LUV Options History — March 2021

In March 2021, LUV traded between $56.09 and $62.00. ATM implied volatility averaged 40.8%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 2.9% (HV 20d: 37.9%). Max pain ranged from $47.50 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.51.

Notable Days

2021-03-12: Highest Volume — 52,826 contracts
2021-03-16: Largest IV drop — 6.3% change
2021-03-30: Highest IV Rank — 4.9%
2021-03-08: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.63	$56.09	$62.00	$58.03	$61.31
Max Pain	$55.37	$47.50	$60.00	$47.50	$60.00
ATM IV	40.8%	37.7%	43.9%	40.4%	40.2%
Expected Move	11.3%	9.5%	12.8%	11.1%	9.5%
HV 20d	37.9%	32.0%	41.1%	32.0%	40.6%
HV 60d	34.6%	32.1%	36.3%	32.1%	35.8%
IV Rank	1.7%	0.0%	4.9%	0.2%	4.2%
IV Percentile	5.8%	0.0%	17.9%	0.8%	3.6%
Term Structure	0.7%	-2.3%	3.6%	-0.2%	1.9%
VWIV	40.5%	34.3%	45.5%	39.3%	34.3%
Skew 25d	1.6%	-2.7%	6.5%	0.3%	6.5%
Skew 10d	4.9%	-1.6%	15.9%	2.5%	0.4%
Call IV 25d	41.3%	36.7%	46.3%	41.3%	40.7%
Put IV 25d	42.9%	37.5%	49.5%	41.6%	47.2%
Bid-Ask Spread %	7.75	2.54	23.86	4.85	4.23
Gamma HHI	0.19	0.10	0.35	0.20	0.10
Net GEX	17.3M	8.3M	27.5M	18.2M	15.8M
Net DEX	-763.7M	-1.08B	-404.9M	-797.5M	-604.5M
Net VEX	-2.5M	-2.6M	-2.3M	-2.5M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.20	1.15	0.46	0.75
Total Volume	24,902.609	12,682	52,826	24,383	14,449
Total OI	360,055.652	279,825	420,267	363,405	307,111

Daily Data (23 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
2021-03-01	$58.03	$47.50	40.4%	11.1%	32.0%	0.2%	39.3%	0.3%	-0.2%	18.2M	-797.5M	-2.5M	0.46	4.85	16,671	7,712	233,876	129,529
2021-03-02	$58.18	$47.50	39.2%	10.9%	32.2%	0.0%	39.4%	5.6%	-0.1%	17.9M	-789.0M	-2.6M	1.15	5.30	5,980	6,901	235,867	133,110
2021-03-03	$58.03	$50.00	41.4%	11.4%	32.6%	1.3%	42.6%	0.4%	-1.0%	17.1M	-778.4M	-2.6M	0.78	4.23	7,138	5,544	236,931	138,290
2021-03-04	$56.09	$55.00	43.5%	12.5%	36.2%	2.6%	44.3%	3.1%	-1.6%	13.8M	-634.1M	-2.6M	0.67	13.67	15,376	10,324	238,151	140,485
2021-03-05	$56.92	$55.00	42.8%	12.4%	33.7%	2.2%	44.3%	5.3%	-2.3%	15.7M	-693.3M	-2.6M	0.82	16.26	15,706	12,908	241,917	143,045
2021-03-08	$60.41	$55.00	43.9%	12.8%	38.0%	2.8%	45.5%	2.1%	1.0%	18.3M	-927.1M	-2.5M	0.21	6.22	36,414	7,513	235,670	136,755
2021-03-09	$59.01	$55.00	42.6%	12.3%	37.3%	2.1%	44.3%	2.3%	0.2%	19.9M	-849.1M	-2.5M	0.57	15.45	23,639	13,458	243,623	140,114
2021-03-10	$58.52	$55.00	42.9%	12.4%	36.2%	2.2%	43.9%	1.5%	0.7%	19.0M	-801.6M	-2.6M	0.40	23.86	12,520	5,023	249,290	148,119
2021-03-11	$58.42	$55.00	41.4%	11.8%	36.3%	1.3%	42.1%	2.2%	0.2%	20.0M	-797.6M	-2.6M	0.25	8.05	16,636	4,113	251,275	151,582
2021-03-12	$60.92	$55.00	42.7%	12.2%	38.2%	2.1%	42.7%	-0.9%	0.2%	21.1M	-1.00B	-2.5M	0.20	4.40	43,959	8,867	252,339	152,379
2021-03-15	$62.00	$55.00	42.4%	12.2%	38.2%	1.9%	43.2%	-0.2%	3.6%	22.7M	-1.08B	-2.5M	0.38	4.40	23,482	8,852	254,486	146,438
2021-03-16	$60.72	$55.00	39.7%	11.4%	39.7%	0.3%	40.7%	0.8%	1.5%	26.5M	-987.6M	-2.5M	0.50	4.55	11,322	5,643	260,230	150,192
2021-03-17	$61.72	$55.00	40.0%	11.5%	39.8%	0.5%	40.8%	0.3%	3.0%	26.2M	-1.07B	-2.5M	0.46	5.40	12,750	5,832	261,938	151,715
2021-03-18	$60.97	$55.00	41.3%	11.7%	40.0%	1.3%	41.9%	0.3%	2.3%	27.5M	-1.00B	-2.5M	0.23	21.94	19,161	4,355	260,839	154,108
2021-03-19	$61.44	$55.00	39.0%	10.9%	39.7%	0.0%	39.4%	0.4%	2.3%	11.9M	-1.06B	-2.4M	0.20	3.78	19,227	3,821	264,339	155,928
2021-03-22	$59.78	$55.00	38.1%	10.0%	40.2%	0.0%	35.0%	-2.7%	0.0%	12.9M	-535.0M	-2.3M	0.69	2.54	20,008	13,845	177,326	102,499
2021-03-23	$57.47	$60.00	38.7%	10.3%	41.1%	0.5%	37.1%	-1.5%	0.6%	8.3M	-404.9M	-2.4M	0.35	3.82	24,527	8,702	184,251	112,712
2021-03-24	$57.95	$59.50	37.7%	10.3%	38.3%	0.0%	37.2%	-1.2%	-1.0%	8.5M	-419.7M	-2.5M	0.42	3.77	9,955	4,179	183,818	115,312
2021-03-25	$59.81	$59.00	39.3%	10.7%	39.8%	1.9%	38.6%	0.3%	-0.1%	12.7M	-524.0M	-2.5M	0.46	3.02	16,413	7,616	185,914	116,739
2021-03-26	$61.00	$57.50	40.8%	10.5%	40.3%	4.0%	37.5%	5.5%	1.9%	17.0M	-598.3M	-2.4M	0.41	3.70	17,359	7,046	188,090	118,419
2021-03-29	$60.93	$57.50	40.4%	10.6%	40.2%	3.5%	40.7%	4.1%	2.1%	13.0M	-575.7M	-2.4M	0.80	8.03	12,877	10,259	181,026	111,274
2021-03-30	$61.86	$60.00	40.8%	10.1%	40.4%	4.9%	36.6%	3.0%	0.6%	14.9M	-637.2M	-2.4M	0.54	6.81	9,543	5,135	186,319	117,910
2021-03-31	$61.31	$60.00	40.2%	9.5%	40.6%	4.2%	34.3%	6.5%	1.9%	15.8M	-604.5M	-2.4M	0.75	4.23	8,264	6,185	187,947	119,164