LUV Options History — November 2020

In November 2020, LUV traded between $38.30 and $48.22. ATM implied volatility averaged 47.4%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 5.1% (HV 20d: 52.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2020-11-09: Highest Volume — 84,103 contracts
  • 2020-11-24: Largest IV spike — 22.7% change
  • 2020-11-03: Highest IV Rank — 22.0%
  • 2020-11-02: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.06$38.30$48.22$38.30$46.45
Max Pain$36.20$35.00$40.00$39.50$37.50
ATM IV47.4%41.2%58.1%54.3%44.0%
Expected Move13.5%12.2%17.4%17.4%12.7%
HV 20d52.5%39.2%61.0%40.0%52.6%
HV 60d43.8%38.7%46.9%40.0%45.1%
IV Rank16.2%12.9%22.0%19.9%14.2%
IV Percentile31.1%24.6%56.0%44.4%25.0%
Term Structure-1.2%-13.1%2.3%-0.1%0.5%
VWIV48.0%42.9%60.5%60.5%44.4%
Skew 25d4.4%-8.7%20.9%10.3%1.0%
Skew 10d13.2%0.5%37.1%26.0%2.9%
Call IV 25d46.8%40.9%74.6%51.1%42.6%
Put IV 25d51.2%41.2%69.5%61.3%43.6%
Bid-Ask Spread %5.122.6316.803.963.69
Gamma HHI0.100.080.120.080.11
Net GEX10.1M3.5M16.5M3.5M10.9M
Net DEX-458.1M-622.5M-187.9M-187.9M-496.0M
Net VEX-2.1M-2.3M-2.0M-2.2M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.211.710.470.44
Total Volume32,440.0515,41984,10321,55428,713
Total OI435,224.45395,208462,956418,448427,252

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$38.30$39.5054.3%17.4%40.0%19.9%60.5%10.3%-0.1%3.5M-187.9M-2.2M0.473.9614,6716,883235,514182,934
2020-11-03$38.85$39.5058.1%17.0%39.8%22.0%59.8%9.2%-13.1%4.1M-216.5M-2.2M0.365.4911,3394,080235,514182,934
2020-11-04$39.11$40.0054.6%14.8%39.2%20.1%52.7%10.0%-1.8%5.9M-238.3M-2.2M1.715.328,01413,713246,874187,263
2020-11-05$40.92$35.0048.8%14.4%42.2%17.0%49.1%20.9%-1.1%9.2M-350.6M-2.2M0.4016.8017,0236,756250,222195,330
2020-11-06$40.09$35.0051.6%13.7%42.5%18.5%52.0%-8.7%-0.1%7.1M-289.8M-2.1M1.553.569,93715,443247,406192,980
2020-11-09$44.14$35.0047.8%12.8%54.1%16.4%47.2%2.0%-2.0%10.9M-516.0M-2.1M0.608.0852,51631,587241,049187,740
2020-11-10$44.84$35.0047.3%13.4%54.1%16.2%48.2%4.0%-0.3%10.1M-506.9M-2.1M0.384.0822,2088,440240,376192,928
2020-11-11$43.20$35.0045.0%12.7%56.3%14.9%46.6%7.6%-0.9%9.3M-412.1M-2.1M0.912.6312,59711,416243,641196,459
2020-11-12$41.70$35.0047.1%13.2%57.8%16.0%48.1%3.0%-1.0%7.8M-326.4M-2.0M1.025.0515,57315,935245,779196,592
2020-11-13$44.08$35.0046.4%13.3%60.4%15.7%47.6%1.6%0.2%11.3M-494.8M-2.0M0.5012.1221,39910,629250,055202,064
2020-11-16$45.41$35.0045.8%13.1%61.0%15.4%47.3%3.9%-1.7%11.3M-527.4M-2.1M0.975.7421,76821,114238,698192,119
2020-11-17$45.67$35.0045.3%13.0%61.0%15.1%46.7%2.5%1.4%11.2M-548.4M-2.0M0.782.7116,08312,549240,498197,971
2020-11-18$45.97$35.0044.0%12.6%60.6%14.4%44.3%3.4%2.3%11.8M-563.1M-2.1M0.413.8627,47811,368244,743202,091
2020-11-19$46.06$35.0045.0%13.0%58.0%14.9%46.0%4.9%-2.8%11.8M-571.0M-2.1M0.703.1514,58310,221250,481205,849
2020-11-20$45.59$35.0043.2%12.2%57.9%14.0%43.7%3.9%1.4%9.1M-548.0M-2.1M0.543.0116,2168,675257,836205,120
2020-11-23$46.83$35.0041.2%12.7%55.0%12.9%44.1%5.3%0.0%11.2M-528.6M-2.0M0.523.1024,17112,630227,573167,635
2020-11-24$48.22$37.5050.5%12.5%54.3%17.9%44.6%0.1%-1.9%14.3M-622.5M-2.2M0.323.7050,35516,177238,088175,787
2020-11-25$48.03$37.5044.2%12.5%51.5%14.5%44.5%2.0%-1.4%16.5M-619.6M-2.3M0.493.1113,4186,642254,043181,689
2020-11-27$47.67$37.5043.1%12.2%51.3%13.9%42.9%0.3%-1.0%15.6M-598.9M-2.3M0.213.1521,9054,576258,304185,058
2020-11-30$46.45$37.5044.0%12.7%52.6%14.2%44.4%1.0%0.5%10.9M-496.0M-2.2M0.443.6919,9948,719248,551178,701