LUV Options History — September 2020

In September 2020, LUV traded between $36.97 and $42.33. ATM implied volatility averaged 55.9%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 15.9% (HV 20d: 40.0%). Max pain ranged from $32.50 to $37.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.41.

Notable Days

2020-09-04: Highest Volume — 53,715 contracts
2020-09-21: Largest IV spike — 11.1% change
2020-09-08: Highest IV Rank — 23.8%
2020-09-03: Largest Expected Move — 18.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.94	$36.97	$42.33	$38.00	$37.49
Max Pain	$37.02	$32.50	$37.50	$32.50	$37.50
ATM IV	55.9%	50.4%	61.6%	59.3%	56.7%
Expected Move	15.6%	14.1%	18.8%	15.5%	14.4%
HV 20d	40.0%	33.5%	49.3%	35.4%	44.7%
HV 60d	48.0%	43.8%	56.4%	56.4%	43.8%
IV Rank	20.8%	17.8%	23.8%	22.6%	21.2%
IV Percentile	54.8%	46.8%	61.5%	61.1%	56.3%
Term Structure	2.5%	-0.8%	6.7%	-0.2%	1.3%
VWIV	55.3%	49.4%	65.9%	55.0%	50.6%
Skew 25d	4.9%	-0.2%	21.1%	3.7%	7.1%
Skew 10d	7.0%	-10.3%	25.5%	8.2%	-7.5%
Call IV 25d	55.9%	50.1%	64.1%	57.2%	55.0%
Put IV 25d	60.8%	52.0%	75.6%	60.9%	62.2%
Bid-Ask Spread %	7.65	2.82	29.66	12.48	8.17
Gamma HHI	0.14	0.09	0.51	0.09	0.09
Net GEX	8.9M	3.3M	17.8M	10.1M	5.2M
Net DEX	-370.0M	-608.2M	-163.1M	-397.7M	-206.4M
Net VEX	-2.3M	-2.5M	-2.1M	-2.5M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.24	0.66	0.51	0.29
Total Volume	28,904.048	14,360	53,715	28,811	20,255
Total OI	433,064.048	362,426	475,818	460,191	386,343

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
2020-09-01	$38.00	$32.50	59.3%	15.5%	35.4%	22.6%	55.0%	3.7%	-0.2%	10.1M	-397.7M	-2.5M	0.51	12.48	19,060	9,751	288,595	171,596
2020-09-02	$39.22	$32.50	59.8%	16.4%	35.0%	22.8%	57.7%	9.8%	5.9%	11.3M	-471.4M	-2.5M	0.28	13.78	25,808	7,311	292,783	175,757
2020-09-03	$38.67	$37.50	61.2%	18.8%	35.9%	23.6%	65.9%	11.6%	1.4%	11.2M	-443.2M	-2.5M	0.29	3.65	38,764	11,313	295,388	177,606
2020-09-04	$39.36	$37.50	60.4%	17.9%	36.1%	23.2%	63.1%	4.6%	0.6%	12.6M	-482.9M	-2.5M	0.39	29.66	38,697	15,018	293,244	179,487
2020-09-08	$40.66	$37.50	61.6%	18.4%	33.5%	23.8%	64.5%	5.8%	2.7%	10.3M	-532.6M	-2.5M	0.24	4.47	37,059	8,837	284,367	173,985
2020-09-09	$39.48	$37.50	58.2%	17.1%	36.0%	22.0%	59.7%	4.3%	0.8%	10.7M	-458.0M	-2.4M	0.24	6.17	25,946	6,334	291,103	178,143
2020-09-10	$39.09	$37.50	56.5%	16.0%	36.4%	21.1%	56.3%	6.0%	0.6%	10.6M	-428.9M	-2.3M	0.33	21.38	12,206	4,069	291,838	180,921
2020-09-11	$39.17	$37.50	53.4%	15.6%	35.7%	19.4%	54.9%	3.0%	2.2%	10.3M	-422.5M	-2.4M	0.65	3.76	12,466	8,071	293,867	181,951
2020-09-14	$40.23	$37.50	52.1%	15.1%	36.4%	18.7%	53.8%	2.3%	6.7%	11.1M	-489.6M	-2.3M	0.40	2.82	16,768	6,768	282,460	177,022
2020-09-15	$40.50	$37.50	50.4%	14.5%	33.9%	17.8%	51.7%	1.9%	3.3%	11.9M	-507.1M	-2.2M	0.41	3.54	13,626	5,600	286,232	178,250
2020-09-16	$42.33	$37.50	51.8%	14.9%	36.1%	18.6%	53.4%	2.1%	3.7%	12.1M	-608.2M	-2.3M	0.25	4.39	33,205	8,280	284,987	179,596
2020-09-17	$40.33	$37.50	55.4%	15.7%	41.8%	20.5%	55.5%	2.0%	2.9%	10.2M	-468.4M	-2.3M	0.45	4.87	18,209	8,203	285,188	181,754
2020-09-18	$39.93	$37.50	51.6%	14.5%	42.3%	18.5%	52.5%	0.0%	4.5%	17.8M	-445.8M	-2.2M	0.63	3.12	29,391	18,388	286,363	184,132
2020-09-21	$37.45	$37.50	57.3%	15.8%	49.3%	21.5%	55.4%	2.4%	-0.8%	4.2M	-198.6M	-2.2M	0.60	8.57	21,203	12,773	213,558	148,868
2020-09-22	$38.03	$37.50	51.9%	14.1%	45.9%	18.6%	49.4%	-0.2%	3.6%	4.9M	-213.4M	-2.3M	0.34	3.77	10,708	3,652	218,244	156,062
2020-09-23	$37.69	$37.50	55.9%	15.2%	45.9%	20.8%	53.3%	5.4%	0.5%	4.7M	-202.1M	-2.2M	0.45	3.17	10,773	4,887	220,625	157,761
2020-09-24	$36.97	$37.50	53.7%	15.0%	46.1%	19.6%	52.3%	2.1%	2.9%	3.3M	-163.1M	-2.2M	0.51	4.86	13,099	6,665	222,197	159,773
2020-09-25	$37.16	$37.50	53.6%	14.4%	44.7%	19.6%	53.2%	3.5%	4.8%	4.0M	-179.5M	-2.2M	0.46	4.52	12,245	5,644	225,868	161,558
2020-09-28	$38.42	$37.50	54.7%	14.4%	45.1%	20.2%	50.3%	3.2%	1.0%	5.6M	-240.5M	-2.2M	0.26	3.53	21,926	5,765	214,757	154,742
2020-09-29	$37.60	$37.50	58.2%	14.6%	44.8%	22.0%	53.2%	21.1%	3.2%	5.4M	-211.1M	-2.1M	0.66	9.87	10,965	7,277	221,323	156,051
2020-09-30	$37.49	$37.50	56.7%	14.4%	44.7%	21.2%	50.6%	7.1%	1.3%	5.2M	-206.4M	-2.2M	0.29	8.17	15,641	4,614	225,516	160,827