LUV Options History — July 2020

In July 2020, LUV traded between $30.77 and $35.89. ATM implied volatility averaged 63.8%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 0.8% (HV 20d: 64.6%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2020-07-28: Highest Volume — 75,702 contracts
  • 2020-07-28: Largest IV spike — 12.9% change
  • 2020-07-10: Highest IV Rank — 31.6%
  • 2020-07-10: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.95$30.77$35.89$33.91$30.77
Max Pain$32.98$32.50$35.00$32.50$32.50
ATM IV63.8%51.4%76.2%75.3%56.0%
Expected Move17.4%14.3%20.3%18.2%14.5%
HV 20d64.6%50.0%80.2%80.2%50.4%
HV 60d75.9%72.3%79.2%79.2%72.3%
IV Rank25.0%18.3%31.6%31.1%20.8%
IV Percentile68.3%57.9%83.3%82.9%60.3%
Term Structure-0.0%-7.1%15.5%-3.0%5.0%
VWIV61.3%50.9%70.0%64.8%52.3%
Skew 25d1.3%-3.6%7.8%-0.6%7.8%
Skew 10d6.8%-2.5%40.6%40.6%5.2%
Call IV 25d63.2%49.1%78.2%75.2%49.1%
Put IV 25d64.5%52.6%76.5%74.6%56.9%
Bid-Ask Spread %8.602.7746.193.857.07
Gamma HHI0.090.070.140.070.08
Net GEX4.9M1.1M11.4M4.7M4.3M
Net DEX-133.0M-322.1M-35.8M-169.1M-35.8M
Net VEX-2.2M-2.4M-2.0M-2.4M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.150.790.360.41
Total Volume39,193.59120,32375,70229,20135,009
Total OI453,049.227394,432493,385457,884493,385

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$33.91$32.5075.3%18.2%80.2%31.1%64.8%-0.6%-3.0%4.7M-169.1M-2.4M0.363.8521,5487,653280,808177,076
2020-07-02$34.07$33.0068.0%16.6%78.4%27.2%59.9%-2.7%0.0%2.7M-166.7M-2.3M0.5346.1918,0799,658284,877177,268
2020-07-06$34.28$35.0069.1%18.1%78.5%27.8%63.5%4.5%-0.5%5.2M-177.9M-2.3M0.378.9628,03910,404267,458164,912
2020-07-07$33.02$35.0069.1%18.3%75.2%27.9%63.6%0.1%-7.1%4.5M-125.2M-2.2M0.375.2514,7925,531278,222167,174
2020-07-08$33.02$35.0068.9%18.9%73.1%27.7%65.8%-1.2%-0.3%4.6M-128.3M-2.2M0.305.5322,1916,736283,652169,378
2020-07-09$31.54$35.0071.0%19.7%74.3%28.9%67.8%-1.7%-3.4%2.0M-60.4M-2.1M0.313.8827,4238,404286,359170,927
2020-07-10$33.18$32.5076.2%20.3%63.6%31.6%69.6%-1.7%-4.8%5.0M-157.3M-2.3M0.454.6527,76212,480294,124172,826
2020-07-13$32.76$32.5072.2%20.2%57.1%29.5%70.0%3.8%-1.6%3.9M-127.7M-2.2M0.3418.9638,26712,910275,904166,423
2020-07-14$33.20$32.5069.9%19.7%57.0%28.3%68.4%4.0%-0.8%5.8M-152.3M-2.2M0.3918.9615,0155,892292,764172,435
2020-07-15$35.89$32.5071.4%20.0%64.0%29.0%68.8%2.0%-1.7%11.4M-322.1M-2.4M0.357.4048,18816,856295,806173,723
2020-07-16$34.16$32.5067.6%19.2%66.2%27.0%67.7%2.3%-0.5%9.8M-192.8M-2.2M0.503.4014,9387,473298,739177,743
2020-07-17$34.07$32.5063.7%17.9%66.1%24.9%64.1%-2.3%-0.9%6.3M-171.5M-2.2M0.646.3120,69713,228300,193178,236
2020-07-20$33.02$32.5062.8%17.9%66.4%24.4%63.1%2.7%-1.4%3.8M-128.0M-2.1M0.492.7728,88114,254244,014150,418
2020-07-21$33.49$32.5061.7%17.6%66.6%23.8%61.6%1.0%-1.9%4.7M-148.9M-2.1M0.423.3620,1098,449256,705158,599
2020-07-22$33.27$32.5058.4%16.7%66.5%22.1%59.4%2.6%3.3%4.8M-138.8M-2.1M0.795.6516,08812,717264,745163,227
2020-07-23$33.01$32.5054.8%15.7%62.0%20.2%55.1%2.6%-1.6%3.3M-112.7M-2.1M0.547.9035,60819,235270,561170,228
2020-07-24$31.68$32.5054.0%15.3%63.4%19.7%54.4%-0.3%2.0%1.1M-50.4M-2.0M0.578.1725,10214,377275,651173,471
2020-07-27$31.49$32.5051.9%14.5%61.8%18.6%51.7%-3.6%-2.5%1.9M-64.2M-2.0M0.198.9153,79910,250260,306163,481
2020-07-28$32.32$32.5058.6%15.1%50.0%22.2%53.5%3.6%15.5%6.9M-143.9M-2.1M0.153.0665,64910,053287,265167,313
2020-07-29$31.71$32.5051.4%14.3%50.1%18.3%50.9%2.9%4.9%7.6M-110.9M-2.1M0.536.0126,19913,868305,985172,052
2020-07-30$30.94$32.5052.9%14.6%50.5%19.2%52.2%2.8%0.3%3.0M-41.5M-2.0M0.332.9328,9839,465304,059178,591
2020-07-31$30.77$32.5056.0%14.5%50.4%20.8%52.3%7.8%5.0%4.3M-35.8M-2.1M0.417.0724,78810,221313,032180,353