LUV Options History — January 2020

In January 2020, LUV traded between $53.55 and $57.58. ATM implied volatility averaged 24.6%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.5% (HV 20d: 16.1%). Max pain ranged from $53.00 to $55.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2020-01-24: Highest Volume — 29,704 contracts
  • 2020-01-23: Largest IV drop — 23.4% change
  • 2020-01-21: Highest IV Rank — 56.2%
  • 2020-01-21: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.96$53.55$57.58$54.68$54.93
Max Pain$54.86$53.00$55.00$53.00$55.00
ATM IV24.6%19.7%27.1%24.6%26.5%
Expected Move6.6%5.1%7.7%5.1%7.6%
HV 20d16.1%12.4%22.1%15.4%22.1%
HV 60d17.1%14.8%18.4%17.6%17.2%
IV Rank40.1%15.1%56.2%32.0%54.6%
IV Percentile43.2%10.7%63.1%40.5%60.3%
Term Structure-0.6%-2.0%1.8%-1.3%0.1%
VWIV24.0%17.4%30.3%17.4%30.3%
Skew 25d3.0%1.3%5.3%2.8%5.3%
Skew 10d6.2%3.6%10.4%6.1%10.4%
Call IV 25d23.4%18.8%25.8%23.7%24.1%
Put IV 25d26.4%20.9%29.4%26.5%29.4%
Bid-Ask Spread %12.756.5218.696.5217.64
Gamma HHI0.150.100.530.130.18
Net GEX981.0K-7.7M15.6M-1.5M-7.7M
Net DEX-30.1M-99.9M13.5M-16.7M13.5M
Net VEX-830.2K-1.0M-749.3K-790.8K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.394.410.822.88
Total Volume9,558.9051,86729,7044,82713,375
Total OI118,874.71481,028131,752123,177123,965

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$54.68$53.0024.6%5.1%15.4%32.0%17.4%2.8%-1.3%-1.5M-16.7M-790.8K0.826.522,6522,17555,71867,459
2020-01-03$54.25$54.0025.4%5.4%15.6%35.6%19.7%3.0%-1.3%-785.3K-3.9M-800.3K1.248.372,8983,58456,73167,648
2020-01-06$54.11$55.0025.4%6.7%15.6%38.1%23.9%2.5%-0.7%-657.8K-4.2M-792.4K1.0711.822,6072,79056,47067,363
2020-01-07$54.28$55.0026.0%6.8%15.2%42.2%25.0%3.3%-1.2%-353.8K-12.2M-798.5K1.5710.691,3622,14057,88367,932
2020-01-08$54.50$55.0025.6%6.8%14.9%40.6%23.9%2.4%-0.8%158.6K-22.6M-796.6K0.5811.101,31275658,55468,552
2020-01-09$54.36$55.0025.7%6.8%14.5%44.2%24.2%2.5%-1.4%-180.9K-16.3M-793.4K0.9411.8296190658,83468,986
2020-01-10$54.00$55.0025.5%6.6%13.2%44.0%23.3%3.0%-1.8%-3.5M-2.3M-785.8K0.5211.461,9351,00959,17069,319
2020-01-13$54.05$55.0025.8%6.7%12.4%47.3%24.0%3.5%-1.8%-638.7K-7.2M-766.2K0.5313.422,2071,17057,92267,892
2020-01-14$54.47$55.0025.6%6.8%12.5%46.4%24.7%1.3%-1.5%1.3M-22.9M-774.9K0.398.352,50798959,46769,100
2020-01-15$55.02$55.0025.6%6.9%12.9%47.7%24.8%3.9%-1.9%3.5M-42.8M-774.2K2.236.751,5623,47759,86769,489
2020-01-16$55.35$55.0025.0%6.9%12.7%44.4%23.8%2.6%-1.0%4.8M-54.2M-773.8K0.5210.592,3991,24059,98271,770
2020-01-17$54.95$55.0024.8%6.7%12.7%43.3%24.5%2.5%-2.0%15.6M-39.7M-757.6K1.6410.954,2937,04860,24569,309
2020-01-21$53.55$55.0027.1%7.7%15.7%56.2%28.2%2.7%-0.4%-937.1K8.1M-749.3K2.1214.365,87212,44136,81944,209
2020-01-22$53.60$55.0025.7%7.4%15.4%47.9%25.2%2.9%-0.7%-1.9M12.3M-795.4K1.6315.669,64215,70240,25253,565
2020-01-23$55.20$55.0019.7%5.6%17.8%15.1%20.2%2.1%-0.0%4.0M-50.5M-793.8K0.6111.3112,9997,91146,42963,554
2020-01-24$56.34$55.0022.4%6.4%18.9%31.0%23.8%2.7%0.3%3.5M-99.9M-852.2K1.0816.5814,26815,43649,79665,094
2020-01-27$56.25$55.0024.8%7.2%18.9%45.0%27.0%3.9%0.7%589.6K-53.2M-968.2K1.8817.323,4186,44246,01262,813
2020-01-28$57.58$55.0021.4%6.2%19.5%25.4%23.0%3.1%1.8%2.7M-99.6M-931.7K0.9016.964,2443,83647,09562,010
2020-01-29$56.99$55.0021.4%6.1%20.1%25.5%22.8%2.9%1.8%3.4M-84.6M-944.9K2.2417.432,6385,91948,83763,695
2020-01-30$55.80$55.0023.1%6.4%21.7%35.3%24.8%3.8%0.6%-706.8K-32.3M-985.2K4.4118.692,33210,28349,71766,845
2020-01-31$54.93$55.0026.5%7.6%22.1%54.6%30.3%5.3%0.1%-7.7M13.5M-1.0M2.8817.643,4439,93250,68873,277