LUV Options History — June 2020

In June 2020, LUV traded between $31.64 and $40.34. ATM implied volatility averaged 72.2%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 10.2% (HV 20d: 82.4%). Max pain ranged from $28.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.50.

Notable Days

2020-06-04: Highest Volume — 161,679 contracts
2020-06-11: Largest IV spike — 14.6% change
2020-06-11: Highest IV Rank — 34.8%
2020-06-11: Largest Expected Move — 23.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.44	$31.64	$40.34	$33.66	$34.39
Max Pain	$32.20	$28.00	$35.00	$28.00	$32.50
ATM IV	72.2%	62.0%	82.1%	66.3%	69.3%
Expected Move	20.2%	17.8%	23.1%	19.1%	18.4%
HV 20d	82.4%	71.9%	93.8%	88.2%	83.5%
HV 60d	84.9%	76.7%	92.5%	91.2%	79.1%
IV Rank	29.5%	24.0%	34.8%	26.4%	27.9%
IV Percentile	80.7%	75.4%	86.5%	79.4%	75.4%
Term Structure	0.8%	-4.0%	10.1%	0.4%	6.0%
VWIV	70.8%	62.8%	80.5%	67.6%	64.8%
Skew 25d	5.0%	-0.8%	11.9%	6.9%	5.2%
Skew 10d	10.6%	-3.0%	23.3%	14.9%	10.2%
Call IV 25d	71.1%	61.4%	79.5%	63.9%	67.1%
Put IV 25d	76.1%	65.9%	84.3%	70.8%	72.4%
Bid-Ask Spread %	14.70	8.52	25.09	25.09	13.04
Gamma HHI	0.08	0.06	0.15	0.07	0.08
Net GEX	6.6M	2.1M	9.8M	7.2M	5.2M
Net DEX	-346.3M	-662.7M	-47.9M	-324.9M	-195.9M
Net VEX	-2.5M	-2.7M	-2.2M	-2.3M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.23	1.06	0.37	0.58
Total Volume	63,025.364	22,949	161,679	54,159	36,336
Total OI	506,872.636	419,470	583,471	465,925	449,028

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-06-01	$33.66	$28.00	66.3%	19.1%	88.2%	26.4%	67.6%	6.9%	0.4%	7.2M	-324.9M	-2.3M	0.37	25.09	39,607	14,552	286,833	179,092
2020-06-02	$34.25	$28.00	62.4%	18.0%	85.4%	24.2%	63.1%	4.5%	1.9%	8.1M	-355.6M	-2.3M	0.32	9.74	42,003	13,349	291,448	186,188
2020-06-03	$36.49	$28.00	62.0%	17.8%	84.9%	24.0%	62.8%	5.1%	-1.2%	9.0M	-498.2M	-2.4M	0.26	20.92	69,741	18,308	303,902	189,564
2020-06-04	$38.09	$30.00	67.3%	19.4%	79.4%	26.9%	66.7%	7.0%	-1.6%	8.9M	-600.9M	-2.5M	0.23	16.01	131,728	29,951	312,261	196,660
2020-06-05	$37.93	$30.00	72.4%	19.8%	79.9%	29.6%	69.1%	0.3%	-3.3%	8.6M	-588.8M	-2.7M	0.23	17.48	113,027	25,585	341,782	207,877
2020-06-08	$40.34	$30.00	72.3%	19.7%	79.4%	29.5%	69.1%	2.1%	-2.8%	9.8M	-662.7M	-2.7M	0.88	12.98	67,550	59,689	332,353	200,389
2020-06-09	$38.09	$32.50	75.0%	20.6%	81.4%	31.0%	71.9%	-0.8%	-4.0%	9.3M	-526.2M	-2.6M	0.29	12.50	45,160	13,086	342,777	190,186
2020-06-10	$37.33	$32.50	71.6%	20.5%	80.6%	29.2%	73.4%	-0.1%	0.2%	8.7M	-478.0M	-2.6M	0.35	16.26	63,498	22,380	352,676	194,183
2020-06-11	$33.01	$35.00	82.1%	23.1%	91.6%	34.8%	80.0%	4.9%	-4.0%	5.6M	-210.3M	-2.4M	0.63	15.60	50,822	32,000	366,620	200,527
2020-06-12	$35.59	$35.00	78.6%	22.7%	93.8%	32.9%	78.7%	2.6%	0.5%	5.8M	-382.9M	-2.6M	0.63	9.46	41,780	26,512	374,586	208,885
2020-06-15	$36.14	$32.50	79.2%	22.7%	91.7%	33.2%	80.5%	4.4%	0.1%	7.7M	-422.6M	-2.6M	0.47	20.29	33,657	15,770	342,688	199,585
2020-06-16	$36.50	$32.50	76.2%	21.9%	82.0%	31.6%	77.2%	4.6%	10.1%	8.1M	-437.9M	-2.6M	0.32	11.56	31,516	10,010	348,042	201,757
2020-06-17	$36.19	$32.50	74.0%	21.2%	82.2%	30.5%	74.0%	4.9%	8.3%	8.1M	-410.1M	-2.5M	0.30	20.66	28,692	8,622	349,925	205,862
2020-06-18	$35.67	$32.50	73.1%	20.8%	82.1%	30.0%	72.1%	4.2%	2.2%	7.7M	-377.8M	-2.5M	0.54	11.08	14,878	8,071	357,802	207,365
2020-06-19	$34.82	$35.00	72.5%	20.3%	82.9%	29.6%	72.8%	4.0%	6.4%	7.5M	-314.6M	-2.4M	0.67	16.25	26,516	17,659	357,633	207,599
2020-06-22	$34.38	$35.00	74.4%	20.3%	82.4%	30.6%	71.3%	3.4%	-2.5%	3.9M	-170.8M	-2.3M	0.26	8.52	31,539	8,161	259,062	160,408
2020-06-23	$34.71	$34.50	69.4%	18.6%	71.9%	28.0%	66.0%	10.5%	-0.7%	4.9M	-191.3M	-2.4M	0.65	10.27	15,699	10,240	275,686	163,671
2020-06-24	$32.45	$34.00	74.2%	19.4%	75.3%	30.5%	67.8%	7.3%	-3.1%	2.1M	-86.6M	-2.2M	0.47	11.01	25,337	12,015	277,267	168,303
2020-06-25	$32.94	$33.00	71.7%	19.4%	74.9%	29.2%	69.4%	9.2%	-0.6%	2.2M	-110.4M	-2.3M	1.06	15.34	16,951	17,947	286,022	171,116
2020-06-26	$31.64	$33.00	72.3%	19.9%	76.3%	29.5%	69.5%	7.9%	1.2%	2.3M	-47.9M	-2.2M	0.99	17.00	17,773	17,617	291,510	177,792
2020-06-29	$35.02	$32.50	73.2%	19.9%	83.5%	30.0%	70.6%	11.9%	4.4%	5.1M	-224.2M	-2.4M	0.43	12.41	42,956	18,268	265,940	168,346
2020-06-30	$34.39	$32.50	69.3%	18.4%	83.5%	27.9%	64.8%	5.2%	6.0%	5.2M	-195.9M	-2.4M	0.58	13.04	22,959	13,377	275,126	173,902