LUV Options History — August 2020

In August 2020, LUV traded between $31.48 and $38.76. ATM implied volatility averaged 53.1%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 13.3% (HV 20d: 39.8%). Max pain ranged from $32.50 to $32.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.30.

Notable Days

2020-08-10: Highest Volume — 70,564 contracts
2020-08-12: Largest IV spike — 11.7% change
2020-08-31: Highest IV Rank — 23.0%
2020-08-31: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.89	$31.48	$38.76	$31.54	$37.78
Max Pain	$32.50	$32.50	$32.50	$32.50	$32.50
ATM IV	53.1%	47.9%	60.0%	56.2%	60.0%
Expected Move	15.0%	13.7%	16.2%	15.2%	16.2%
HV 20d	39.8%	31.1%	51.7%	51.4%	35.6%
HV 60d	63.9%	57.6%	72.4%	72.4%	57.9%
IV Rank	19.3%	16.5%	23.0%	20.9%	23.0%
IV Percentile	56.3%	52.0%	61.5%	60.3%	61.5%
Term Structure	0.7%	-5.1%	7.6%	-5.1%	-2.3%
VWIV	53.2%	48.8%	57.0%	53.4%	57.0%
Skew 25d	1.8%	-17.2%	10.3%	-17.2%	10.3%
Skew 10d	4.5%	-18.2%	35.6%	6.8%	-1.3%
Call IV 25d	53.5%	44.1%	78.8%	78.8%	54.6%
Put IV 25d	55.3%	46.6%	68.0%	61.6%	64.9%
Bid-Ask Spread %	5.38	1.78	15.98	4.34	2.29
Gamma HHI	0.10	0.07	0.14	0.07	0.10
Net GEX	10.7M	3.3M	14.5M	3.3M	9.1M
Net DEX	-277.1M	-518.9M	-85.4M	-85.4M	-379.5M
Net VEX	-2.3M	-2.4M	-2.2M	-2.2M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.18	0.44	0.29	0.29
Total Volume	40,183.238	17,587	70,564	33,856	35,863
Total OI	477,646.238	422,880	509,524	460,106	449,277

Daily Data (21 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
2020-08-03	$31.54	$32.50	56.2%	15.2%	51.4%	20.9%	53.4%	-17.2%	-5.1%	3.3M	-85.4M	-2.2M	0.29	4.34	26,283	7,573	285,776	174,330
2020-08-04	$31.48	$32.50	53.5%	14.7%	49.8%	19.5%	52.2%	-0.7%	-0.8%	4.3M	-87.5M	-2.2M	0.31	6.12	22,245	6,818	293,606	175,639
2020-08-05	$32.64	$32.50	56.4%	16.1%	51.7%	21.1%	56.9%	2.1%	-3.4%	8.1M	-173.8M	-2.3M	0.28	5.91	33,611	9,260	301,970	174,573
2020-08-06	$33.03	$32.50	54.4%	15.5%	49.0%	20.0%	55.9%	6.2%	-2.4%	10.8M	-200.7M	-2.3M	0.36	15.98	35,197	12,799	307,150	177,278
2020-08-07	$33.26	$32.50	55.7%	15.9%	45.6%	20.7%	56.7%	-6.3%	7.6%	12.6M	-225.3M	-2.4M	0.29	3.71	25,695	7,465	318,225	181,269
2020-08-10	$35.03	$32.50	53.3%	15.6%	48.8%	19.4%	55.6%	2.1%	-0.3%	10.3M	-311.2M	-2.4M	0.29	2.43	54,632	15,932	300,453	172,740
2020-08-11	$35.16	$32.50	50.3%	15.4%	48.7%	17.8%	54.4%	4.9%	3.7%	11.7M	-318.7M	-2.4M	0.23	10.61	54,460	12,708	308,118	176,894
2020-08-12	$35.24	$32.50	56.2%	15.7%	39.8%	20.9%	56.5%	3.9%	-2.2%	12.6M	-326.5M	-2.4M	0.37	3.18	24,435	8,984	322,113	178,800
2020-08-13	$34.72	$32.50	53.6%	15.2%	35.9%	19.5%	54.2%	3.7%	-0.3%	12.2M	-285.1M	-2.4M	0.32	2.84	18,812	5,995	324,275	180,663
2020-08-14	$34.83	$32.50	52.3%	15.0%	35.9%	18.8%	53.1%	-2.5%	1.4%	12.0M	-290.8M	-2.3M	0.30	2.99	23,117	6,842	325,100	182,714
2020-08-17	$33.86	$32.50	49.5%	14.3%	35.5%	17.3%	51.6%	2.0%	2.0%	8.9M	-202.9M	-2.2M	0.27	7.73	25,971	7,080	300,126	175,135
2020-08-18	$34.03	$32.50	48.6%	14.0%	35.2%	16.8%	50.3%	5.9%	2.6%	9.1M	-209.7M	-2.2M	0.29	1.78	18,086	5,308	305,432	177,862
2020-08-19	$34.23	$32.50	47.9%	13.7%	35.2%	16.5%	48.8%	3.6%	3.8%	10.9M	-230.8M	-2.2M	0.18	9.10	46,199	8,204	309,684	180,226
2020-08-20	$34.49	$32.50	51.1%	14.5%	35.1%	18.2%	51.8%	2.9%	1.4%	11.4M	-244.1M	-2.2M	0.33	7.29	13,225	4,362	323,020	183,147
2020-08-21	$34.73	$32.50	50.0%	14.0%	31.1%	17.6%	49.1%	3.0%	3.6%	13.7M	-273.6M	-2.2M	0.26	9.58	24,793	6,524	324,818	184,706
2020-08-24	$36.66	$32.50	52.5%	14.9%	35.4%	18.9%	52.4%	2.9%	-1.7%	8.6M	-319.0M	-2.3M	0.24	3.70	55,797	13,416	265,249	157,631
2020-08-25	$37.07	$32.50	50.4%	14.5%	34.8%	17.8%	50.7%	2.0%	-0.1%	12.6M	-371.3M	-2.3M	0.35	3.32	25,003	8,825	285,120	163,250
2020-08-26	$36.49	$32.50	50.9%	14.2%	34.5%	18.1%	49.8%	6.1%	2.2%	13.8M	-340.7M	-2.3M	0.36	3.08	15,638	5,648	291,584	166,208
2020-08-27	$37.65	$32.50	55.9%	15.0%	33.4%	20.7%	52.6%	-5.3%	4.3%	13.3M	-424.4M	-2.4M	0.28	3.68	41,105	11,412	290,417	168,274
2020-08-28	$38.76	$32.50	57.2%	15.4%	33.5%	21.5%	53.9%	7.7%	1.1%	14.5M	-518.9M	-2.4M	0.44	3.32	40,713	17,813	298,011	169,708
2020-08-31	$37.78	$32.50	60.0%	16.2%	35.6%	23.0%	57.0%	10.3%	-2.3%	9.1M	-379.5M	-2.4M	0.29	2.29	27,874	7,989	280,934	168,343