LUV Options History — January 2010

In January 2010, LUV traded between $11.18 and $11.77. ATM implied volatility averaged 35.4%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 2.2% (HV 20d: 33.2%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.85.

Notable Days

2010-01-21: Highest Volume — 6,136 contracts
2010-01-06: Largest IV spike — 51.5% change
2010-01-12: Highest IV Rank — 23.4%
2010-01-06: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.44	$11.18	$11.77	$11.18	$11.33
Max Pain	$11.74	$11.00	$12.00	$12.00	$12.00
ATM IV	35.4%	25.6%	41.2%	39.2%	35.2%
Expected Move	10.7%	8.5%	11.7%	11.7%	10.1%
HV 20d	33.2%	28.6%	39.0%	39.0%	34.0%
HV 60d	37.5%	35.7%	40.3%	39.6%	36.5%
IV Rank	15.9%	3.3%	23.4%	20.8%	15.6%
IV Percentile	12.4%	0.4%	31.3%	20.6%	9.5%
Term Structure	-0.0%	-1.9%	2.9%	-0.5%	1.4%
VWIV	37.2%	31.0%	44.2%	40.6%	34.8%
Skew 25d	5.4%	-1.6%	10.0%	7.2%	-1.6%
Skew 10d	12.4%	-3.0%	27.7%	18.6%	2.0%
Call IV 25d	33.7%	24.1%	38.5%	35.7%	32.9%
Put IV 25d	39.1%	31.3%	44.4%	42.9%	31.3%
Bid-Ask Spread %	14.58	10.32	21.75	21.75	14.90
Gamma HHI	0.33	0.25	0.49	0.31	0.26
Net GEX	334.6K	220.7K	467.6K	414.7K	261.0K
Net DEX	-17.0M	-29.8M	-10.8M	-17.6M	-10.8M
Net VEX	-92.6K	-104.6K	-82.7K	-104.6K	-101.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.85	0.26	9.55	7.32	9.55
Total Volume	2,774	343	6,136	3,646	1,773
Total OI	91,774.632	41,441	132,685	131,488	52,564

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
2010-01-04	$11.18	$12.00	39.2%	11.7%	39.0%	20.8%	40.6%	7.2%	-0.5%	414.7K	-17.6M	-104.6K	7.32	21.75	438	3,208	71,047	60,441
2010-01-05	$11.77	$12.00	25.6%	10.9%	34.8%	3.3%	38.4%	6.9%	0.2%	220.7K	-29.8M	-101.5K	0.26	13.77	3,184	831	71,059	59,287
2010-01-06	$11.42	$12.00	38.8%	11.7%	36.6%	20.3%	39.8%	5.4%	-1.5%	392.3K	-22.6M	-97.1K	0.37	15.03	1,417	526	72,917	59,768
2010-01-07	$11.59	$12.00	39.4%	11.0%	36.7%	21.1%	41.4%	6.1%	-0.1%	337.4K	-25.4M	-97.9K	2.05	11.66	969	1,991	72,815	59,816
2010-01-08	$11.33	$12.00	35.0%	11.7%	38.1%	15.4%	40.9%	4.2%	-1.2%	427.6K	-20.3M	-90.8K	0.51	11.82	1,128	571	72,763	59,666
2010-01-11	$11.46	$12.00	35.0%	11.6%	38.0%	15.3%	44.2%	8.0%	-1.5%	430.9K	-18.7M	-85.7K	0.44	17.93	1,128	500	70,001	59,773
2010-01-12	$11.33	$12.00	41.2%	11.6%	31.5%	23.4%	37.6%	5.4%	-1.4%	448.6K	-17.1M	-85.4K	0.93	13.28	1,265	1,175	70,456	60,130
2010-01-13	$11.53	$12.00	28.9%	10.8%	32.0%	7.5%	38.0%	4.2%	-0.9%	313.0K	-20.4M	-85.6K	0.82	12.58	901	740	70,898	60,319
2010-01-14	$11.46	$12.00	39.2%	11.2%	31.5%	20.8%	37.8%	4.5%	0.2%	316.6K	-19.8M	-84.2K	0.44	16.99	2,132	936	70,999	59,888
2010-01-15	$11.28	$11.00	39.6%	11.3%	28.8%	21.3%	39.9%	10.0%	-1.4%	467.6K	-18.1M	-85.7K	0.49	15.35	1,651	817	71,265	60,280
2010-01-19	$11.30	$11.00	38.9%	11.1%	28.6%	20.4%	36.2%	9.4%	-1.9%	288.7K	-12.3M	-82.7K	0.60	13.43	694	413	26,402	15,039
2010-01-20	$11.33	$11.00	37.0%	10.6%	28.6%	17.9%	35.7%	6.2%	0.1%	301.3K	-12.5M	-83.3K	0.83	10.32	2,742	2,271	26,795	15,430
2010-01-21	$11.68	$11.00	29.6%	8.5%	30.5%	8.5%	31.0%	8.5%	2.9%	340.1K	-15.2M	-84.8K	1.87	12.76	2,138	3,998	27,841	16,457
2010-01-22	$11.68	$11.00	33.6%	9.6%	30.2%	13.5%	33.7%	3.7%	0.3%	327.4K	-15.3M	-92.7K	0.87	12.36	2,149	1,871	28,505	18,218
2010-01-25	$11.32	$12.00	33.8%	9.7%	31.9%	13.8%	33.6%	5.7%	1.4%	271.0K	-11.1M	-94.2K	3.41	16.21	916	3,128	29,060	19,612
2010-01-26	$11.61	$12.00	33.1%	9.5%	33.2%	13.0%	33.8%	8.4%	0.4%	258.3K	-13.8M	-98.6K	0.59	15.03	1,515	898	29,215	21,035
2010-01-27	$11.39	$12.00	35.8%	10.3%	33.8%	16.4%	34.8%	0.9%	1.8%	267.8K	-11.1M	-100.1K	1.08	15.67	1,131	1,218	29,854	21,715
2010-01-28	$11.45	$12.00	34.1%	9.8%	33.8%	14.1%	33.8%	-1.4%	1.1%	272.5K	-12.0M	-102.3K	2.69	16.16	93	250	30,127	22,261
2010-01-29	$11.33	$12.00	35.2%	10.1%	34.0%	15.6%	34.8%	-1.6%	1.4%	261.0K	-10.8M	-101.7K	9.55	14.90	168	1,605	30,143	22,421