LUV Options History — January 2021

In January 2021, LUV traded between $44.03 and $48.78. ATM implied volatility averaged 44.3%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 15.8% (HV 20d: 28.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.45.

Notable Days

  • 2021-01-27: Highest Volume — 43,500 contracts
  • 2021-01-28: Largest IV drop — 22.5% change
  • 2021-01-27: Highest IV Rank — 17.7%
  • 2021-01-27: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.62$44.03$48.78$45.22$44.16
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV44.3%41.2%53.2%46.3%48.9%
Expected Move12.7%11.7%15.6%13.1%13.8%
HV 20d28.4%23.8%33.0%27.6%33.0%
HV 60d40.2%38.5%41.6%40.6%38.6%
IV Rank13.2%11.1%17.7%14.5%15.4%
IV Percentile19.0%8.3%39.3%26.2%29.8%
Term Structure-0.3%-1.9%1.1%0.4%0.2%
VWIV44.7%41.4%54.0%46.1%49.9%
Skew 25d1.1%-3.6%3.3%1.9%2.2%
Skew 10d5.4%0.1%22.8%5.2%6.9%
Call IV 25d44.5%40.8%53.6%47.5%48.6%
Put IV 25d45.6%41.5%50.8%49.5%50.8%
Bid-Ask Spread %8.411.9526.2924.0314.26
Gamma HHI0.130.070.240.140.10
Net GEX9.8M1.1M18.4M6.4M1.1M
Net DEX-332.6M-553.8M-140.5M-294.3M-140.5M
Net VEX-2.3M-2.4M-2.2M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.250.850.850.79
Total Volume27,873.78917,13743,50023,21135,218
Total OI359,713.842273,788441,364395,420321,120

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$45.22$45.0046.3%13.1%27.6%14.5%46.1%1.9%0.4%6.4M-294.3M-2.2M0.8524.0312,57310,638230,553164,867
2021-01-05$45.77$45.0047.4%12.7%28.1%15.0%45.1%3.3%-1.9%7.3M-326.8M-2.2M0.397.4612,3704,767234,236169,225
2021-01-06$46.40$45.0043.7%12.3%28.7%13.0%43.2%2.9%-0.1%9.8M-365.1M-2.2M0.3311.8223,2187,592237,639168,589
2021-01-07$47.57$45.0042.1%11.8%30.0%12.1%41.7%1.3%-1.2%15.2M-455.9M-2.3M0.382.7516,6576,299244,644170,923
2021-01-08$47.22$45.0041.2%11.7%27.1%11.7%41.5%1.5%0.0%15.8M-439.3M-2.2M0.3626.2917,3256,240249,115171,874
2021-01-11$47.34$45.0043.7%12.4%25.4%13.1%43.4%1.6%-0.5%12.3M-430.8M-2.2M0.5311.2524,25212,783241,089165,336
2021-01-12$48.14$45.0043.9%12.4%24.1%13.1%43.5%1.2%-0.5%15.5M-497.2M-2.3M0.402.5015,8996,329252,886170,872
2021-01-13$48.00$45.0043.1%12.3%24.0%12.7%43.2%1.5%0.7%15.6M-486.7M-2.3M0.422.5414,0945,974257,160174,110
2021-01-14$48.78$45.0043.2%12.4%23.8%12.8%44.4%-0.8%-0.2%18.4M-553.8M-2.3M0.422.8327,55411,561259,412175,292
2021-01-15$46.78$45.0042.7%12.1%28.3%12.5%41.8%-0.2%-0.6%9.5M-380.3M-2.2M0.553.2626,15514,445262,131179,233
2021-01-19$47.09$45.0041.2%11.8%28.2%11.7%41.4%0.7%0.2%6.2M-261.3M-2.2M0.361.9715,0655,492173,787100,001
2021-01-20$48.14$45.0042.4%12.1%29.0%12.3%42.4%0.7%-0.5%8.9M-323.2M-2.3M0.562.3819,10910,640178,650102,820
2021-01-21$47.77$45.0042.4%12.2%29.2%12.4%42.6%1.3%-0.4%9.3M-311.5M-2.3M0.355.1814,3445,056185,929105,836
2021-01-22$47.44$45.0042.3%12.1%29.1%12.3%42.3%1.2%-0.3%12.4M-289.2M-2.3M0.411.9515,5336,438188,795108,192
2021-01-25$45.55$45.0046.4%13.4%29.9%14.0%47.6%1.5%-0.5%6.1M-211.9M-2.2M0.408.0324,2249,609180,96399,589
2021-01-26$45.80$45.0045.4%13.1%29.4%13.4%46.2%0.6%-0.4%6.6M-226.4M-2.3M0.252.4415,4953,918190,284105,427
2021-01-27$44.03$45.0053.2%15.6%32.5%17.7%54.0%-3.6%-0.8%4.6M-157.2M-2.3M0.4111.2530,78712,713193,947107,108
2021-01-28$44.62$45.0041.2%13.7%32.9%11.1%48.3%2.1%1.1%4.3M-168.9M-2.3M0.3217.6522,1767,060199,022113,907
2021-01-29$44.16$45.0048.9%13.8%33.0%15.4%49.9%2.2%0.2%1.1M-140.5M-2.4M0.7914.2619,66615,552204,999116,121