LUV Options History — November 2021

In November 2021, LUV traded between $44.36 and $52.22. ATM implied volatility averaged 34.2%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 0.6% (HV 20d: 33.7%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2021-11-05: Highest Volume — 69,558 contracts
  • 2021-11-26: Largest IV spike — 24.2% change
  • 2021-11-26: Highest IV Rank — 65.5%
  • 2021-11-30: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.12$44.36$52.22$49.01$44.36
Max Pain$49.64$47.50$50.00$47.50$50.00
ATM IV34.2%29.9%44.2%30.4%42.8%
Expected Move10.0%8.9%13.4%8.9%13.4%
HV 20d33.7%25.3%38.2%25.3%35.1%
HV 60d31.2%29.3%32.4%30.0%31.4%
IV Rank27.0%9.2%65.5%10.5%60.1%
IV Percentile40.6%8.7%91.7%9.9%84.9%
Term Structure0.2%-1.2%1.7%1.2%0.5%
VWIV35.6%30.8%46.4%30.8%46.4%
Skew 25d1.5%0.0%4.3%3.0%2.9%
Skew 10d3.0%0.4%6.0%3.1%6.0%
Call IV 25d34.5%29.8%44.0%30.7%41.4%
Put IV 25d36.0%31.5%48.3%33.7%44.4%
Bid-Ask Spread %4.642.0612.703.6812.70
Gamma HHI0.100.090.150.090.10
Net GEX9.4M-2.2M24.0M10.4M-1.2M
Net DEX-108.5M-518.5M139.4M-170.4M128.9M
Net VEX-3.4M-3.7M-3.0M-3.5M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.231.620.270.49
Total Volume33,706.52419,49869,55853,05247,535
Total OI489,084.952467,191522,989467,191490,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$49.01$47.5030.4%8.9%25.3%10.5%30.8%3.0%1.2%10.4M-170.4M-3.5M0.273.6841,81911,233295,798171,393
2021-11-02$48.86$47.5030.3%8.9%25.3%10.5%31.3%2.4%1.0%12.7M-173.8M-3.5M0.383.2515,8576,017305,682174,126
2021-11-03$49.45$47.5029.9%8.9%26.0%9.2%31.3%1.4%1.7%15.2M-224.1M-3.6M0.342.7921,0947,168308,240174,213
2021-11-04$48.89$50.0030.5%9.2%26.1%12.3%33.1%2.0%1.6%14.0M-184.0M-3.5M0.232.7321,7735,064311,861175,711
2021-11-05$52.22$50.0031.0%9.2%36.3%14.9%32.8%0.8%-0.3%24.0M-518.5M-3.7M0.303.7853,43216,126317,981176,427
2021-11-08$51.25$50.0033.1%9.5%33.9%23.1%33.5%0.4%0.2%16.7M-360.9M-3.6M0.503.2824,54312,283301,707169,791
2021-11-09$50.55$50.0031.7%9.4%34.2%17.8%33.3%1.1%1.0%14.8M-276.9M-3.5M0.322.6720,6446,596305,135173,887
2021-11-10$49.71$50.0032.5%9.3%34.2%20.7%33.4%1.7%-0.4%11.9M-202.7M-3.4M0.612.3712,6357,715306,163175,275
2021-11-11$49.25$50.0032.6%9.2%34.2%21.1%33.6%0.0%-1.2%10.7M-165.7M-3.4M1.622.519,42915,253309,986177,624
2021-11-12$48.41$50.0032.7%9.4%34.1%21.4%34.5%1.0%0.9%9.4M-80.8M-3.4M0.522.8023,85012,283313,182186,284
2021-11-15$49.11$50.0033.4%9.6%34.2%24.0%34.6%0.4%0.0%11.5M-162.1M-3.5M0.332.0619,3106,417311,480182,500
2021-11-16$47.64$50.0033.7%9.7%35.7%25.3%34.3%0.4%-1.1%9.5M-36.3M-3.3M0.412.3025,95110,623312,626183,728
2021-11-17$47.38$50.0033.8%9.7%35.7%25.7%35.4%0.2%-0.1%11.4M-35.0M-3.3M0.4910.1517,6138,557325,697186,143
2021-11-18$46.34$50.0034.2%9.8%35.9%27.3%35.0%1.8%0.2%5.8M56.6M-3.2M0.2510.8232,8828,224329,755188,463
2021-11-19$46.69$50.0034.6%9.9%35.5%28.9%36.1%1.5%0.1%6.5M37.3M-3.3M0.824.4519,26115,816333,710189,279
2021-11-22$47.72$50.0034.8%10.3%36.3%29.5%36.1%0.9%0.3%6.6M-76.4M-3.4M0.352.9424,2608,550289,674177,713
2021-11-23$46.99$50.0036.0%10.6%36.7%34.3%37.1%1.9%-0.7%5.7M-26.9M-3.3M0.842.8410,5978,901299,126180,332
2021-11-24$46.91$50.0035.6%10.3%35.9%32.6%36.4%1.3%0.2%5.6M-16.7M-3.3M0.392.7116,4616,367300,168182,213
2021-11-26$45.32$50.0044.2%13.1%37.9%65.5%45.3%4.3%-1.1%-2.2M70.3M-3.3M0.696.1926,70218,353308,594189,946
2021-11-29$44.53$50.0040.6%12.0%38.2%51.6%42.6%2.9%-0.3%-2.0M139.4M-3.0M0.4010.3821,9398,704290,303188,836
2021-11-30$44.36$50.0042.8%13.4%35.1%60.1%46.4%2.9%0.5%-1.2M128.9M-3.1M0.4912.7031,83515,700298,894191,138