LUV Options History — October 2008

In October 2008, LUV traded between $10.66 and $14.20. ATM implied volatility averaged 78.4%, placing in the 69.5% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 20.3% (HV 20d: 58.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.21.

Notable Days

2008-10-27: Highest Volume — 11,035 contracts
2008-10-16: Largest IV drop — 49.6% change
2008-10-02: Highest IV Rank — 100.0%
2008-10-10: Largest Expected Move — 22.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.10	$10.66	$14.20	$14.20	$11.78
Max Pain	$13.91	$12.50	$15.00	$15.00	$12.50
ATM IV	78.4%	50.9%	131.5%	61.8%	56.9%
Expected Move	19.4%	14.6%	22.0%	17.7%	16.3%
HV 20d	58.1%	40.3%	72.7%	40.3%	72.7%
HV 60d	50.6%	46.4%	54.9%	46.4%	53.6%
IV Rank	69.5%	30.2%	100.0%	98.6%	35.4%
IV Percentile	96.4%	84.5%	100.0%	99.6%	90.1%
Term Structure	-4.1%	-11.0%	2.4%	-8.8%	0.2%
VWIV	66.2%	50.3%	77.8%	62.5%	57.6%
Skew 25d	11.2%	-1.3%	28.3%	3.3%	9.9%
Skew 10d	17.5%	-21.5%	46.6%	-2.2%	1.6%
Call IV 25d	62.2%	40.7%	76.2%	63.3%	60.7%
Put IV 25d	73.5%	59.1%	82.7%	66.6%	70.6%
Bid-Ask Spread %	17.57	9.01	36.06	17.48	12.99
Gamma HHI	0.26	0.24	0.31	0.25	0.27
Net GEX	-322.2K	-672.8K	271.1K	271.1K	-550.5K
Net DEX	24.4M	-3.9M	42.7M	-3.9M	30.1M
Net VEX	-391.7K	-438.1K	-347.1K	-438.1K	-380.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.39	3.71	0.43	0.71
Total Volume	5,297.478	809	11,035	1,683	5,492
Total OI	184,017.783	174,016	192,974	174,098	192,974

Daily Data (23 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
2008-10-01	$14.20	$15.00	61.8%	17.7%	40.3%	98.6%	62.5%	3.3%	-8.8%	271.1K	-3.9M	-438.1K	0.43	17.48	1,178	505	78,875	95,223
2008-10-02	$13.39	$15.00	72.8%	20.9%	44.6%	100.0%	71.3%	-1.3%	-11.0%	31.6K	6.7M	-422.1K	1.18	13.15	1,714	2,030	79,205	95,452
2008-10-03	$13.44	$15.00	72.1%	20.7%	44.4%	98.7%	69.5%	0.4%	-10.6%	4.3K	8.9M	-417.9K	2.55	17.13	228	581	78,993	95,940
2008-10-06	$12.81	$15.00	87.5%	19.5%	46.3%	100.0%	64.0%	12.2%	-3.9%	-107.4K	15.9M	-403.5K	0.92	29.27	5,434	5,000	78,910	95,936
2008-10-07	$12.21	$15.00	89.9%	19.7%	48.2%	100.0%	71.7%	8.1%	-4.4%	-234.3K	22.1M	-384.4K	1.93	22.05	959	1,849	80,103	97,602
2008-10-08	$11.59	$15.00	96.8%	20.9%	48.6%	100.0%	66.3%	9.3%	-6.3%	-292.8K	27.7M	-361.6K	2.13	20.44	1,461	3,110	78,880	95,136
2008-10-09	$11.75	$15.00	97.5%	21.4%	48.3%	100.0%	74.6%	10.1%	-5.8%	-241.9K	24.4M	-371.2K	1.40	20.72	4,390	6,161	79,391	95,598
2008-10-10	$11.88	$15.00	104.1%	22.0%	48.9%	100.0%	77.8%	6.3%	-6.4%	-280.4K	26.9M	-402.8K	0.96	36.06	2,539	2,450	82,455	99,588
2008-10-13	$12.51	$15.00	108.9%	21.1%	54.4%	100.0%	73.5%	12.8%	-5.3%	-153.6K	16.0M	-424.3K	0.73	23.39	2,772	2,035	83,276	100,555
2008-10-14	$12.32	$15.00	110.1%	19.9%	52.9%	100.0%	72.7%	11.6%	-4.8%	-258.6K	21.5M	-414.3K	0.45	15.25	2,356	1,070	83,274	101,794
2008-10-15	$11.56	$15.00	131.5%	20.5%	54.3%	100.0%	73.4%	10.1%	-5.1%	-367.8K	28.5M	-390.1K	0.74	18.59	2,312	1,703	84,088	102,440
2008-10-16	$12.49	$15.00	66.3%	19.0%	63.3%	43.5%	67.5%	15.5%	-3.4%	-269.1K	22.1M	-415.6K	2.09	13.92	2,803	5,863	85,138	103,246
2008-10-17	$12.19	$15.00	61.9%	17.7%	63.2%	39.7%	61.4%	10.9%	-0.0%	-332.0K	26.2M	-402.7K	0.50	17.94	5,374	2,693	86,379	104,545
2008-10-20	$12.90	$12.50	52.2%	15.0%	65.1%	31.3%	50.3%	17.7%	1.8%	-252.6K	17.3M	-409.9K	0.39	13.19	1,571	620	81,457	101,712
2008-10-21	$12.68	$12.50	50.9%	14.6%	63.6%	30.2%	50.5%	9.9%	1.6%	-318.8K	18.6M	-400.2K	0.87	15.96	2,037	1,766	82,090	101,692
2008-10-22	$12.00	$12.50	55.6%	16.0%	65.2%	34.3%	65.0%	28.3%	-0.7%	-441.8K	26.5M	-391.6K	1.05	12.47	2,474	2,604	83,183	102,861
2008-10-23	$11.86	$12.50	57.4%	16.4%	64.5%	35.8%	65.9%	16.1%	2.4%	-447.8K	28.9M	-392.5K	3.71	13.34	2,049	7,597	81,876	104,671
2008-10-24	$10.97	$12.50	73.2%	21.0%	68.5%	49.5%	64.1%	15.2%	-4.9%	-593.3K	38.1M	-368.6K	0.77	17.83	4,468	3,448	82,226	108,351
2008-10-27	$10.66	$12.50	75.3%	21.6%	68.5%	51.4%	70.9%	17.4%	-4.3%	-655.3K	42.7M	-348.2K	1.06	19.61	5,365	5,670	82,146	110,222
2008-10-28	$11.12	$12.50	76.1%	21.8%	70.0%	52.0%	63.1%	19.1%	-5.8%	-616.5K	39.0M	-358.2K	1.86	9.01	1,959	3,637	82,489	108,541
2008-10-29	$10.84	$12.50	71.0%	20.4%	70.1%	47.7%	68.0%	3.8%	-2.2%	-672.8K	40.6M	-347.1K	0.75	10.79	541	404	82,755	109,162
2008-10-30	$11.24	$12.50	73.6%	21.1%	70.0%	49.8%	60.3%	12.0%	-5.9%	-629.8K	36.3M	-363.7K	0.64	13.49	956	614	83,050	108,929
2008-10-31	$11.78	$12.50	56.9%	16.3%	72.7%	35.4%	57.6%	9.9%	0.2%	-550.5K	30.1M	-380.9K	0.71	12.99	3,219	2,273	83,462	109,512