LUV Options History — May 2020

In May 2020, LUV traded between $23.80 and $33.45. ATM implied volatility averaged 71.2%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 3.9% (HV 20d: 75.1%). Max pain ranged from $27.50 to $32.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2020-05-26: Highest Volume — 124,913 contracts
  • 2020-05-18: Largest IV drop — 14.1% change
  • 2020-05-15: Highest IV Rank — 36.3%
  • 2020-05-15: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.89$23.80$33.45$29.21$32.34
Max Pain$29.40$27.50$32.50$31.50$28.00
ATM IV71.2%62.8%84.8%68.9%65.5%
Expected Move20.5%17.9%24.4%19.6%18.8%
HV 20d75.1%62.3%92.8%67.7%92.1%
HV 60d84.2%78.1%90.9%78.1%90.8%
IV Rank28.9%24.5%36.3%27.7%25.9%
IV Percentile83.1%77.8%87.7%86.1%79.4%
Term Structure0.3%-2.4%5.6%0.6%-2.2%
VWIV71.4%63.0%84.7%69.3%67.5%
Skew 25d8.7%4.2%13.7%9.5%4.2%
Skew 10d17.0%5.4%27.9%5.4%11.3%
Call IV 25d68.2%61.0%80.3%63.7%64.8%
Put IV 25d76.9%66.7%91.4%73.2%69.0%
Bid-Ask Spread %13.395.7434.5314.3612.72
Gamma HHI0.100.060.320.320.10
Net GEX3.6M-2.1M8.6M7.2M7.8M
Net DEX-40.2M-362.1M168.6M34.4M-294.2M
Net VEX-1.6M-2.2M-1.0M-1.1M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.261.150.600.43
Total Volume70,689.829,663124,913104,15842,027
Total OI410,924.25322,523500,011330,663500,011

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$29.21$31.5068.9%19.6%67.7%27.7%69.3%9.5%0.6%7.2M34.4M-1.1M0.6014.3665,16038,998198,963131,700
2020-05-04$27.73$32.5074.6%21.5%69.6%30.7%74.9%13.7%2.1%326.7K90.8M-1.1M0.677.7466,95444,709191,231131,292
2020-05-05$26.55$32.5074.6%21.1%70.8%30.8%73.2%11.8%-0.3%-2.1M127.5M-1.1M1.1510.1137,62443,086208,346159,774
2020-05-06$24.82$32.5077.8%21.8%66.3%32.5%75.4%9.5%-2.4%-110.1K168.6M-1.0M0.959.2437,69535,799228,846153,160
2020-05-07$25.32$32.5075.3%21.9%65.1%31.1%74.0%9.0%-0.4%721.9K109.8M-1.2M0.4714.1357,32926,900244,623152,536
2020-05-08$27.09$30.0067.4%20.0%65.9%26.9%69.0%8.5%1.1%3.8M47.4M-1.4M0.2713.7245,68112,128255,429167,609
2020-05-11$26.04$30.0068.9%21.2%64.8%27.7%70.8%7.9%5.6%2.0M68.7M-1.3M0.4234.5326,31111,168224,136150,848
2020-05-12$25.24$30.0070.3%20.4%64.2%28.5%70.3%7.4%1.7%1.1M88.9M-1.3M0.5114.6619,64610,017234,442156,416
2020-05-13$23.84$30.0076.8%22.2%63.7%32.0%78.0%10.7%0.8%8.1K112.9M-1.2M0.605.7432,28019,399241,506159,813
2020-05-14$24.65$30.0082.5%24.0%62.7%35.0%83.2%12.8%0.6%1.4M80.6M-1.3M0.4910.8243,05521,042255,519163,261
2020-05-15$23.80$27.5084.8%24.4%62.3%36.3%84.7%11.1%-0.1%700.1K86.5M-1.4M0.426.8731,17613,183274,459165,901
2020-05-18$27.12$27.5072.9%20.9%80.6%29.8%72.4%9.8%-0.2%3.1M-45.1M-1.6M0.397.6363,48024,908218,673146,362
2020-05-19$27.99$27.5072.9%21.0%81.2%29.9%74.0%8.5%-0.9%4.6M-86.6M-1.7M0.539.2154,08328,710238,087158,483
2020-05-20$29.11$27.5067.4%19.3%82.5%26.9%68.6%6.8%-0.8%4.9M-125.7M-1.8M0.399.2940,92615,763241,326177,614
2020-05-21$29.60$27.5064.9%18.6%82.5%25.6%65.0%6.1%0.4%6.2M-150.8M-1.8M0.3313.0243,37414,117246,445181,726
2020-05-22$28.86$27.5063.3%18.0%82.3%24.7%63.4%5.8%0.9%6.3M-110.2M-1.8M0.2611.7668,06417,822256,964185,366
2020-05-26$32.43$27.5062.8%17.9%92.3%24.5%63.0%5.6%-1.3%8.6M-332.1M-2.1M0.3214.2594,55330,360284,725172,913
2020-05-27$33.45$28.0067.3%18.5%92.8%26.9%66.0%9.9%-1.9%8.1M-362.1M-2.2M0.3419.8965,31822,203289,057181,082
2020-05-28$32.61$28.0064.6%18.9%92.2%25.4%66.0%5.4%1.9%8.2M-313.9M-2.2M0.3328.0536,64512,103301,045188,796
2020-05-29$32.34$28.0065.5%18.8%92.1%25.9%67.5%4.2%-2.2%7.8M-294.2M-2.2M0.4312.7229,35712,670306,583193,428