LUV Options History — July 2011

In July 2011, LUV traded between $9.79 and $11.64. ATM implied volatility averaged 27.4%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.5% (HV 20d: 23.9%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2011-07-06: Highest Volume — 11,674 contracts
2011-07-11: Largest IV spike — 97.3% change
2011-07-29: Highest IV Rank — 83.3%
2011-07-29: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.71	$9.79	$11.64	$11.64	$9.96
Max Pain	$11.00	$11.00	$11.00	$11.00	$11.00
ATM IV	27.4%	14.6%	34.4%	17.8%	34.4%
Expected Move	8.4%	5.1%	9.9%	5.1%	9.9%
HV 20d	23.9%	20.5%	26.9%	25.5%	22.6%
HV 60d	21.3%	20.3%	22.1%	20.8%	21.8%
IV Rank	50.1%	0.0%	83.3%	0.0%	83.3%
IV Percentile	51.6%	0.0%	96.0%	0.0%	96.0%
Term Structure	-0.0%	-4.1%	12.6%	12.6%	-1.9%
VWIV	28.7%	15.0%	34.8%	15.0%	34.8%
Skew 25d	4.2%	-2.8%	12.7%	2.4%	12.7%
Skew 10d	7.8%	-3.7%	19.7%	-0.5%	19.7%
Call IV 25d	25.4%	13.0%	31.1%	13.0%	25.8%
Put IV 25d	29.6%	15.4%	38.5%	15.4%	38.5%
Bid-Ask Spread %	12.53	8.39	19.04	8.76	10.92
Gamma HHI	0.34	0.22	0.53	0.46	0.22
Net GEX	628.3K	-11.3K	1.5M	1.1M	9.3K
Net DEX	271.1K	-18.6M	11.8M	-18.4M	10.8M
Net VEX	-121.9K	-160.8K	-85.3K	-160.8K	-93.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.01	2.09	0.17	0.28
Total Volume	1,928.8	420	11,674	3,843	924
Total OI	82,604.6	78,356	87,484	80,019	84,591

Daily Data (20 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
2011-07-01	$11.64	$11.00	17.8%	5.1%	25.5%	0.0%	15.0%	2.4%	12.6%	1.1M	-18.4M	-160.8K	0.17	8.76	3,295	548	57,286	22,733
2011-07-05	$11.39	$11.00	26.6%	8.2%	24.5%	39.6%	27.6%	0.6%	-0.8%	1.1M	-13.2M	-150.8K	0.05	11.13	2,263	112	56,537	23,084
2011-07-06	$11.45	$11.00	18.0%	8.3%	24.3%	0.7%	27.8%	7.0%	-0.3%	1.1M	-14.0M	-150.8K	0.01	16.96	11,598	76	56,528	23,169
2011-07-07	$11.61	$11.00	18.7%	7.1%	23.1%	4.0%	26.5%	7.5%	1.0%	1.3M	-18.6M	-159.7K	1.06	13.64	505	534	60,766	23,225
2011-07-08	$11.38	$11.00	14.6%	8.2%	24.4%	0.0%	27.3%	5.7%	-1.0%	1.2M	-14.2M	-152.9K	1.53	10.98	166	254	60,899	23,740
2011-07-11	$11.04	$11.00	28.8%	8.1%	26.5%	57.1%	28.8%	1.8%	1.7%	1.4M	-6.3M	-142.1K	0.79	19.04	505	399	60,977	23,750
2011-07-12	$10.91	$11.00	29.1%	8.3%	26.9%	58.1%	30.4%	4.5%	0.1%	1.3M	-2.7M	-135.8K	1.04	11.90	215	223	60,963	23,888
2011-07-13	$10.88	$11.00	22.7%	8.6%	26.3%	32.3%	30.1%	1.8%	-1.3%	1.5M	-2.0M	-132.7K	2.09	18.72	1,096	2,286	60,990	24,019
2011-07-14	$10.75	$11.00	27.3%	7.8%	24.5%	50.8%	29.7%	1.0%	1.0%	920.0K	3.6M	-126.9K	1.32	12.96	408	537	61,371	25,814
2011-07-15	$10.72	$11.00	26.1%	7.5%	24.6%	46.3%	27.9%	8.0%	1.6%	789.6K	5.1M	-121.7K	1.89	10.54	614	1,162	61,413	26,071
2011-07-18	$10.46	$11.00	31.6%	9.1%	25.2%	68.3%	29.7%	5.4%	2.7%	198.6K	6.0M	-110.8K	0.28	12.11	1,669	475	54,407	23,949
2011-07-19	$10.58	$11.00	27.1%	7.8%	25.4%	50.4%	27.0%	5.9%	0.1%	223.8K	5.5M	-113.4K	0.18	15.98	1,079	195	55,419	24,150
2011-07-20	$10.49	$11.00	31.4%	9.0%	25.0%	67.5%	28.0%	6.8%	0.2%	215.7K	5.8M	-111.3K	1.45	10.88	244	355	56,043	24,228
2011-07-21	$10.47	$11.00	31.0%	8.9%	24.8%	69.0%	26.6%	5.3%	-1.8%	159.6K	6.8M	-109.6K	0.22	12.62	649	144	56,139	24,481
2011-07-22	$10.42	$11.00	30.1%	8.6%	20.5%	65.2%	29.5%	1.4%	-1.2%	104.2K	7.9M	-104.0K	0.35	12.34	761	266	56,476	24,591
2011-07-25	$10.24	$11.00	31.0%	8.9%	21.0%	68.8%	29.3%	0.3%	-1.2%	21.1K	9.5M	-96.0K	0.66	8.39	340	223	56,875	24,769
2011-07-26	$10.12	$11.00	32.7%	9.4%	20.9%	75.8%	31.3%	-2.8%	-4.1%	-11.3K	10.5M	-91.5K	0.16	10.43	1,464	230	57,027	24,867
2011-07-27	$9.94	$11.00	34.2%	9.8%	21.0%	82.3%	32.5%	-0.3%	-3.9%	-9.5K	11.3M	-88.3K	0.41	8.87	889	361	58,225	24,942
2011-07-28	$9.79	$11.00	34.4%	9.9%	21.1%	83.0%	34.4%	9.3%	-3.7%	-10.0K	11.8M	-85.3K	0.40	13.48	1,079	433	58,699	24,991
2011-07-29	$9.96	$11.00	34.4%	9.9%	22.6%	83.3%	34.8%	12.7%	-1.9%	9.3K	10.8M	-93.3K	0.28	10.92	722	202	59,253	25,338