LUV Options History — May 2008

In May 2008, LUV traded between $12.26 and $13.52. ATM implied volatility averaged 38.8%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 4.0% (HV 20d: 34.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.14.

Notable Days

2008-05-23: Highest Volume — 14,944 contracts
2008-05-13: Largest IV drop — 44.2% change
2008-05-12: Highest IV Rank — 86.4%
2008-05-29: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.08	$12.26	$13.52	$13.52	$13.06
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	38.8%	28.3%	50.8%	41.3%	39.4%
Expected Move	10.9%	10.1%	11.9%	11.8%	11.3%
HV 20d	34.8%	31.3%	37.5%	36.1%	32.8%
HV 60d	40.6%	39.8%	42.8%	42.8%	40.9%
IV Rank	56.8%	30.7%	86.4%	62.9%	58.1%
IV Percentile	70.0%	43.3%	96.8%	80.6%	72.6%
Term Structure	2.2%	-0.7%	5.8%	-0.7%	1.5%
VWIV	36.6%	28.2%	42.0%	40.4%	39.4%
Skew 25d	7.0%	1.2%	15.0%	15.0%	1.2%
Skew 10d	20.9%	7.5%	36.2%	36.2%	11.6%
Call IV 25d	35.9%	24.0%	45.9%	24.0%	43.4%
Put IV 25d	42.8%	35.1%	52.7%	39.0%	44.6%
Bid-Ask Spread %	14.79	7.41	29.20	13.90	8.37
Gamma HHI	0.27	0.26	0.29	0.27	0.26
Net GEX	358.3K	221.8K	488.8K	300.2K	473.2K
Net DEX	-10.8M	-19.8M	2.7M	-15.2M	-11.8M
Net VEX	-369.8K	-390.0K	-359.1K	-370.1K	-387.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.14	0.06	15.43	0.41	7.01
Total Volume	3,289.381	342	14,944	2,156	3,453
Total OI	161,083.095	151,490	181,401	151,490	181,401

Daily Data (21 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
2008-05-01	$13.52	$12.50	41.3%	11.8%	36.1%	62.9%	40.4%	15.0%	-0.7%	300.2K	-15.2M	-370.1K	0.41	13.90	1,525	631	60,887	90,603
2008-05-02	$13.45	$12.50	36.3%	10.4%	36.1%	50.4%	34.5%	12.4%	3.0%	311.7K	-14.5M	-368.0K	0.55	24.58	855	467	61,568	90,755
2008-05-05	$13.40	$12.50	42.0%	11.1%	36.2%	64.6%	32.9%	8.2%	2.5%	320.5K	-14.2M	-365.0K	0.54	26.11	439	239	61,992	90,823
2008-05-06	$13.37	$12.50	38.6%	11.1%	36.2%	56.2%	36.0%	11.0%	0.8%	222.2K	-12.8M	-364.8K	1.00	18.44	1,470	1,466	62,065	90,891
2008-05-07	$12.99	$12.50	39.6%	10.7%	37.5%	58.8%	37.1%	6.9%	2.8%	232.4K	-7.4M	-369.9K	0.18	22.48	2,581	458	62,576	91,246
2008-05-08	$13.23	$12.50	42.9%	10.9%	36.0%	66.8%	36.5%	9.8%	2.5%	330.1K	-12.3M	-364.9K	0.06	29.20	2,116	137	63,591	91,127
2008-05-09	$12.99	$12.50	40.2%	10.7%	35.6%	60.2%	35.3%	9.3%	2.3%	332.0K	-9.3M	-367.2K	15.43	7.45	53	818	64,936	91,131
2008-05-12	$13.30	$12.50	50.8%	11.0%	36.5%	86.4%	36.0%	8.9%	1.4%	397.0K	-14.8M	-360.9K	0.99	18.70	1,365	1,348	64,962	91,395
2008-05-13	$13.12	$12.50	28.3%	11.0%	35.2%	30.7%	39.5%	9.5%	1.8%	368.6K	-12.3M	-361.1K	2.26	8.38	105	237	65,878	91,049
2008-05-14	$13.50	$12.50	40.5%	10.1%	36.2%	60.9%	32.3%	3.8%	5.8%	463.9K	-19.8M	-361.9K	0.50	13.12	2,259	1,126	65,896	91,010
2008-05-15	$13.45	$12.50	36.9%	10.6%	36.2%	52.0%	28.2%	5.1%	2.6%	448.8K	-18.6M	-361.7K	0.30	21.31	3,067	928	66,357	91,461
2008-05-16	$13.39	$12.50	35.3%	10.1%	36.3%	47.9%	32.9%	2.8%	3.5%	488.8K	-18.4M	-367.6K	0.51	21.69	939	476	68,047	91,989
2008-05-19	$13.22	$12.50	35.3%	10.1%	35.6%	47.9%	35.1%	4.0%	1.3%	467.9K	-13.0M	-363.9K	0.67	10.37	1,051	709	66,129	90,103
2008-05-20	$13.00	$12.50	35.1%	10.1%	32.1%	47.6%	35.1%	5.0%	0.8%	450.4K	-10.1M	-359.1K	0.30	10.14	3,421	1,011	66,697	90,323
2008-05-21	$12.43	$12.50	35.3%	10.1%	34.9%	47.9%	35.2%	4.4%	4.1%	340.2K	-1.4M	-364.4K	0.98	9.01	3,633	3,577	68,292	91,056
2008-05-22	$12.51	$12.50	37.6%	10.8%	31.3%	53.6%	37.7%	4.8%	2.1%	373.6K	-2.9M	-377.0K	2.30	7.41	1,515	3,485	70,740	92,372
2008-05-23	$12.26	$12.50	38.0%	10.9%	32.0%	54.8%	42.0%	8.3%	2.7%	248.7K	2.7M	-371.6K	9.04	11.81	1,488	13,456	71,367	94,418
2008-05-27	$12.62	$12.50	40.8%	11.7%	33.4%	61.7%	41.0%	5.8%	2.3%	221.8K	-2.3M	-390.0K	0.62	7.67	1,123	695	71,466	107,147
2008-05-28	$12.75	$12.50	39.9%	11.4%	31.3%	59.4%	40.7%	5.9%	3.3%	304.2K	-5.0M	-384.1K	0.45	9.25	1,037	464	72,109	107,076
2008-05-29	$13.18	$12.50	41.5%	11.9%	33.6%	63.3%	41.6%	4.0%	0.9%	427.1K	-14.2M	-385.0K	0.86	11.29	2,067	1,787	72,535	107,279
2008-05-30	$13.06	$12.50	39.4%	11.3%	32.8%	58.1%	39.4%	1.2%	1.5%	473.2K	-11.8M	-387.6K	7.01	8.37	431	3,022	73,218	108,183