LUV Options History — December 2013

In December 2013, LUV traded between $17.90 and $18.93. ATM implied volatility averaged 22.9%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.2% (HV 20d: 25.1%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.32.

Notable Days

2013-12-04: Highest Volume — 5,418 contracts
2013-12-09: Largest IV spike — 18.1% change
2013-12-09: Highest IV Rank — 59.9%
2013-12-05: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.57	$17.90	$18.93	$18.61	$18.84
Max Pain	$16.24	$15.00	$17.00	$15.00	$17.00
ATM IV	22.9%	21.3%	25.7%	22.5%	21.3%
Expected Move	7.4%	7.2%	7.8%	7.2%	7.4%
HV 20d	25.1%	17.7%	29.9%	17.8%	27.1%
HV 60d	20.4%	18.0%	21.7%	18.8%	21.6%
IV Rank	49.5%	43.5%	59.9%	48.1%	43.5%
IV Percentile	46.7%	25.0%	84.9%	42.1%	25.0%
Term Structure	1.6%	-0.2%	3.5%	-0.2%	3.0%
VWIV	26.5%	24.9%	28.7%	26.5%	27.0%
Skew 25d	1.4%	-2.3%	5.9%	2.4%	-0.3%
Skew 10d	2.8%	-8.9%	11.7%	-0.4%	-5.0%
Call IV 25d	22.1%	16.9%	25.3%	20.0%	23.0%
Put IV 25d	23.5%	14.6%	26.5%	22.3%	22.7%
Bid-Ask Spread %	38.12	27.06	53.53	27.06	32.15
Gamma HHI	0.31	0.22	0.55	0.34	0.26
Net GEX	1.3M	832.6K	2.7M	1.1M	1.2M
Net DEX	-49.0M	-69.3M	-33.9M	-69.3M	-43.3M
Net VEX	-144.8K	-151.9K	-136.5K	-145.9K	-143.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.03	1.43	0.61	0.06
Total Volume	2,001.286	376	5,418	1,207	1,271
Total OI	67,005.619	53,703	80,684	79,698	54,751

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
2013-12-02	$18.61	$15.00	22.5%	7.2%	17.8%	48.1%	26.5%	2.4%	-0.2%	1.1M	-69.3M	-145.9K	0.61	27.06	751	456	54,268	25,430
2013-12-03	$18.28	$15.00	22.4%	7.6%	17.7%	47.9%	25.2%	-1.9%	0.6%	995.2K	-63.2M	-145.4K	0.15	48.33	1,703	248	54,326	25,746
2013-12-04	$17.90	$15.00	22.4%	7.7%	19.4%	47.7%	27.0%	5.9%	1.0%	837.6K	-56.9M	-151.9K	1.43	45.71	2,232	3,186	54,850	25,770
2013-12-05	$18.00	$15.00	22.4%	7.8%	19.4%	47.8%	24.9%	-2.3%	1.0%	971.8K	-59.2M	-148.9K	0.35	35.99	843	292	55,164	25,085
2013-12-06	$18.31	$15.00	21.7%	7.3%	19.6%	45.2%	25.7%	2.2%	1.0%	1.2M	-64.6M	-146.2K	0.11	47.54	406	43	55,489	25,143
2013-12-09	$18.50	$15.00	25.7%	7.5%	19.7%	59.9%	28.7%	2.6%	2.2%	1.3M	-68.1M	-143.3K	0.03	38.22	4,899	153	55,538	25,146
2013-12-10	$18.58	$15.00	23.6%	7.2%	19.7%	52.2%	25.4%	0.4%	1.3%	1.3M	-44.3M	-137.0K	0.41	37.25	2,515	1,033	41,373	25,248
2013-12-11	$17.97	$15.00	24.1%	7.5%	23.0%	54.3%	25.9%	1.3%	0.1%	832.6K	-33.9M	-136.5K	0.61	53.53	2,287	1,404	40,649	25,485
2013-12-12	$18.79	$17.00	23.1%	7.3%	27.9%	50.2%	26.5%	2.2%	1.3%	1.5M	-47.2M	-144.2K	0.53	37.61	2,383	1,260	42,216	24,071
2013-12-13	$18.63	$17.00	24.2%	7.3%	28.0%	54.4%	26.9%	1.7%	0.9%	1.5M	-44.3M	-149.5K	0.25	34.97	1,382	350	42,124	23,781
2013-12-16	$18.73	$17.00	23.8%	7.5%	28.0%	53.1%	27.2%	1.9%	0.8%	1.6M	-46.0M	-144.8K	0.31	33.66	734	230	42,475	23,968
2013-12-17	$18.32	$17.00	24.2%	7.7%	29.2%	54.5%	26.0%	0.1%	2.9%	1.2M	-39.1M	-146.0K	0.53	41.56	767	403	42,349	24,161
2013-12-18	$18.66	$17.00	23.4%	7.5%	29.9%	51.6%	28.0%	3.1%	2.0%	1.6M	-43.7M	-145.7K	0.31	46.81	1,002	309	42,501	24,314
2013-12-19	$18.62	$17.00	23.6%	7.4%	29.7%	52.1%	28.0%	1.0%	1.3%	1.5M	-42.7M	-144.3K	0.23	33.12	1,458	334	42,476	24,391
2013-12-20	$18.86	$17.00	22.1%	7.6%	28.8%	46.7%	26.5%	2.1%	3.5%	2.7M	-46.7M	-145.4K	0.12	32.56	3,103	357	43,263	24,711
2013-12-23	$18.89	$17.00	22.1%	7.4%	28.8%	46.8%	27.6%	4.1%	0.9%	1.1M	-43.0M	-146.0K	0.08	31.39	967	77	37,755	15,948
2013-12-24	$18.93	$17.00	22.6%	7.3%	28.8%	48.4%	24.9%	1.6%	2.4%	1.1M	-43.5M	-145.9K	0.29	37.15	292	84	37,891	16,033
2013-12-26	$18.93	$17.00	22.2%	7.6%	28.8%	47.2%	26.9%	0.4%	1.8%	1.1M	-44.3M	-143.3K	0.19	30.94	764	144	38,066	16,061
2013-12-27	$18.74	$17.00	21.4%	7.3%	27.9%	44.1%	25.7%	-0.1%	2.8%	1.2M	-42.0M	-143.3K	0.04	34.91	653	25	38,287	16,121
2013-12-30	$18.83	$17.00	21.4%	7.5%	27.1%	44.0%	27.0%	0.8%	2.3%	1.2M	-43.4M	-143.1K	0.07	40.12	1,149	78	38,553	16,141
2013-12-31	$18.84	$17.00	21.3%	7.4%	27.1%	43.5%	0.0%	-0.3%	3.0%	1.2M	-43.3M	-143.4K	0.06	32.15	1,204	67	38,555	16,196