,71178753,62066,705
2019-12-31$53.98$53.0025.2%5.1%15.6%34.7%17.9%3.5%-0.8%-2.2M9.9M-794.8K0.378.741,92671454,44767,072