LUV Options History — February 2007

Name: LUV Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, LUV traded between $15.03 and $16.09. ATM implied volatility averaged 24.4%. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 1.8% (HV 20d: 22.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.34.

Notable Days

2007-02-16: Highest Volume — 17,765 contracts
2007-02-08: Largest IV spike — 24.9% change
2007-02-20: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.43	$15.03	$16.09	$15.35	$15.12
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	24.4%	20.0%	26.9%	23.0%	26.5%
Expected Move	7.2%	6.6%	7.7%	6.6%	7.6%
HV 20d	22.6%	20.7%	26.7%	24.4%	21.8%
Term Structure	0.6%	-1.8%	2.7%	-0.1%	-0.3%
VWIV	25.0%	23.0%	26.9%	23.0%	26.5%
Skew 25d	1.8%	-5.8%	8.5%	7.5%	3.4%
Skew 10d	4.2%	-9.3%	25.3%	25.3%	5.5%
Call IV 25d	23.0%	18.2%	29.3%	22.2%	24.3%
Put IV 25d	24.9%	22.4%	29.8%	29.8%	27.7%
Bid-Ask Spread %	9.16	5.56	17.42	17.42	6.66
Gamma HHI	0.50	0.40	0.62	0.50	0.62
Net GEX	-983.1K	-2.5M	262.5K	-575.5K	-2.5M
Net DEX	-2.0M	-23.8M	18.9M	-4.7M	18.9M
Net VEX	-385.5K	-470.8K	-301.6K	-305.2K	-470.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.34	0.09	11.02	0.09	1.20
Total Volume	6,731.737	948	17,765	1,924	3,141
Total OI	135,696.789	105,612	170,191	105,612	170,191

Daily Data (19 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
2007-02-01	$15.35	$15.00	23.0%	6.6%	24.4%	0.0%	23.0%	7.5%	-0.1%	-575.5K	-4.7M	-305.2K	0.09	17.42	1,765	159	58,159	47,453
2007-02-02	$15.26	$15.00	20.6%	7.0%	23.7%	0.0%	24.3%	-4.9%	-0.6%	-543.3K	-4.1M	-306.8K	0.37	8.30	693	255	58,868	47,471
2007-02-05	$15.03	$15.00	23.8%	7.1%	23.6%	0.0%	23.6%	1.9%	-0.9%	-656.8K	997.0K	-301.6K	0.49	5.56	723	354	59,380	47,498
2007-02-06	$15.21	$15.00	23.5%	7.0%	23.0%	0.0%	24.5%	-5.8%	0.4%	-591.4K	-2.7M	-306.4K	3.54	8.68	1,642	5,816	59,652	47,696
2007-02-07	$15.13	$15.00	20.0%	7.3%	23.0%	0.0%	25.2%	2.4%	0.8%	-679.9K	-725.1K	-324.3K	11.02	8.90	709	7,815	60,217	52,627
2007-02-08	$15.16	$15.00	24.9%	7.1%	22.1%	0.0%	24.9%	4.4%	0.8%	-800.9K	679.3K	-335.7K	3.02	6.75	1,004	3,032	60,453	55,777
2007-02-09	$15.15	$15.00	25.3%	7.2%	21.9%	0.0%	25.3%	4.5%	0.3%	-1.0M	3.8M	-358.3K	2.44	7.22	1,240	3,021	60,658	62,352
2007-02-12	$15.77	$15.00	24.4%	7.0%	26.7%	0.0%	24.7%	-2.4%	0.9%	-291.3K	-16.1M	-335.7K	0.93	13.79	9,108	8,475	60,798	58,865
2007-02-13	$15.80	$15.00	25.8%	7.4%	25.4%	0.0%	26.4%	-1.8%	-0.3%	-555.0K	-14.8M	-348.0K	1.51	8.89	2,896	4,362	64,365	63,848
2007-02-14	$16.09	$15.00	26.7%	7.7%	21.8%	0.0%	26.6%	0.1%	-1.8%	262.5K	-23.8M	-346.5K	4.82	10.33	2,356	11,359	65,107	59,210
2007-02-15	$15.76	$15.00	23.8%	6.8%	23.0%	0.0%	24.0%	-4.0%	1.6%	-517.1K	-15.3M	-367.2K	7.93	9.29	1,599	12,679	66,068	69,169
2007-02-16	$15.70	$15.00	25.9%	7.4%	23.0%	0.0%	26.0%	-3.4%	1.5%	-1.2M	-3.0M	-446.6K	0.42	8.47	12,534	5,231	68,791	86,523
2007-02-20	$15.64	$15.00	26.9%	7.7%	21.1%	0.0%	26.9%	8.5%	-0.3%	-883.8K	-2.7M	-469.1K	0.19	8.28	4,923	949	74,590	81,837
2007-02-21	$15.61	$15.00	26.5%	7.6%	20.8%	0.0%	26.5%	7.7%	0.5%	-980.6K	-1.7M	-470.8K	0.76	8.33	564	430	76,663	82,793
2007-02-22	$15.61	$15.00	23.4%	6.7%	20.7%	0.0%	23.4%	5.1%	2.5%	-1.2M	-2.4M	-460.1K	0.13	9.87	2,087	275	76,677	83,081
2007-02-23	$15.40	$15.00	23.8%	6.8%	21.0%	0.0%	23.8%	4.6%	2.1%	-1.5M	4.5M	-462.8K	1.75	7.94	2,950	5,166	77,693	83,242
2007-02-26	$15.35	$15.00	23.8%	6.8%	21.0%	0.0%	23.8%	3.8%	2.7%	-2.1M	6.8M	-455.7K	1.61	8.87	802	1,294	78,432	86,487
2007-02-27	$15.10	$15.00	25.0%	7.2%	21.8%	0.0%	25.0%	3.0%	0.9%	-2.4M	17.9M	-454.2K	2.28	10.44	1,980	4,515	78,562	86,986
2007-02-28	$15.12	$15.00	26.5%	7.6%	21.8%	0.0%	26.5%	3.4%	-0.3%	-2.5M	18.9M	-470.3K	1.20	6.66	1,428	1,713	79,754	90,437