LUV Options History — August 2015

In August 2015, LUV traded between $36.70 and $40.45. ATM implied volatility averaged 33.2%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.9% (HV 20d: 29.3%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2015-08-17: Highest Volume — 34,366 contracts
2015-08-24: Largest IV spike — 25.0% change
2015-08-24: Highest IV Rank — 56.1%
2015-08-24: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.22	$36.70	$40.45	$37.53	$36.70
Max Pain	$35.10	$34.00	$36.00	$34.00	$36.00
ATM IV	33.2%	28.6%	44.8%	30.0%	38.0%
Expected Move	9.6%	8.2%	12.8%	8.6%	11.0%
HV 20d	29.3%	24.5%	33.5%	33.5%	24.5%
HV 60d	31.0%	27.5%	35.2%	35.2%	28.8%
IV Rank	28.5%	17.6%	56.1%	21.2%	39.1%
IV Percentile	54.5%	20.6%	98.0%	35.3%	89.3%
Term Structure	-0.0%	-1.2%	2.5%	-0.3%	-0.7%
VWIV	33.9%	27.7%	44.4%	31.1%	38.6%
Skew 25d	3.7%	1.2%	10.4%	1.7%	7.1%
Skew 10d	6.5%	2.6%	13.6%	5.2%	12.2%
Call IV 25d	31.8%	27.6%	40.5%	29.8%	34.9%
Put IV 25d	35.6%	30.1%	51.0%	31.4%	42.0%
Bid-Ask Spread %	32.17	13.58	71.76	15.70	69.88
Gamma HHI	0.09	0.07	0.11	0.09	0.08
Net GEX	8.2M	5.2M	11.4M	8.4M	5.5M
Net DEX	-205.3M	-338.3M	-104.1M	-195.2M	-104.1M
Net VEX	-1.2M	-1.3M	-1.1M	-1.2M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.08	1.23	0.16	0.79
Total Volume	17,687.905	12,134	34,366	20,926	12,555
Total OI	213,093.524	194,293	228,922	209,575	201,435

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
2015-08-03	$37.53	$34.00	30.0%	8.6%	33.5%	21.2%	31.1%	1.7%	-0.3%	8.4M	-195.2M	-1.2M	0.16	15.70	18,111	2,815	153,300	56,275
2015-08-04	$37.88	$34.00	30.5%	8.8%	33.4%	22.2%	30.8%	2.1%	-0.9%	9.5M	-216.2M	-1.2M	1.23	17.72	7,879	9,703	156,904	57,206
2015-08-05	$37.92	$34.00	29.9%	8.2%	30.7%	20.8%	32.9%	1.5%	0.6%	7.5M	-211.7M	-1.2M	0.50	16.33	13,461	6,766	157,910	61,524
2015-08-06	$37.87	$35.00	30.6%	8.6%	30.9%	22.3%	29.7%	2.4%	0.2%	7.2M	-217.2M	-1.2M	0.62	23.61	8,304	5,116	161,188	62,655
2015-08-07	$37.56	$35.00	29.5%	8.5%	29.3%	19.8%	30.4%	2.5%	0.2%	10.6M	-196.7M	-1.2M	0.93	19.83	6,879	6,417	161,445	63,213
2015-08-10	$37.75	$35.00	28.9%	8.3%	29.2%	18.5%	29.1%	2.9%	0.3%	9.9M	-215.6M	-1.2M	0.66	19.48	9,968	6,548	157,896	56,945
2015-08-11	$38.36	$35.00	30.8%	8.9%	29.4%	22.9%	30.8%	2.1%	-0.0%	9.6M	-244.9M	-1.2M	0.20	20.20	17,210	3,473	160,423	57,606
2015-08-12	$38.67	$35.00	32.0%	9.0%	29.3%	25.8%	32.4%	2.9%	-1.0%	10.6M	-263.3M	-1.2M	0.67	21.43	10,768	7,162	167,003	59,877
2015-08-13	$38.99	$35.00	29.1%	8.4%	29.0%	18.9%	29.7%	1.2%	0.7%	11.4M	-289.8M	-1.2M	0.39	25.31	17,217	6,640	168,650	60,272
2015-08-14	$39.39	$35.00	28.6%	8.4%	29.0%	17.8%	27.7%	2.4%	0.7%	9.9M	-296.7M	-1.2M	0.63	15.09	10,175	6,389	165,237	60,784
2015-08-17	$40.44	$35.00	28.6%	8.3%	28.9%	17.6%	29.5%	2.5%	0.1%	8.7M	-338.3M	-1.2M	0.22	13.58	28,171	6,195	161,713	57,005
2015-08-18	$40.17	$35.00	28.8%	8.3%	29.4%	18.2%	29.2%	2.5%	0.4%	9.5M	-268.7M	-1.2M	0.51	18.48	11,488	5,904	150,301	58,313
2015-08-19	$40.45	$35.00	31.2%	8.9%	29.3%	23.9%	30.7%	3.0%	-1.2%	9.6M	-281.9M	-1.3M	0.08	16.32	15,074	1,147	152,607	58,869
2015-08-20	$39.10	$35.00	33.2%	9.5%	30.2%	28.7%	33.3%	3.2%	-0.6%	8.9M	-214.1M	-1.2M	0.85	21.36	7,631	6,522	152,542	58,949
2015-08-21	$37.91	$35.00	35.8%	10.2%	28.3%	34.7%	34.7%	3.7%	-0.0%	5.3M	-160.9M	-1.2M	0.33	22.62	17,926	5,898	152,793	58,553
2015-08-24	$37.57	$35.00	44.8%	12.8%	28.6%	56.1%	44.2%	10.4%	-0.2%	6.2M	-133.4M	-1.2M	0.59	71.76	10,483	6,178	145,352	48,941
2015-08-25	$36.76	$36.00	41.2%	12.1%	28.4%	47.5%	43.7%	6.6%	2.5%	5.6M	-108.8M	-1.2M	0.82	54.30	7,045	5,746	146,471	50,906
2015-08-26	$37.40	$36.00	39.1%	11.6%	28.4%	42.5%	44.4%	4.8%	0.1%	6.3M	-126.3M	-1.2M	1.15	58.42	7,292	8,392	148,397	52,310
2015-08-27	$37.21	$36.00	39.0%	11.4%	27.5%	42.3%	39.4%	6.0%	-1.0%	6.1M	-116.6M	-1.2M	0.92	65.44	7,646	7,018	150,019	55,088
2015-08-28	$37.04	$36.00	37.5%	11.0%	27.5%	38.7%	40.3%	7.0%	-0.7%	5.2M	-111.7M	-1.2M	0.92	68.69	6,308	5,826	151,731	56,356
2015-08-31	$36.70	$36.00	38.0%	11.0%	24.5%	39.1%	38.6%	7.1%	-0.7%	5.5M	-104.1M	-1.1M	0.79	69.88	7,005	5,550	147,477	53,958