LUV Options History — October 2021

In October 2021, LUV traded between $46.69 and $55.12. ATM implied volatility averaged 32.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 2.4% (HV 20d: 30.2%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-10-11: Highest Volume — 119,855 contracts
  • 2021-10-07: Largest IV drop — 8.0% change
  • 2021-10-06: Highest IV Rank — 30.7%
  • 2021-10-04: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.67$46.69$55.12$54.35$47.20
Max Pain$49.52$47.50$52.50$50.00$47.50
ATM IV32.6%29.0%37.6%35.8%29.4%
Expected Move9.3%8.5%10.6%9.5%8.7%
HV 20d30.2%20.9%33.0%31.6%20.9%
HV 60d32.1%28.9%35.8%35.8%28.9%
IV Rank16.9%6.2%30.7%25.2%7.5%
IV Percentile24.2%3.2%50.8%42.9%5.6%
Term Structure-0.1%-1.1%2.1%2.1%1.4%
VWIV32.9%29.8%37.1%33.5%29.9%
Skew 25d2.6%0.6%5.5%5.5%1.9%
Skew 10d6.9%-0.0%25.2%25.2%4.1%
Call IV 25d32.0%28.9%37.3%34.4%28.9%
Put IV 25d34.7%30.6%39.9%39.9%30.8%
Bid-Ask Spread %4.302.5422.284.223.21
Gamma HHI0.120.080.170.140.08
Net GEX8.2M-2.8M20.2M16.9M5.3M
Net DEX-216.6M-530.0M23.4M-516.3M-12.9M
Net VEX-3.3M-3.6M-3.2M-3.3M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.311.770.430.62
Total Volume39,276.95213,524119,85550,96622,838
Total OI440,810.143388,850485,004399,216485,004

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$54.35$50.0035.8%9.5%31.6%25.2%33.5%5.5%2.1%16.9M-516.3M-3.3M0.434.2235,66815,298250,954148,262
2021-10-04$55.12$50.0037.6%10.6%30.9%30.5%36.7%4.0%-1.1%15.8M-530.0M-3.4M0.3622.2838,78114,016243,234145,616
2021-10-05$54.61$50.0035.7%10.1%31.0%25.0%35.0%4.3%-0.3%18.6M-521.8M-3.4M0.355.7413,8154,866253,636150,569
2021-10-06$54.36$50.0037.6%10.1%30.9%30.7%35.6%1.9%-0.4%18.5M-497.0M-3.6M0.354.4811,8054,085264,352156,837
2021-10-07$54.08$50.0034.6%9.6%30.2%23.5%33.8%3.4%-0.6%18.1M-471.2M-3.4M0.313.2314,4654,476264,924157,179
2021-10-08$53.97$52.5033.7%9.4%27.5%20.7%33.9%4.6%-0.8%20.2M-453.6M-3.4M0.463.759,2584,266266,564158,221
2021-10-11$51.81$52.5035.5%10.0%31.9%26.2%37.1%3.5%-0.5%10.8M-273.2M-3.3M1.773.0743,27576,580260,210153,143
2021-10-12$52.03$52.5034.9%9.8%31.3%24.7%36.3%4.4%-0.6%10.9M-288.6M-3.2M1.542.7121,40432,888262,382155,044
2021-10-13$51.18$50.0034.4%9.9%32.0%22.9%33.6%4.2%-0.1%946.2K-196.8M-3.3M1.054.7122,14823,192278,722182,923
2021-10-14$51.45$50.0031.9%8.9%31.7%15.0%31.9%3.3%-1.0%668.8K-219.5M-3.3M1.172.5512,34614,423283,491188,565
2021-10-15$50.50$50.0031.7%9.0%32.5%14.5%32.0%2.2%-0.6%6.4M-147.9M-3.3M0.962.7018,18917,470288,885188,785
2021-10-18$49.72$50.0031.9%9.1%32.9%15.2%33.7%0.9%-0.9%5.0M-129.4M-3.2M0.653.2518,82212,256247,490153,696
2021-10-19$49.33$50.0032.2%9.2%33.0%16.1%33.4%1.2%-0.7%4.0M-94.7M-3.2M0.433.1419,6508,459255,015158,721
2021-10-20$49.49$50.0031.3%9.0%31.5%13.4%31.9%0.6%-0.2%6.2M-123.2M-3.3M0.403.5740,59716,402274,910167,480
2021-10-21$48.56$47.5030.0%8.6%29.2%9.3%30.6%1.1%0.1%1.7M-53.0M-3.2M0.733.0539,82229,214289,660172,359
2021-10-22$47.60$47.5029.4%8.5%29.1%7.2%29.9%1.7%-0.5%-2.8M23.4M-3.2M0.693.0232,51522,529298,050182,087
2021-10-25$47.34$47.5029.5%8.6%29.1%7.6%30.3%1.8%0.5%4.0M-18.6M-3.2M0.472.5419,4769,125286,926166,234
2021-10-26$47.65$47.5029.2%8.6%29.1%6.6%31.2%1.8%1.3%5.5M-47.0M-3.3M0.773.3218,31114,105295,342169,900
2021-10-27$46.69$47.5029.0%8.7%29.6%6.2%30.6%1.5%0.7%3.1M14.1M-3.2M0.443.0717,2927,590298,441172,872
2021-10-28$46.96$47.5029.5%8.6%29.3%7.7%29.8%1.2%0.7%2.2M7.4M-3.2M0.402.7016,5486,551304,078176,250
2021-10-29$47.20$47.5029.4%8.7%20.9%7.5%29.9%1.9%1.4%5.3M-12.9M-3.2M0.623.2114,1278,711306,575178,429