LUV Options History — October 2020

In October 2020, LUV traded between $37.63 and $42.99. ATM implied volatility averaged 56.0%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 19.0% (HV 20d: 37.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2020-10-22: Highest Volume — 63,463 contracts
  • 2020-10-28: Largest IV spike — 9.6% change
  • 2020-10-06: Highest IV Rank — 23.8%
  • 2020-10-30: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.53$37.63$42.99$37.63$39.43
Max Pain$36.75$35.00$40.00$37.50$39.50
ATM IV56.0%49.2%61.6%58.0%58.6%
Expected Move15.7%14.0%18.0%14.6%18.0%
HV 20d37.0%25.5%44.2%43.1%38.6%
HV 60d38.8%36.0%43.8%43.8%39.4%
IV Rank20.8%17.2%23.8%21.9%22.2%
IV Percentile51.2%34.5%61.5%57.5%57.5%
Term Structure0.2%-5.9%6.7%2.0%0.3%
VWIV56.1%49.7%64.2%50.3%64.2%
Skew 25d6.0%-5.2%15.6%5.5%6.7%
Skew 10d12.0%-10.1%31.5%16.7%-10.1%
Call IV 25d53.9%49.4%62.3%52.6%52.3%
Put IV 25d59.9%49.5%67.3%58.1%59.0%
Bid-Ask Spread %6.801.9513.736.519.48
Gamma HHI0.110.070.190.090.08
Net GEX7.4M3.5M13.2M5.8M3.8M
Net DEX-293.1M-508.9M-187.3M-215.5M-242.6M
Net VEX-2.2M-2.3M-2.1M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.191.140.190.85
Total Volume32,833.45514,76363,46322,65522,986
Total OI420,195.227385,876445,462389,992445,462

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$37.63$37.5058.0%14.6%43.1%21.9%50.3%5.5%2.0%5.8M-215.5M-2.2M0.196.5119,0483,607227,273162,719
2020-10-02$38.71$37.5056.6%14.7%44.2%21.2%52.4%1.6%5.5%8.7M-286.3M-2.2M0.444.5634,02114,955230,997164,395
2020-10-05$38.50$35.0057.9%17.4%43.7%21.8%60.6%7.5%1.1%5.7M-258.9M-2.2M0.351.9525,7959,053225,473160,403
2020-10-06$37.82$35.0061.6%17.0%42.2%23.8%63.3%8.2%-2.8%5.4M-222.3M-2.2M0.602.9530,76718,510235,950164,230
2020-10-07$38.59$35.0057.0%16.5%41.9%21.3%59.1%9.8%6.7%7.5M-260.2M-2.3M0.822.7520,31416,608241,355174,265
2020-10-08$38.93$35.0057.8%15.4%41.9%21.8%56.3%5.0%4.9%9.3M-280.5M-2.2M0.633.1226,27216,483243,818182,628
2020-10-09$39.68$35.0059.2%15.5%42.4%22.5%55.4%4.3%3.6%8.2M-334.7M-2.3M0.2613.7332,6348,568247,105189,747
2020-10-12$39.26$35.0057.4%15.1%41.4%21.6%54.9%5.8%-5.9%7.4M-292.3M-2.2M0.482.7413,5286,479241,211181,619
2020-10-13$39.09$35.0054.1%15.3%41.3%19.8%55.4%6.5%-3.2%7.2M-277.5M-2.2M0.6613.4612,2698,079242,269184,018
2020-10-14$39.38$35.0055.1%15.4%37.8%20.3%54.5%9.0%1.3%7.7M-293.6M-2.2M0.619.5811,8307,258241,629188,095
2020-10-15$38.89$35.0054.0%14.9%34.2%19.8%53.4%-5.2%-2.0%6.3M-257.0M-2.2M0.576.9713,3477,646243,000188,470
2020-10-16$39.75$35.0055.5%15.4%35.0%20.6%54.8%11.7%-2.7%9.6M-312.9M-2.2M0.453.9818,5258,323246,403191,317
2020-10-19$39.82$37.5057.2%16.2%25.6%21.5%57.6%7.8%-0.2%6.4M-291.8M-2.2M0.536.2221,11311,209225,904166,311
2020-10-20$40.33$37.5055.7%16.0%25.5%20.7%56.8%4.6%-4.2%7.6M-320.8M-2.1M0.539.2211,3226,021232,461170,585
2020-10-21$39.84$37.5054.8%15.7%25.7%20.2%54.6%3.5%1.5%7.3M-295.6M-2.2M0.656.4322,33814,441236,840170,832
2020-10-22$42.03$37.5050.7%14.6%30.0%18.0%52.1%3.4%-1.6%13.1M-434.6M-2.2M0.507.8342,30421,159248,869180,590
2020-10-23$42.99$37.5049.2%14.0%30.6%17.2%49.7%-0.8%2.5%13.2M-508.9M-2.3M0.3410.2834,83711,847253,651184,781
2020-10-26$40.93$38.0053.7%15.5%34.9%19.6%56.2%7.7%-2.9%8.1M-345.6M-2.2M1.147.5820,31223,120245,698177,023
2020-10-27$39.94$39.0052.2%15.1%35.2%18.8%53.3%4.2%-0.2%6.2M-271.4M-2.2M0.772.3115,25011,815247,364181,692
2020-10-28$38.41$40.0057.2%17.0%38.2%21.5%60.4%15.6%1.9%3.5M-187.3M-2.2M0.879.6417,98615,594249,897184,884
2020-10-29$39.64$39.5058.9%16.9%39.7%22.4%58.6%9.1%-0.3%5.0M-257.2M-2.3M0.628.319,1115,652252,324190,738
2020-10-30$39.43$39.5058.6%18.0%38.6%22.2%64.2%6.7%0.3%3.8M-242.6M-2.3M0.859.4812,40310,583253,565191,897