LUV Options History — September 2021

In September 2021, LUV traded between $47.89 and $53.18. ATM implied volatility averaged 32.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 3.2% (HV 20d: 29.7%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2021-09-23: Highest Volume — 55,574 contracts
  • 2021-09-20: Largest IV spike — 13.3% change
  • 2021-09-21: Highest IV Rank — 27.7%
  • 2021-09-20: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.01$47.89$53.18$49.58$51.61
Max Pain$48.14$47.50$50.00$50.00$50.00
ATM IV32.9%29.5%36.6%30.6%35.8%
Expected Move9.2%8.3%10.6%8.9%9.2%
HV 20d29.7%24.5%33.2%33.2%26.2%
HV 60d33.5%32.5%34.6%32.5%34.2%
IV Rank16.9%7.0%27.7%10.3%25.4%
IV Percentile24.3%4.4%44.0%7.5%44.0%
Term Structure0.5%-1.4%1.7%0.5%-1.1%
VWIV32.2%28.3%35.9%31.4%33.2%
Skew 25d3.6%2.3%6.4%2.6%3.4%
Skew 10d8.9%3.9%22.8%4.9%3.9%
Call IV 25d31.8%29.4%35.0%30.5%33.7%
Put IV 25d35.4%31.7%39.7%33.2%37.1%
Bid-Ask Spread %7.962.5025.718.518.45
Gamma HHI0.110.070.290.080.11
Net GEX11.5M-1.6M37.7M14.3M14.3M
Net DEX-196.9M-463.4M-24.9M-168.8M-298.7M
Net VEX-3.2M-3.4M-3.0M-3.3M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.171.050.340.80
Total Volume29,462.95213,34755,57422,86822,241
Total OI444,722.571363,218505,810493,204393,634

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$49.58$50.0030.6%8.9%33.2%10.3%31.4%2.6%0.5%14.3M-168.8M-3.3M0.348.5117,0385,830318,359174,845
2021-09-02$49.59$50.0030.7%9.0%31.3%10.4%31.6%2.4%0.5%14.6M-174.1M-3.3M0.2014.9746,1689,371321,148176,913
2021-09-03$48.88$47.5029.5%8.8%31.6%7.0%31.8%2.3%0.9%7.9M-99.3M-3.2M0.343.8329,3159,980326,620179,190
2021-09-07$48.52$47.5031.1%9.3%31.2%11.6%32.4%2.6%1.4%7.8M-73.4M-3.1M0.192.5033,1876,207305,236169,674
2021-09-08$48.17$47.5032.0%9.4%29.6%14.4%32.5%3.1%0.8%5.2M-41.1M-3.1M0.622.9112,4407,754311,885173,189
2021-09-09$49.44$47.5032.3%9.4%30.8%15.1%33.0%2.9%0.2%16.2M-181.6M-3.2M0.3216.4825,4698,178318,305174,595
2021-09-10$47.98$47.5033.5%9.9%31.9%18.5%35.3%3.0%1.1%-1.6M-24.9M-3.1M0.733.1219,05113,829320,600177,339
2021-09-13$48.58$47.5033.8%9.8%32.2%19.6%33.4%3.2%-0.2%7.8M-81.1M-3.0M0.805.9415,97512,856304,450167,338
2021-09-14$47.89$47.5034.0%9.8%32.5%20.1%34.4%3.5%1.1%3.8M-36.1M-3.0M0.273.1914,2973,814312,138171,524
2021-09-15$48.34$47.5032.8%9.4%31.1%16.5%31.8%3.5%-0.7%4.0M-68.9M-3.1M0.325.3812,5773,981315,675175,526
2021-09-16$49.10$47.5031.4%8.9%31.6%12.6%31.4%4.0%1.7%11.2M-148.1M-3.1M0.3611.4720,1977,301319,996175,744
2021-09-17$48.91$47.5032.3%9.1%30.3%15.0%31.8%3.5%1.6%8.7M-134.6M-3.1M0.802.9514,62311,627323,769175,711
2021-09-20$49.36$47.5036.5%10.6%30.4%27.4%35.9%4.7%0.2%7.0M-162.0M-3.1M0.473.3817,0728,101228,484134,734
2021-09-21$49.33$47.5036.6%10.3%28.8%27.7%35.4%4.8%-0.7%7.2M-160.0M-3.1M0.233.5822,0735,122233,226138,127
2021-09-22$50.68$47.5032.9%8.9%26.5%17.0%31.1%6.4%1.4%12.0M-245.4M-3.2M0.1725.7133,7415,637236,682141,915
2021-09-23$52.42$47.5031.6%8.3%29.1%13.2%28.3%4.3%0.7%17.3M-397.5M-3.3M0.298.7142,96912,605246,530143,594
2021-09-24$53.09$48.0031.1%8.3%28.3%11.6%29.0%4.5%0.9%37.7M-463.4M-3.4M0.6114.6213,9428,563254,537145,179
2021-09-27$52.92$49.0032.2%8.3%28.1%14.8%29.1%3.8%0.7%15.7M-391.9M-3.3M0.3612.1522,7628,309239,546139,115
2021-09-28$53.18$49.0035.0%9.1%24.5%22.9%31.8%3.5%0.4%15.5M-399.4M-3.3M0.866.1211,3799,794241,672140,141
2021-09-29$52.69$50.0035.2%8.8%24.9%23.7%31.2%3.9%-1.4%15.8M-383.8M-3.3M1.053.226,5136,834248,729143,560
2021-09-30$51.61$50.0035.8%9.2%26.2%25.4%33.2%3.4%-1.1%14.3M-298.7M-3.2M0.808.4512,3729,869249,720143,914