LUV Options History — October 2014

In October 2014, LUV traded between $28.88 and $34.53. ATM implied volatility averaged 38.4%, placing in the 60.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 3.4% (HV 20d: 41.9%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.60.

Notable Days

2014-10-22: Highest Volume — 64,413 contracts
2014-10-13: Largest IV spike — 55.6% change
2014-10-09: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.58	$28.88	$34.53	$32.55	$34.45
Max Pain	$30.43	$30.00	$31.00	$30.00	$31.00
ATM IV	38.4%	28.1%	63.1%	28.1%	33.4%
Expected Move	9.8%	8.1%	12.1%	8.1%	9.1%
HV 20d	41.9%	27.2%	52.4%	27.2%	49.7%
HV 60d	30.2%	23.1%	35.1%	23.3%	35.1%
IV Rank	60.7%	32.6%	100.0%	52.6%	32.6%
IV Percentile	97.6%	93.3%	100.0%	96.4%	93.3%
Term Structure	-2.3%	-7.3%	1.3%	1.3%	-1.8%
VWIV	34.2%	28.1%	43.2%	28.1%	33.3%
Skew 25d	4.6%	1.2%	8.6%	2.7%	3.7%
Skew 10d	9.3%	2.4%	24.7%	5.1%	3.5%
Call IV 25d	36.3%	27.5%	50.1%	28.6%	31.8%
Put IV 25d	40.8%	30.4%	56.8%	31.3%	35.5%
Bid-Ask Spread %	39.37	25.44	58.51	26.26	44.34
Gamma HHI	0.18	0.12	0.60	0.19	0.15
Net GEX	5.0M	675.9K	20.1M	2.7M	8.7M
Net DEX	-137.4M	-252.4M	18.7M	-112.0M	-252.4M
Net VEX	-802.5K	-896.6K	-642.3K	-642.3K	-859.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.10	1.96	0.78	0.31
Total Volume	19,863.435	4,022	64,413	34,334	19,379
Total OI	184,735.304	131,767	224,908	131,767	208,906

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
2014-10-01	$32.55	$30.00	28.1%	8.1%	27.2%	52.6%	28.1%	2.7%	1.3%	2.7M	-112.0M	-642.3K	0.78	26.26	19,310	15,024	89,674	42,093
2014-10-02	$32.46	$30.00	29.2%	8.3%	27.2%	58.7%	29.1%	2.4%	0.1%	2.6M	-108.0M	-745.0K	0.83	26.26	5,682	4,696	100,269	53,221
2014-10-03	$33.43	$30.00	28.9%	8.1%	29.1%	57.0%	28.1%	2.9%	0.7%	3.5M	-145.6M	-757.6K	0.19	32.68	3,369	653	101,445	54,884
2014-10-06	$33.04	$30.00	30.3%	8.3%	29.4%	65.2%	29.1%	1.2%	-1.0%	3.0M	-132.5M	-730.9K	1.02	25.44	2,631	2,672	101,573	55,027
2014-10-07	$32.23	$30.00	31.5%	8.5%	30.8%	71.8%	29.8%	2.1%	0.2%	2.1M	-100.8M	-727.9K	0.30	26.74	4,056	1,237	101,478	56,095
2014-10-08	$32.09	$30.00	31.1%	8.5%	29.6%	69.8%	30.5%	3.0%	-1.3%	2.0M	-93.7M	-729.4K	0.62	32.92	5,210	3,209	102,438	56,623
2014-10-09	$31.32	$30.00	37.0%	8.9%	30.6%	100.0%	30.7%	3.0%	-3.0%	1.7M	-65.7M	-713.4K	1.96	36.58	7,067	13,858	102,861	56,675
2014-10-10	$30.57	$30.00	33.8%	9.2%	31.2%	82.4%	32.1%	1.4%	-2.0%	834.5K	-36.1M	-718.9K	0.85	41.92	11,606	9,844	103,993	68,679
2014-10-13	$28.88	$31.00	52.6%	10.3%	36.1%	100.0%	34.5%	6.0%	-2.5%	675.9K	18.7M	-681.5K	1.79	52.89	12,360	22,127	109,741	74,652
2014-10-14	$30.90	$31.00	48.0%	11.2%	44.1%	86.6%	38.3%	8.6%	-2.5%	865.3K	-40.9M	-791.3K	0.22	55.50	16,091	3,509	114,001	82,398
2014-10-15	$30.05	$30.00	63.1%	12.1%	44.8%	100.0%	41.1%	6.4%	-7.3%	2.5M	-32.2M	-836.5K	1.08	51.55	15,791	17,047	129,273	81,814
2014-10-16	$30.94	$30.00	50.5%	11.9%	45.4%	71.5%	43.2%	8.4%	-5.8%	4.3M	-74.9M	-840.1K	0.21	37.84	23,654	5,069	128,031	79,813
2014-10-17	$31.05	$30.00	46.3%	11.4%	45.2%	62.0%	40.3%	6.9%	-4.7%	20.1M	-98.9M	-867.3K	0.28	32.83	10,901	3,035	145,550	79,358
2014-10-20	$32.84	$30.00	43.0%	10.9%	50.1%	54.4%	39.1%	6.1%	-4.6%	4.6M	-158.6M	-869.6K	0.43	38.13	6,256	2,663	119,842	61,024
2014-10-21	$34.44	$30.00	41.8%	10.7%	52.2%	51.8%	36.6%	7.0%	-3.5%	5.6M	-221.0M	-860.7K	0.33	34.63	14,774	4,855	121,214	60,652
2014-10-22	$34.18	$31.00	42.1%	10.7%	51.0%	52.5%	36.9%	4.2%	-3.8%	5.6M	-218.9M	-865.8K	0.17	39.36	54,916	9,497	123,819	61,579
2014-10-23	$33.15	$31.00	37.9%	9.9%	51.7%	42.9%	34.2%	6.1%	-2.6%	6.9M	-185.6M	-896.6K	0.10	58.51	55,175	5,566	148,129	63,210
2014-10-24	$33.85	$31.00	36.0%	9.9%	52.2%	38.5%	34.3%	5.4%	-2.8%	7.0M	-204.0M	-890.7K	0.79	41.01	5,224	4,142	141,127	64,572
2014-10-27	$34.05	$31.00	36.5%	9.9%	52.1%	39.9%	34.6%	4.1%	-3.9%	6.6M	-208.5M	-855.4K	0.19	40.85	6,452	1,203	130,576	65,467
2014-10-28	$34.53	$31.00	35.0%	9.6%	52.4%	36.4%	34.0%	5.7%	-1.5%	7.6M	-236.8M	-845.0K	0.20	40.96	4,117	803	133,568	66,048
2014-10-29	$34.13	$31.00	34.4%	9.7%	50.7%	35.0%	34.2%	3.0%	-1.3%	7.5M	-221.7M	-854.5K	0.34	46.68	10,676	3,646	134,226	66,099
2014-10-30	$34.10	$31.00	33.7%	9.3%	50.7%	33.4%	34.0%	4.6%	-0.2%	7.8M	-229.1M	-876.1K	0.72	41.71	4,551	3,256	139,847	67,348
2014-10-31	$34.45	$31.00	33.4%	9.1%	49.7%	32.6%	33.3%	3.7%	-1.8%	8.7M	-252.4M	-859.9K	0.31	44.34	14,808	4,571	141,324	67,582