LUV Options History — May 2014

In May 2014, LUV traded between $24.18 and $26.45. ATM implied volatility averaged 22.0%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.5% (HV 20d: 18.4%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.46.

Notable Days

2014-05-30: Highest Volume — 14,458 contracts
2014-05-13: Largest IV drop — 22.8% change
2014-05-01: Highest IV Rank — 49.3%
2014-05-12: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.03	$24.18	$26.45	$24.33	$26.45
Max Pain	$18.43	$17.00	$20.00	$17.00	$20.00
ATM IV	22.0%	18.9%	24.6%	24.6%	21.6%
Expected Move	7.9%	7.3%	8.3%	8.0%	7.3%
HV 20d	18.4%	13.8%	26.2%	26.1%	15.9%
HV 60d	21.2%	20.4%	22.3%	22.2%	20.7%
IV Rank	32.4%	11.4%	49.3%	49.3%	25.1%
IV Percentile	27.2%	1.6%	63.9%	63.9%	20.2%
Term Structure	1.5%	-0.2%	3.6%	-0.1%	-0.2%
VWIV	27.9%	25.7%	30.2%	28.4%	25.7%
Skew 25d	1.9%	0.6%	4.6%	3.3%	1.1%
Skew 10d	5.4%	-7.2%	13.9%	8.7%	7.1%
Call IV 25d	21.7%	17.4%	24.5%	21.6%	21.0%
Put IV 25d	23.6%	21.0%	26.4%	24.9%	22.1%
Bid-Ask Spread %	37.96	33.54	41.12	39.04	39.38
Gamma HHI	0.27	0.21	0.40	0.25	0.21
Net GEX	1.9M	1.5M	2.1M	1.8M	1.5M
Net DEX	-99.7M	-118.4M	-89.9M	-91.8M	-116.9M
Net VEX	-336.3K	-359.8K	-313.7K	-354.0K	-329.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.05	1.33	0.05	0.22
Total Volume	2,855.095	650	14,458	2,346	14,458
Total OI	82,232.286	76,838	87,445	80,967	87,445

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
2014-05-01	$24.33	$17.00	24.6%	8.0%	26.1%	49.3%	28.4%	3.3%	-0.1%	1.8M	-91.8M	-354.0K	0.05	39.04	2,231	115	59,780	21,187
2014-05-02	$24.18	$17.00	23.5%	8.2%	26.2%	44.6%	28.7%	0.8%	1.3%	1.9M	-90.1M	-342.2K	0.24	39.44	1,359	322	61,064	21,253
2014-05-05	$24.26	$17.00	22.9%	8.0%	26.0%	42.3%	30.2%	1.9%	1.8%	2.0M	-90.6M	-359.8K	1.33	37.56	687	913	61,489	21,393
2014-05-06	$24.20	$17.00	24.3%	8.2%	25.3%	48.0%	28.0%	0.6%	2.2%	2.0M	-90.2M	-358.8K	0.51	41.12	430	220	61,783	22,027
2014-05-07	$24.20	$17.00	23.1%	8.1%	25.3%	43.0%	28.0%	1.4%	1.5%	2.1M	-89.9M	-355.5K	1.26	33.90	886	1,120	61,885	22,138
2014-05-08	$24.46	$17.00	23.8%	8.0%	23.7%	45.9%	28.3%	0.7%	2.1%	2.1M	-93.8M	-356.7K	0.17	38.68	1,688	285	61,846	22,761
2014-05-09	$24.36	$17.00	22.6%	8.1%	17.4%	41.0%	28.6%	0.9%	2.2%	2.0M	-93.1M	-337.8K	0.66	37.49	481	318	61,596	22,890
2014-05-12	$24.94	$17.00	24.5%	8.3%	17.3%	49.0%	28.1%	2.1%	2.7%	2.1M	-102.2M	-350.2K	0.17	40.59	2,025	349	61,646	22,973
2014-05-13	$24.98	$17.00	18.9%	7.9%	16.4%	25.1%	27.3%	2.8%	2.0%	2.1M	-104.5M	-335.5K	0.10	34.43	2,530	247	61,632	22,973
2014-05-14	$24.91	$17.00	21.6%	7.8%	16.0%	36.6%	27.4%	1.7%	2.1%	2.1M	-102.9M	-331.3K	0.11	33.54	732	83	61,504	23,079
2014-05-15	$24.76	$17.00	22.2%	8.1%	13.8%	39.2%	25.7%	2.1%	2.5%	2.1M	-98.1M	-332.7K	1.23	39.67	900	1,105	60,760	22,916
2014-05-16	$24.61	$20.00	21.7%	8.0%	14.1%	25.6%	28.1%	2.8%	3.6%	1.7M	-94.2M	-330.3K	0.35	36.93	2,396	829	60,693	23,830
2014-05-19	$25.12	$20.00	21.6%	7.9%	15.5%	24.9%	26.8%	2.0%	1.6%	1.6M	-94.3M	-331.0K	0.42	35.13	1,311	557	56,463	20,375
2014-05-20	$24.95	$20.00	22.0%	7.8%	15.3%	26.9%	28.2%	1.7%	0.4%	1.6M	-93.8M	-323.0K	0.24	37.63	2,325	562	57,163	20,505
2014-05-21	$25.11	$20.00	21.0%	7.9%	15.3%	21.8%	26.5%	1.7%	1.3%	1.7M	-96.8M	-330.0K	0.25	38.42	658	166	57,971	20,871
2014-05-22	$25.27	$20.00	20.2%	7.7%	15.2%	17.7%	27.9%	2.4%	1.6%	1.7M	-99.3M	-331.4K	1.08	39.80	461	496	58,252	20,812
2014-05-23	$25.79	$20.00	18.9%	8.1%	15.4%	11.4%	27.2%	2.5%	1.7%	1.7M	-106.2M	-326.6K	0.25	40.32	1,716	429	58,249	21,045
2014-05-27	$25.87	$20.00	20.1%	7.9%	15.1%	17.3%	29.0%	2.2%	1.1%	1.7M	-108.8M	-314.9K	0.17	38.90	2,902	504	58,205	21,338
2014-05-28	$26.43	$20.00	20.8%	7.5%	15.9%	20.8%	29.6%	4.6%	0.4%	1.7M	-117.2M	-317.3K	0.09	37.65	3,642	320	59,357	21,679
2014-05-29	$26.44	$20.00	21.7%	7.8%	15.9%	25.6%	28.4%	1.0%	0.5%	1.7M	-118.4M	-313.7K	0.78	37.54	4,055	3,144	60,186	21,864
2014-05-30	$26.45	$20.00	21.6%	7.3%	15.9%	25.1%	25.7%	1.1%	-0.2%	1.5M	-116.9M	-329.1K	0.22	39.38	11,849	2,609	62,508	24,937