LUV Options History — December 2020

In December 2020, LUV traded between $45.34 and $47.76. ATM implied volatility averaged 44.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 10.0% (HV 20d: 34.4%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-12-09: Highest Volume — 44,555 contracts
  • 2020-12-02: Largest IV spike — 8.0% change
  • 2020-12-02: Highest IV Rank — 16.1%
  • 2020-12-09: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.49$45.34$47.76$47.41$46.55
Max Pain$39.09$37.50$40.00$37.50$40.00
ATM IV44.4%41.5%47.6%44.1%42.9%
Expected Move12.5%11.0%13.5%12.6%11.0%
HV 20d34.4%25.8%50.9%50.8%25.8%
HV 60d42.2%40.2%45.1%45.1%40.2%
IV Rank14.0%11.9%16.1%14.2%12.6%
IV Percentile22.7%17.5%28.6%25.4%17.5%
Term Structure0.7%-3.0%4.1%-2.2%0.7%
VWIV44.9%39.3%51.9%45.5%39.3%
Skew 25d2.8%-0.9%6.7%1.9%6.7%
Skew 10d8.4%1.9%18.2%6.7%8.3%
Call IV 25d43.9%40.2%47.8%44.3%40.2%
Put IV 25d46.6%42.5%52.5%46.2%46.9%
Bid-Ask Spread %4.412.2616.524.072.51
Gamma HHI0.120.100.170.100.16
Net GEX10.7M6.0M15.5M13.7M9.0M
Net DEX-458.7M-586.6M-318.6M-554.2M-371.7M
Net VEX-2.3M-2.4M-2.2M-2.3M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.180.920.360.37
Total Volume22,630.22711,71644,55523,68919,627
Total OI436,972.909384,089491,478437,297410,338

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$47.41$37.5044.1%12.6%50.8%14.2%45.5%1.9%-2.2%13.7M-554.2M-2.3M0.364.0717,4626,227255,519181,778
2020-12-02$47.69$37.5047.6%13.2%50.8%16.1%47.1%1.3%-3.0%14.5M-580.1M-2.3M0.4316.529,8774,252258,929183,379
2020-12-03$47.76$37.5045.8%13.1%50.9%15.1%46.5%1.0%-0.2%15.5M-586.6M-2.3M0.318.7828,4228,681260,974184,542
2020-12-04$47.64$37.5043.5%12.6%49.3%13.9%44.8%1.8%0.8%15.4M-573.7M-2.3M0.183.8029,8595,439264,980185,991
2020-12-07$47.66$37.5045.8%12.9%48.3%15.1%46.7%4.5%-1.3%12.8M-570.4M-2.2M0.344.7115,6315,336258,004179,264
2020-12-08$47.25$37.5046.5%12.9%35.8%15.5%46.5%2.4%-0.7%12.7M-552.9M-2.2M0.395.7012,5474,946262,691181,838
2020-12-09$45.62$37.5047.1%13.5%38.0%15.8%46.5%6.1%1.4%9.4M-443.4M-2.2M0.313.9733,93610,619265,995184,399
2020-12-10$46.88$37.5046.1%13.2%36.2%15.3%47.3%4.3%-0.2%13.1M-531.2M-2.4M0.356.8112,4114,379280,120189,761
2020-12-11$45.73$40.0046.2%13.4%34.9%15.3%51.9%3.9%0.7%9.4M-446.9M-2.3M0.924.2614,87213,628280,127191,354
2020-12-14$45.44$40.0045.4%13.1%29.4%14.9%47.9%3.6%0.7%8.5M-432.3M-2.3M0.513.7114,0837,232267,594192,734
2020-12-15$46.27$40.0044.4%12.7%28.2%14.3%47.6%3.6%1.3%10.3M-486.6M-2.3M0.413.5217,2057,007271,495195,581
2020-12-16$45.75$40.0044.5%12.7%28.4%14.4%46.3%2.5%-0.6%9.9M-458.2M-2.3M0.443.4415,6006,825275,888197,473
2020-12-17$46.16$40.0043.4%12.5%28.5%13.4%45.0%2.2%-0.5%11.0M-486.0M-2.3M0.463.3411,0255,026279,186201,887
2020-12-18$45.86$40.0043.5%12.5%28.6%13.4%44.9%2.4%-0.2%12.2M-486.8M-2.4M0.473.0915,8207,430288,681202,797
2020-12-21$45.76$40.0044.2%12.9%28.4%13.4%45.5%2.9%2.7%7.1M-344.8M-2.3M0.762.5814,22210,784227,538156,551
2020-12-22$45.34$40.0041.5%12.0%26.7%11.9%42.4%3.1%3.6%6.0M-318.6M-2.3M0.592.269,7195,729231,406163,611
2020-12-23$47.02$40.0042.0%12.0%27.9%12.1%41.8%1.6%4.1%10.6M-414.0M-2.3M0.343.5519,0966,439231,780165,914
2020-12-24$46.18$40.0041.5%11.9%28.5%11.9%41.3%1.6%2.3%8.9M-367.3M-2.3M0.633.127,1974,519235,357167,667
2020-12-28$46.16$40.0042.2%11.6%28.5%12.2%40.6%1.8%-0.1%8.4M-358.2M-2.2M0.662.5911,8097,762230,798162,428
2020-12-29$46.34$40.0045.1%12.1%27.0%13.8%42.5%-0.9%2.4%8.3M-364.5M-2.3M0.472.4812,0685,698233,955166,497
2020-12-30$46.34$40.0042.7%11.3%25.9%12.5%40.2%2.4%2.8%8.5M-362.8M-2.3M0.842.319,4927,927237,921168,682
2020-12-31$46.55$40.0042.9%11.0%25.8%12.6%39.3%6.7%0.7%9.0M-371.7M-2.3M0.372.5114,3035,324237,910172,428