LUV Options History — February 2020

In February 2020, LUV traded between $45.57 and $58.64. ATM implied volatility averaged 28.7%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.3% (HV 20d: 26.4%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.39.

Notable Days

  • 2020-02-25: Highest Volume — 30,878 contracts
  • 2020-02-25: Largest IV spike — 40.1% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.20$45.57$58.64$55.23$45.57
Max Pain$52.89$52.50$55.00$55.00$52.50
ATM IV28.7%20.8%67.7%24.4%67.7%
Expected Move8.5%5.9%22.7%6.8%22.7%
HV 20d26.4%20.8%38.7%22.0%38.7%
HV 60d19.8%16.8%27.8%16.8%27.8%
IV Rank47.5%21.7%100.0%42.5%100.0%
IV Percentile42.9%16.3%100.0%39.3%100.0%
Term Structure-0.7%-6.0%1.0%-0.2%-6.0%
VWIV31.4%21.2%79.8%29.9%79.8%
Skew 25d5.9%2.8%18.1%4.5%18.1%
Skew 10d12.6%6.1%29.4%10.2%29.4%
Call IV 25d26.6%19.7%62.0%22.5%62.0%
Put IV 25d32.5%23.4%80.1%27.0%80.1%
Bid-Ask Spread %11.834.8826.7418.0126.74
Gamma HHI0.120.090.210.100.09
Net GEX1.5M-6.0M7.8M-1.5M-3.1M
Net DEX-19.5M-115.7M182.0M-6.3M182.0M
Net VEX-907.2K-983.4K-853.7K-983.4K-949.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.083.141.761.85
Total Volume9,380.7371,64430,8784,23421,760
Total OI118,655.26398,905144,846111,868144,846

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$55.23$55.0024.4%6.8%22.0%42.5%29.9%4.5%-0.2%-1.5M-6.3M-983.4K1.7618.011,5322,70243,92267,946
2020-02-04$55.82$55.0022.9%6.2%22.2%33.9%23.4%4.2%-0.1%-6.9K-27.1M-966.5K1.2216.699311,13644,78969,626
2020-02-05$57.18$55.0022.0%5.9%23.6%28.6%22.3%3.7%-0.1%2.4M-68.0M-942.3K0.8615.401,3341,14645,14470,019
2020-02-06$57.91$52.5022.8%6.4%23.9%33.4%22.7%3.9%-0.2%3.2M-92.7M-918.3K0.086.2317,7291,37045,75170,382
2020-02-07$57.53$52.5022.7%6.4%24.0%32.9%25.9%4.6%-0.2%7.8M-86.6M-933.4K2.1310.971,1702,49753,47770,430
2020-02-10$57.35$52.5022.9%6.5%23.9%33.9%26.8%4.5%0.1%3.6M-74.2M-922.5K1.3310.551,2251,63346,47467,427
2020-02-11$58.14$52.5023.8%6.5%24.2%39.0%23.2%4.6%-1.3%5.0M-104.7M-892.8K0.668.631,6871,10847,32568,647
2020-02-12$58.64$52.5021.4%6.3%24.2%25.4%21.3%3.9%0.6%4.9M-115.7M-881.6K0.759.201,18889047,44469,601
2020-02-13$58.56$52.5021.4%6.4%24.1%25.3%26.5%3.3%1.0%5.2M-113.9M-877.8K1.634.881,1051,80347,83870,150
2020-02-14$57.99$52.5022.0%6.2%24.5%28.8%21.2%3.6%-0.4%4.6M-97.1M-884.6K0.8211.931,2451,02148,13570,985
2020-02-18$57.75$52.5021.6%6.2%24.4%26.4%26.8%3.5%-0.2%4.8M-85.6M-854.7K3.146.211,2984,07846,62368,700
2020-02-19$57.17$52.5020.8%6.0%22.5%21.7%21.3%2.8%0.3%3.6M-65.8M-853.7K0.199.382,99156846,78972,336
2020-02-20$56.99$52.5021.4%6.1%22.6%25.2%22.1%4.3%-0.2%2.8M-59.6M-866.7K0.497.661,10154348,02072,569
2020-02-21$56.43$52.5022.8%6.5%20.8%33.5%24.9%4.8%0.8%1.5M-42.1M-872.5K1.765.591,3902,45348,24072,777
2020-02-24$54.36$52.5029.3%8.6%23.6%71.3%32.0%6.2%-1.1%-2.5M23.3M-900.4K1.6711.264,1076,85940,53758,368
2020-02-25$49.95$52.5041.1%12.1%37.7%100.0%41.5%10.1%-3.3%-3.8M115.5M-857.7K2.6314.618,51022,36842,81461,903
2020-02-26$49.02$52.5041.5%12.9%36.3%100.0%45.4%10.9%-1.8%-6.0M172.6M-931.7K0.9812.6313,43513,12446,01580,146
2020-02-27$47.26$52.5052.3%16.5%37.7%100.0%58.6%10.8%-1.4%-3.9M175.2M-947.3K2.4818.178,39320,80455,70982,546
2020-02-28$45.57$52.5067.7%22.7%38.7%100.0%79.8%18.1%-6.0%-3.1M182.0M-949.0K1.8526.747,64714,11359,09585,751