LUV Options History — March 2020

In March 2020, LUV traded between $31.22 and $46.75. ATM implied volatility averaged 115.1%, placing in the 81.4% IV rank vs the trailing year. The 30-day expected move averaged 32.5%. IV traded above realized volatility by 43.9% (HV 20d: 71.3%). Max pain ranged from $42.50 to $52.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.06.

Notable Days

  • 2020-03-19: Highest Volume — 47,305 contracts
  • 2020-03-18: Largest IV spike — 57.7% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 58.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.60$31.22$46.75$46.31$35.62
Max Pain$47.95$42.50$52.50$52.50$42.50
ATM IV115.1%52.5%204.0%55.3%90.7%
Expected Move32.5%16.1%58.5%17.2%23.9%
HV 20d71.3%37.8%107.9%39.7%107.8%
HV 60d46.7%27.9%66.9%27.9%66.9%
IV Rank81.4%39.4%100.0%75.6%39.4%
IV Percentile98.7%94.4%100.0%99.6%94.4%
Term Structure-6.0%-32.4%2.4%2.4%-1.7%
VWIV115.1%58.9%210.6%63.5%92.9%
Skew 25d39.2%15.3%74.3%15.5%21.7%
Skew 10d77.4%32.8%136.8%32.8%59.5%
Call IV 25d96.1%39.6%166.6%48.7%81.3%
Put IV 25d135.3%61.0%240.5%64.3%103.1%
Bid-Ask Spread %23.3111.1336.9011.4620.42
Gamma HHI0.070.060.100.100.07
Net GEX-2.0M-3.7M-986.7K-3.5M-1.8M
Net DEX162.5M73.4M237.9M161.9M151.5M
Net VEX-957.0K-1.2M-701.2K-954.0K-701.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.784.472.081.23
Total Volume19,318.13610,71247,30513,39810,712
Total OI174,698.5143,449207,144143,449159,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$46.31$52.5055.3%17.2%39.7%75.6%63.5%15.5%2.4%-3.5M161.9M-954.0K2.0811.464,3469,05257,93485,515
2020-03-03$45.94$52.5057.6%19.6%39.4%80.0%66.3%31.7%-0.1%-3.3M162.5M-992.6K1.2718.785,6507,16760,66590,687
2020-03-04$46.75$52.5052.5%16.1%39.9%70.1%58.9%15.3%-1.9%-3.7M150.0M-1.0M1.2913.299,30211,96363,98093,868
2020-03-05$45.40$50.0065.1%17.1%38.5%95.0%63.7%19.5%-1.6%-3.1M157.3M-1.1M2.6411.135,97415,75270,41999,742
2020-03-06$45.45$50.0078.7%21.2%37.8%100.0%79.6%27.4%-3.5%-2.9M146.1M-1.2M2.1717.657,94917,21072,842105,798
2020-03-09$44.15$50.0085.7%21.2%38.2%100.0%81.6%30.0%-10.2%-2.6M163.4M-1.1M2.4628.654,80111,83370,069104,620
2020-03-10$44.99$50.0085.7%23.7%39.7%100.0%90.4%19.0%-2.0%-2.5M137.6M-1.2M2.0926.876,11812,79771,156106,668
2020-03-11$42.55$50.0095.0%25.6%41.4%100.0%101.9%36.1%-5.6%-2.6M186.8M-1.1M2.8932.413,4239,88273,555111,896
2020-03-12$36.16$50.00122.8%34.3%65.6%100.0%112.6%40.3%-3.8%-1.9M237.9M-888.9K3.2031.064,42214,15174,786115,092
2020-03-13$39.60$50.00136.0%37.0%77.1%100.0%138.1%53.6%-17.7%-2.3M202.1M-1.0M4.4736.904,77221,31675,984116,757
2020-03-16$38.37$50.00135.4%38.4%77.1%99.5%138.9%45.8%-3.1%-2.0M206.4M-1.0M3.2425.174,92615,95873,973119,781
2020-03-17$37.57$50.00129.4%37.0%76.8%94.4%135.9%51.5%2.0%-1.9M219.5M-958.1K2.2620.494,52610,22776,225122,284
2020-03-18$34.76$50.00204.0%58.5%79.2%100.0%210.6%74.3%-32.4%-1.3M195.6M-935.4K3.6023.476,42723,10977,567123,546
2020-03-19$32.00$47.50197.9%57.4%81.3%96.7%182.7%73.9%-8.7%-1.4M214.9M-827.8K1.2133.8321,38525,92079,445127,699
2020-03-20$31.22$47.50182.3%53.4%81.0%88.4%171.3%66.8%-17.0%-998.0K230.5M-711.3K2.1032.256,38313,38976,791126,505
2020-03-23$33.38$45.00162.2%46.8%87.9%77.6%158.9%54.9%-8.2%-1.1M131.7M-779.3K1.8521.665,43210,07158,72893,054
2020-03-24$37.61$45.00140.7%39.0%98.5%66.1%136.9%45.9%-4.7%-1.1M99.5M-908.4K0.8520.799,7668,29361,85195,050
2020-03-25$40.30$42.50126.7%33.8%102.8%58.7%122.9%41.4%-2.6%-986.7K73.8M-990.6K0.8621.199,4968,19963,57697,978
2020-03-26$40.75$42.50112.3%32.8%102.6%50.9%115.0%41.1%-6.7%-1.1M73.4M-985.5K1.5623.265,5158,62865,68699,815
2020-03-27$36.68$42.50114.2%32.8%107.9%52.0%110.1%29.2%-0.5%-1.5M132.2M-822.7K0.7822.618,9817,02967,505100,794
2020-03-30$35.55$42.50102.8%28.0%107.6%45.8%98.6%28.3%-3.8%-1.5M141.6M-735.0K1.2919.355,5767,17164,43889,982
2020-03-31$35.62$42.5090.7%23.9%107.8%39.4%92.9%21.7%-1.7%-1.8M151.5M-701.2K1.2320.424,7965,91666,38692,675