LUV Options History — February 2021

In February 2021, LUV traded between $45.02 and $59.31. ATM implied volatility averaged 42.1%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 5.8% (HV 20d: 36.4%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.43.

Notable Days

2021-02-23: Highest Volume — 79,116 contracts
2021-02-02: Largest IV drop — 10.2% change
2021-02-01: Highest IV Rank — 13.5%
2021-02-25: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.15	$45.02	$59.31	$45.02	$58.53
Max Pain	$45.39	$45.00	$47.50	$45.00	$47.50
ATM IV	42.1%	40.1%	45.7%	45.5%	43.5%
Expected Move	12.1%	10.9%	13.1%	12.6%	12.4%
HV 20d	36.4%	31.6%	40.5%	33.8%	32.2%
HV 60d	33.5%	30.9%	38.7%	38.6%	32.2%
IV Rank	9.7%	2.1%	13.5%	13.5%	2.1%
IV Percentile	9.9%	3.2%	22.2%	22.2%	13.9%
Term Structure	0.6%	-1.1%	3.8%	-0.3%	-1.1%
VWIV	43.0%	38.8%	52.3%	45.1%	44.5%
Skew 25d	1.0%	-3.9%	5.4%	3.7%	-0.8%
Skew 10d	7.5%	0.4%	28.2%	9.9%	14.1%
Call IV 25d	42.6%	39.8%	46.1%	44.7%	44.4%
Put IV 25d	43.5%	40.4%	51.5%	48.4%	43.6%
Bid-Ask Spread %	6.35	3.24	16.71	3.37	8.72
Gamma HHI	0.13	0.07	0.29	0.09	0.16
Net GEX	15.4M	5.0M	22.9M	5.0M	16.8M
Net DEX	-589.6M	-955.4M	-195.0M	-195.0M	-875.5M
Net VEX	-2.5M	-2.7M	-2.3M	-2.3M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.14	1.26	0.14	0.39
Total Volume	33,712.737	10,993	79,116	42,343	35,971
Total OI	342,730.158	303,114	384,563	303,114	384,563

Daily Data (19 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
2021-02-01	$45.02	$45.00	45.5%	12.6%	33.8%	13.5%	45.1%	3.7%	-0.3%	5.0M	-195.0M	-2.3M	0.14	3.37	37,165	5,178	192,233	110,881
2021-02-02	$45.69	$45.00	40.9%	11.0%	32.7%	11.0%	39.3%	2.5%	0.9%	8.9M	-244.2M	-2.4M	0.46	3.63	11,463	5,318	209,058	113,616
2021-02-03	$46.64	$45.00	40.7%	10.9%	33.2%	10.9%	38.8%	2.5%	1.7%	10.9M	-298.1M	-2.4M	0.28	4.30	17,487	4,849	210,353	115,280
2021-02-04	$48.83	$45.00	41.8%	12.2%	36.7%	11.5%	42.8%	0.8%	-0.7%	14.7M	-461.7M	-2.5M	0.28	5.40	34,148	9,534	219,558	117,156
2021-02-05	$50.07	$45.00	40.1%	11.8%	36.7%	10.5%	41.3%	0.6%	-0.4%	21.7M	-561.2M	-2.6M	0.38	4.73	32,044	12,283	229,864	119,248
2021-02-08	$52.34	$45.00	41.2%	11.9%	39.3%	11.1%	42.7%	-0.3%	0.4%	14.1M	-623.1M	-2.5M	0.35	16.71	32,952	11,686	214,235	113,004
2021-02-09	$51.16	$45.00	40.7%	11.7%	40.5%	10.9%	41.3%	-0.5%	-0.2%	14.5M	-541.5M	-2.5M	0.58	3.45	12,706	7,308	218,467	116,897
2021-02-10	$51.25	$45.00	40.9%	12.1%	40.3%	11.0%	42.6%	-1.3%	1.1%	14.2M	-548.1M	-2.5M	0.31	8.74	13,668	4,232	219,201	118,583
2021-02-11	$51.18	$45.00	41.5%	12.1%	40.2%	11.3%	42.7%	-3.9%	2.8%	15.0M	-541.0M	-2.5M	0.67	15.96	6,568	4,425	221,701	119,104
2021-02-12	$51.24	$45.00	40.3%	12.0%	39.9%	10.6%	41.5%	1.5%	3.8%	16.4M	-545.0M	-2.5M	0.18	4.57	29,735	5,466	222,297	120,057
2021-02-16	$51.94	$45.00	42.5%	12.2%	36.5%	11.9%	43.4%	1.1%	-0.0%	15.4M	-570.7M	-2.5M	0.54	5.36	13,246	7,215	218,890	114,219
2021-02-17	$52.35	$45.00	42.6%	12.2%	36.5%	11.9%	43.1%	1.3%	1.0%	16.7M	-610.3M	-2.6M	0.34	3.24	18,324	6,157	226,358	118,512
2021-02-18	$51.91	$45.00	41.9%	12.0%	36.2%	11.5%	42.2%	1.1%	0.2%	17.4M	-587.2M	-2.5M	0.38	4.21	8,498	3,210	232,713	121,396
2021-02-19	$52.97	$45.00	41.6%	11.9%	36.4%	11.1%	41.8%	1.0%	0.0%	22.9M	-668.7M	-2.6M	0.28	3.66	21,298	5,895	234,795	122,604
2021-02-22	$54.84	$45.00	41.8%	11.9%	37.6%	10.5%	42.8%	1.5%	-0.1%	16.7M	-676.9M	-2.5M	0.54	6.56	36,525	19,813	215,199	108,471
2021-02-23	$56.90	$45.00	42.3%	12.1%	34.4%	7.4%	43.4%	1.0%	0.3%	17.1M	-801.5M	-2.5M	0.33	4.52	59,650	19,466	224,443	116,542
2021-02-24	$59.31	$47.50	45.3%	12.8%	36.0%	3.2%	45.1%	0.7%	0.1%	17.8M	-955.4M	-2.6M	0.49	4.71	34,757	16,901	239,457	128,487
2021-02-25	$58.65	$47.50	45.7%	13.1%	31.6%	3.4%	52.3%	5.4%	0.7%	16.9M	-897.1M	-2.7M	1.26	8.81	15,643	19,758	246,909	137,522
2021-02-26	$58.53	$47.50	43.5%	12.4%	32.2%	2.1%	44.5%	-0.8%	-1.1%	16.8M	-875.5M	-2.7M	0.39	8.72	25,878	10,093	247,282	137,281