LUV Options History — January 2012

In January 2012, LUV traded between $8.41 and $9.62. ATM implied volatility averaged 30.5%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 0.4% (HV 20d: 30.1%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.34.

Notable Days

2012-01-20: Highest Volume — 3,262 contracts
2012-01-26: Largest IV spike — 23.0% change
2012-01-09: Highest IV Rank — 40.8%
2012-01-03: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.04	$8.41	$9.62	$8.41	$9.58
Max Pain	$9.00	$9.00	$9.00	$9.00	$9.00
ATM IV	30.5%	23.5%	34.2%	34.1%	25.6%
Expected Move	8.7%	6.7%	9.8%	9.8%	7.3%
HV 20d	30.1%	23.2%	36.5%	36.5%	28.6%
HV 60d	34.3%	32.7%	36.4%	36.4%	33.8%
IV Rank	33.1%	18.6%	40.8%	40.7%	23.0%
IV Percentile	45.5%	7.9%	62.7%	62.7%	17.1%
Term Structure	0.8%	-1.9%	4.2%	2.9%	3.0%
VWIV	30.6%	24.4%	35.3%	34.3%	26.5%
Skew 25d	5.5%	-4.5%	14.8%	-4.5%	5.5%
Skew 10d	8.1%	-2.4%	21.1%	-1.6%	6.9%
Call IV 25d	26.6%	19.2%	34.3%	34.3%	26.1%
Put IV 25d	32.1%	26.0%	39.5%	29.8%	31.6%
Bid-Ask Spread %	16.46	4.71	96.96	4.71	6.65
Gamma HHI	0.38	0.32	0.48	0.32	0.35
Net GEX	300.3K	193.5K	436.4K	193.5K	304.2K
Net DEX	-5.0M	-9.6M	-542.5K	-542.5K	-9.6M
Net VEX	-60.5K	-68.5K	-53.2K	-53.8K	-68.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.10	1.12	0.43	0.35
Total Volume	1,374.4	358	3,262	1,382	1,054
Total OI	46,232.35	30,445	56,100	51,661	33,435

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
2012-01-03	$8.41	$9.00	34.1%	9.8%	36.5%	40.7%	34.3%	-4.5%	2.9%	193.5K	-542.5K	-53.8K	0.43	4.71	965	417	39,446	12,215
2012-01-04	$8.60	$9.00	32.7%	9.4%	36.4%	37.6%	32.7%	0.6%	-0.8%	234.6K	-1.3M	-55.1K	0.30	11.84	524	157	40,021	12,316
2012-01-05	$8.62	$9.00	32.7%	9.4%	36.3%	37.7%	32.2%	-2.8%	-0.8%	249.4K	-1.6M	-56.2K	0.35	9.65	354	124	40,434	12,330
2012-01-06	$8.52	$9.00	33.5%	9.5%	36.5%	39.3%	35.3%	9.1%	-1.8%	237.3K	-1.1M	-55.0K	0.30	8.71	276	82	40,566	12,377
2012-01-09	$8.59	$9.00	34.2%	9.0%	34.0%	40.8%	31.8%	10.5%	0.1%	256.3K	-1.3M	-54.1K	1.12	9.25	246	275	40,714	12,389
2012-01-10	$8.71	$9.00	31.4%	8.8%	33.6%	35.0%	33.6%	14.8%	-0.2%	279.3K	-1.5M	-53.2K	0.10	7.81	1,104	112	40,806	12,511
2012-01-11	$8.88	$9.00	33.0%	8.9%	34.2%	38.3%	32.7%	12.8%	-0.7%	344.4K	-3.2M	-58.3K	0.16	13.38	1,599	250	41,406	12,575
2012-01-12	$8.97	$9.00	31.7%	9.1%	31.6%	35.7%	31.9%	13.9%	-0.7%	361.6K	-3.1M	-58.3K	0.10	12.74	2,791	279	40,492	12,582
2012-01-13	$8.84	$9.00	31.8%	9.1%	32.3%	35.8%	32.0%	14.4%	0.2%	366.4K	-2.9M	-61.5K	0.15	9.23	428	65	42,473	12,725
2012-01-17	$8.94	$9.00	31.7%	9.1%	31.0%	35.6%	31.4%	10.3%	-0.2%	424.7K	-3.6M	-61.0K	0.46	7.66	912	418	42,553	12,733
2012-01-18	$9.02	$9.00	32.2%	9.2%	28.9%	36.6%	34.7%	3.2%	-1.0%	436.4K	-4.4M	-60.8K	0.39	8.76	998	392	42,504	12,850
2012-01-19	$9.30	$9.00	28.7%	8.2%	23.9%	29.3%	27.9%	-0.7%	3.5%	359.1K	-7.9M	-62.2K	0.22	96.96	2,172	470	42,770	13,081
2012-01-20	$9.40	$9.00	27.1%	7.8%	23.2%	26.0%	26.6%	0.9%	3.8%	285.1K	-8.2M	-63.2K	0.16	10.19	2,812	450	42,794	13,306
2012-01-23	$9.28	$9.00	28.9%	8.3%	23.2%	29.7%	24.4%	6.6%	1.8%	260.4K	-7.3M	-61.0K	0.15	19.02	737	108	24,229	6,216
2012-01-24	$9.16	$9.00	29.4%	8.4%	24.1%	30.7%	28.9%	6.9%	0.0%	255.0K	-7.0M	-61.5K	0.55	22.09	740	404	24,580	6,264
2012-01-25	$9.51	$9.00	23.5%	6.7%	26.2%	18.6%	25.2%	2.5%	1.2%	286.4K	-8.9M	-64.7K	0.13	18.01	1,590	212	24,853	6,360
2012-01-26	$9.38	$9.00	28.9%	8.3%	26.7%	29.9%	29.3%	1.1%	4.2%	277.1K	-8.3M	-66.3K	0.53	22.76	1,426	757	25,252	6,518
2012-01-27	$9.62	$9.00	27.7%	7.9%	26.7%	27.3%	28.8%	2.1%	-1.9%	306.2K	-9.6M	-68.5K	0.12	20.98	864	101	26,119	6,876
2012-01-30	$9.38	$9.00	31.4%	9.0%	28.2%	35.0%	31.2%	2.6%	2.7%	288.8K	-8.4M	-67.5K	0.70	8.75	485	338	26,139	6,837
2012-01-31	$9.58	$9.00	25.6%	7.3%	28.6%	23.0%	26.5%	5.5%	3.0%	304.2K	-9.6M	-68.1K	0.35	6.65	783	271	26,416	7,019