LUV Options History — February 2012

In February 2012, LUV traded between $8.68 and $10.04. ATM implied volatility averaged 28.5%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 1.5% (HV 20d: 30.0%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2012-02-21: Highest Volume — 5,136 contracts
2012-02-08: Largest IV spike — 32.2% change
2012-02-21: Highest IV Rank — 37.5%
2012-02-21: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.41	$8.68	$10.04	$9.74	$8.98
Max Pain	$8.95	$8.00	$9.00	$9.00	$9.00
ATM IV	28.5%	23.5%	32.6%	26.8%	28.8%
Expected Move	8.3%	7.5%	9.4%	7.7%	8.3%
HV 20d	30.0%	27.0%	32.6%	27.5%	27.4%
HV 60d	33.4%	30.9%	34.7%	33.8%	30.9%
IV Rank	29.0%	18.5%	37.5%	25.4%	29.6%
IV Percentile	33.7%	7.1%	54.8%	22.2%	34.9%
Term Structure	1.9%	-0.5%	5.9%	1.2%	1.6%
VWIV	29.5%	25.4%	32.6%	26.7%	28.6%
Skew 25d	3.7%	-5.9%	11.2%	-5.9%	0.2%
Skew 10d	6.9%	-5.3%	20.3%	-4.1%	0.6%
Call IV 25d	24.9%	20.3%	30.2%	25.5%	25.1%
Put IV 25d	28.5%	19.6%	35.1%	19.6%	25.3%
Bid-Ask Spread %	9.99	6.31	17.68	8.81	17.68
Gamma HHI	0.36	0.26	0.44	0.38	0.26
Net GEX	272.0K	187.8K	328.7K	316.3K	225.9K
Net DEX	-8.1M	-12.4M	-3.2M	-10.6M	-4.9M
Net VEX	-71.1K	-74.1K	-66.2K	-70.5K	-72.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.01	2.49	0.37	1.20
Total Volume	1,255.1	374	5,136	950	1,127
Total OI	37,215.2	33,849	42,023	33,849	42,023

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
2012-02-01	$9.74	$9.00	26.8%	7.7%	27.5%	25.4%	26.7%	-5.9%	1.2%	316.3K	-10.6M	-70.5K	0.37	8.81	693	257	26,673	7,176
2012-02-02	$9.75	$9.00	26.3%	7.5%	27.0%	24.4%	25.4%	-4.8%	1.8%	314.5K	-10.6M	-71.2K	1.01	9.43	506	509	26,826	7,372
2012-02-03	$10.04	$8.00	26.1%	7.8%	28.1%	24.0%	28.7%	2.1%	2.7%	321.9K	-12.4M	-72.9K	0.28	6.31	2,006	555	26,989	7,607
2012-02-06	$9.75	$9.00	24.7%	8.5%	30.3%	21.1%	30.5%	9.6%	0.8%	314.3K	-10.4M	-71.6K	0.66	8.61	461	304	27,171	8,101
2012-02-07	$9.64	$9.00	23.5%	8.4%	31.0%	18.5%	31.6%	8.5%	1.1%	309.7K	-10.0M	-71.8K	1.10	10.41	178	196	27,449	8,107
2012-02-08	$9.63	$9.00	31.0%	8.1%	30.9%	34.2%	28.2%	5.3%	1.7%	317.2K	-9.7M	-69.6K	0.53	11.03	337	178	27,536	8,116
2012-02-09	$9.78	$9.00	27.9%	8.0%	30.7%	27.8%	29.3%	11.2%	2.3%	328.7K	-10.7M	-70.3K	0.73	9.77	718	526	27,509	8,120
2012-02-10	$9.62	$9.00	27.3%	7.8%	31.6%	26.5%	29.0%	10.1%	2.8%	286.6K	-9.5M	-69.8K	2.49	8.92	227	565	27,595	8,293
2012-02-13	$9.72	$9.00	29.9%	8.6%	30.9%	31.9%	30.2%	8.4%	1.0%	293.7K	-9.9M	-71.5K	0.04	9.52	939	41	27,713	8,813
2012-02-14	$9.59	$9.00	29.0%	8.3%	31.4%	30.1%	30.2%	4.9%	1.9%	293.8K	-9.5M	-73.0K	0.21	9.86	950	199	28,235	8,822
2012-02-15	$9.53	$9.00	27.8%	8.0%	31.6%	27.4%	30.1%	5.3%	3.5%	285.1K	-9.2M	-73.3K	0.71	11.79	311	220	28,784	8,843
2012-02-16	$9.59	$9.00	27.5%	7.9%	29.9%	26.8%	28.5%	7.0%	3.9%	292.1K	-9.6M	-74.1K	0.01	12.85	561	4	28,896	8,964
2012-02-17	$9.43	$9.00	30.2%	8.7%	30.3%	32.5%	29.7%	-0.1%	4.7%	272.4K	-8.6M	-71.5K	0.78	12.02	331	258	28,990	8,968
2012-02-21	$9.10	$9.00	32.6%	9.4%	32.6%	37.5%	32.1%	6.2%	-0.5%	222.7K	-5.5M	-66.2K	0.20	8.98	4,294	842	26,820	7,542
2012-02-22	$9.02	$9.00	32.4%	9.3%	32.4%	37.0%	32.2%	3.5%	-0.5%	230.0K	-5.5M	-73.5K	1.35	7.79	474	640	30,388	8,091
2012-02-23	$8.87	$9.00	29.9%	8.6%	29.5%	31.9%	29.4%	-0.3%	0.6%	207.5K	-4.2M	-69.7K	0.38	10.28	1,091	412	30,631	8,469
2012-02-24	$8.68	$9.00	29.3%	8.4%	30.0%	30.7%	32.6%	7.3%	1.2%	187.8K	-3.2M	-66.4K	0.63	9.25	1,460	925	30,928	8,670
2012-02-27	$8.82	$9.00	31.1%	8.9%	29.0%	34.4%	29.2%	-4.7%	0.6%	207.2K	-4.1M	-69.9K	1.25	8.30	515	645	31,879	9,399
2012-02-28	$8.95	$9.00	27.7%	8.0%	28.6%	27.4%	27.3%	-0.4%	5.9%	213.1K	-4.6M	-73.5K	0.29	8.23	502	145	31,823	9,973
2012-02-29	$8.98	$9.00	28.8%	8.3%	27.4%	29.6%	28.6%	0.2%	1.6%	225.9K	-4.9M	-72.0K	1.20	17.68	513	614	32,017	10,006