LUV Options History — February 2010

In February 2010, LUV traded between $11.03 and $12.58. ATM implied volatility averaged 34.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.1% (HV 20d: 31.7%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.52.

Notable Days

2010-02-17: Highest Volume — 4,137 contracts
2010-02-09: Largest IV drop — 15.9% change
2010-02-08: Highest IV Rank — 20.6%
2010-02-08: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.96	$11.03	$12.58	$11.57	$12.58
Max Pain	$10.42	$10.00	$12.00	$12.00	$10.00
ATM IV	34.8%	30.8%	39.1%	33.8%	31.1%
Expected Move	10.1%	8.8%	11.2%	9.7%	8.9%
HV 20d	31.7%	28.2%	34.8%	34.8%	28.8%
HV 60d	35.0%	33.6%	37.1%	36.6%	33.6%
IV Rank	15.1%	10.0%	20.6%	13.8%	10.3%
IV Percentile	12.3%	4.4%	27.8%	6.0%	4.8%
Term Structure	0.9%	-3.3%	5.1%	0.6%	1.9%
VWIV	35.2%	30.3%	41.2%	35.7%	31.6%
Skew 25d	6.1%	-8.1%	10.6%	5.7%	5.6%
Skew 10d	14.6%	-10.1%	24.5%	8.5%	4.1%
Call IV 25d	31.5%	26.5%	37.8%	30.6%	26.5%
Put IV 25d	37.6%	29.7%	42.4%	36.4%	32.1%
Bid-Ask Spread %	17.46	10.90	24.07	12.35	12.51
Gamma HHI	0.25	0.20	0.28	0.27	0.26
Net GEX	260.3K	220.6K	295.2K	253.0K	253.6K
Net DEX	-16.5M	-24.9M	-7.7M	-12.3M	-20.3M
Net VEX	-99.0K	-104.4K	-93.5K	-102.3K	-94.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.06	8.93	2.20	0.10
Total Volume	1,475.368	205	4,137	650	1,039
Total OI	55,948.053	52,864	61,772	53,708	54,401

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
2010-02-01	$11.57	$12.00	33.8%	9.7%	34.8%	13.8%	35.7%	5.7%	0.6%	253.0K	-12.3M	-102.3K	2.20	12.35	203	447	30,225	23,483
2010-02-02	$11.55	$12.00	30.8%	8.8%	33.8%	10.0%	32.9%	5.7%	1.7%	253.3K	-12.2M	-102.1K	0.59	18.63	129	76	30,258	23,548
2010-02-03	$11.47	$12.00	33.3%	9.5%	28.2%	13.2%	30.3%	0.8%	5.1%	245.1K	-11.3M	-101.7K	8.93	16.53	92	822	30,349	23,596
2010-02-04	$11.03	$12.00	36.6%	10.5%	29.6%	17.4%	37.6%	-8.1%	1.9%	232.3K	-7.7M	-98.8K	1.37	13.81	764	1,047	30,384	23,907
2010-02-05	$11.29	$10.00	34.7%	10.4%	30.4%	14.9%	37.4%	4.8%	2.4%	220.6K	-9.2M	-102.7K	0.99	23.02	709	702	30,456	24,676
2010-02-08	$11.25	$10.00	39.1%	11.2%	29.3%	20.6%	39.6%	8.1%	-1.0%	236.4K	-9.3M	-102.8K	1.32	13.97	342	453	30,985	25,005
2010-02-09	$11.65	$10.00	32.9%	10.2%	31.7%	12.6%	35.8%	3.9%	0.3%	236.9K	-13.4M	-103.1K	0.73	21.17	1,355	984	30,953	25,169
2010-02-10	$11.54	$10.00	31.6%	10.3%	31.6%	11.0%	41.2%	6.9%	-0.3%	227.5K	-11.4M	-104.4K	1.24	24.07	957	1,182	31,181	25,608
2010-02-11	$11.88	$10.00	36.1%	10.4%	32.6%	16.9%	36.4%	10.6%	0.6%	265.1K	-15.7M	-101.5K	0.46	23.69	916	422	31,524	25,137
2010-02-12	$12.04	$10.00	34.7%	9.9%	32.8%	15.0%	34.4%	4.6%	1.6%	290.9K	-17.7M	-98.9K	0.65	18.32	617	398	31,858	25,157
2010-02-16	$12.45	$10.00	38.7%	11.1%	33.8%	20.2%	33.0%	5.6%	-3.3%	262.6K	-23.3M	-93.5K	0.32	15.50	2,810	887	32,080	25,191
2010-02-17	$12.29	$10.00	36.4%	10.4%	34.4%	17.2%	35.6%	8.2%	0.3%	287.5K	-22.2M	-97.7K	1.81	16.20	1,473	2,664	33,135	25,991
2010-02-18	$12.44	$10.00	37.5%	10.7%	34.5%	18.6%	36.2%	10.1%	-0.1%	255.9K	-23.7M	-96.7K	0.20	18.07	1,803	363	33,059	28,528
2010-02-19	$12.43	$10.00	33.2%	9.5%	33.1%	13.0%	33.0%	8.7%	3.3%	290.1K	-24.9M	-95.5K	0.06	19.05	1,198	67	33,578	28,194
2010-02-22	$12.50	$10.00	35.0%	10.0%	33.1%	15.4%	33.9%	9.5%	1.0%	295.2K	-20.4M	-94.9K	1.13	19.13	704	799	29,008	23,856
2010-02-23	$12.40	$10.00	36.9%	10.6%	30.8%	17.8%	38.2%	9.6%	-0.7%	277.1K	-19.2M	-96.4K	0.55	18.62	657	361	29,303	24,605
2010-02-24	$12.44	$10.00	35.2%	10.1%	29.8%	15.6%	34.3%	7.6%	1.2%	281.2K	-19.3M	-96.4K	0.80	16.11	114	91	29,538	24,736
2010-02-25	$12.43	$10.00	33.8%	9.7%	28.7%	13.8%	32.5%	8.0%	1.0%	281.7K	-19.2M	-95.9K	5.42	10.90	60	325	29,565	24,786
2010-02-26	$12.58	$10.00	31.1%	8.9%	28.8%	10.3%	31.6%	5.6%	1.9%	253.6K	-20.3M	-94.7K	0.10	12.51	948	91	29,310	25,091