The Hatters won all four of their league games in February and the Wolves keeper did not concede a single goal during the month.
The Wales Under-21 international Hennessey is still unbeaten since moving to Edgeley Park on loan in January as the Hatters broke a League record dating back to 1888 with a 3-0 win against Swindon this weekend. They have now gone unbeaten in nine consecutive games without concedeing a goal.