LUV Options History — April 2020

In April 2020, LUV traded between $29.47 and $36.41. ATM implied volatility averaged 84.4%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded below realized volatility by 10.6% (HV 20d: 95.0%). Max pain ranged from $32.00 to $50.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2020-04-29: Highest Volume — 163,508 contracts
  • 2020-04-27: Largest IV drop — 9.4% change
  • 2020-04-06: Highest IV Rank — 43.0%
  • 2020-04-01: Largest Expected Move — 27.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.65$29.47$36.41$32.07$31.56
Max Pain$44.50$32.00$50.00$42.50$32.00
ATM IV84.4%62.0%97.5%94.5%64.8%
Expected Move24.2%18.6%27.9%27.9%19.1%
HV 20d95.0%62.8%116.7%111.9%62.8%
HV 60d74.6%69.9%77.2%69.9%77.2%
IV Rank36.0%24.0%43.0%41.4%25.5%
IV Percentile90.2%84.5%94.8%94.4%84.5%
Term Structure-2.0%-6.4%6.1%-2.3%0.4%
VWIV84.4%64.6%97.0%90.8%68.1%
Skew 25d17.4%8.0%27.9%27.9%8.0%
Skew 10d39.5%16.4%62.4%54.4%19.9%
Call IV 25d77.0%60.1%89.1%86.4%61.1%
Put IV 25d94.4%68.5%114.2%114.2%69.1%
Bid-Ask Spread %15.056.7128.6614.3412.36
Gamma HHI0.090.060.170.070.17
Net GEX-590.0K-2.1M7.3M-1.6M7.3M
Net DEX107.8M-71.2M181.1M172.1M-71.2M
Net VEX-709.7K-1.2M-512.2K-574.1K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.171.611.370.24
Total Volume34,751.23811,306163,50817,62784,943
Total OI188,477.714154,197306,634161,066306,634

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$32.07$42.5094.5%27.9%111.9%41.4%90.8%27.9%-2.3%-1.6M172.1M-574.1K1.3714.347,44410,18367,93293,134
2020-04-02$31.09$50.0091.7%27.0%111.9%39.9%93.5%22.8%6.1%-1.4M176.7M-541.5K1.2524.155,0276,27972,98995,689
2020-04-03$30.38$50.0097.2%26.7%111.7%42.8%97.0%21.5%-6.3%-1.5M181.1M-512.2K1.4022.166,2028,67074,56996,919
2020-04-06$30.59$50.0097.5%26.9%112.0%43.0%92.9%20.4%-2.1%-1.1M153.4M-541.2K0.9828.6611,42611,15771,80388,545
2020-04-07$33.07$47.5093.1%26.2%116.5%40.7%89.0%25.6%2.8%-967.1K129.2M-667.7K1.269.4410,42313,15477,44492,718
2020-04-08$34.20$47.5091.2%24.6%116.7%39.6%89.8%19.5%-5.9%-987.7K121.6M-706.0K1.619.495,7009,20079,21197,905
2020-04-09$36.41$47.5089.3%23.9%104.6%38.7%85.1%23.2%-5.5%-991.3K83.5M-815.2K0.7718.4212,6499,68780,547100,132
2020-04-13$34.43$47.5089.1%25.2%100.7%38.5%89.4%21.3%-0.8%-1.4M113.7M-706.1K1.1716.507,0948,26774,79193,141
2020-04-14$34.94$47.5083.0%23.7%100.5%35.3%83.6%20.0%-0.4%-1.4M105.4M-715.1K0.5724.927,3424,20877,45195,739
2020-04-15$32.84$47.5088.4%25.3%102.4%38.1%89.7%17.3%-0.5%-1.8M129.0M-654.2K0.9923.3111,42711,36779,41796,724
2020-04-16$30.63$45.0092.0%26.6%101.7%40.1%89.5%15.4%-3.8%-2.1M142.8M-613.1K1.008.3214,44114,44385,49899,320
2020-04-17$31.21$45.0086.9%25.5%97.9%37.4%85.1%13.0%-4.9%-1.2M125.1M-660.7K0.7114.0211,2248,00093,394102,760
2020-04-20$31.09$45.0087.0%25.7%97.6%37.4%89.5%16.5%-2.7%-837.8K90.5M-665.6K0.947.9011,68910,97773,71280,485
2020-04-21$30.15$45.0088.4%26.1%94.8%38.2%90.8%16.3%-3.2%-973.3K95.5M-667.7K1.556.719,06114,00680,05785,623
2020-04-22$29.78$45.0086.4%25.1%82.6%37.1%84.2%15.6%-6.4%-1.2M105.7M-730.0K1.468.5514,67121,41384,68598,261
2020-04-23$30.35$42.5079.2%23.2%77.9%33.2%82.4%15.1%-2.8%-1.6M101.5M-766.3K0.8510.6810,5198,96391,660107,405
2020-04-24$29.47$42.5075.8%22.1%77.4%31.4%75.8%15.2%-4.1%-953.4K116.7M-730.4K0.7014.7618,84213,16495,355109,421
2020-04-27$29.61$40.0068.6%20.2%70.2%27.6%72.3%12.7%-0.6%-437.9K97.4M-746.7K0.5612.3325,09314,06493,19996,432
2020-04-28$29.71$40.0065.3%19.5%69.9%25.8%68.3%10.5%-1.3%532.0K77.4M-806.4K0.6013.5352,41531,434110,244107,312
2020-04-29$31.10$35.0062.0%18.6%72.5%24.0%64.6%8.3%1.8%2.3M16.1M-911.2K0.1715.50140,32023,188131,755118,020
2020-04-30$31.56$32.0064.8%19.1%62.8%25.5%68.1%8.0%0.4%7.3M-71.2M-1.2M0.2412.3668,58416,359183,816122,818