LUV Options History — September 2012

In September 2012, LUV traded between $8.77 and $9.21. ATM implied volatility averaged 26.1%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.7% (HV 20d: 21.4%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2012-09-25: Highest Volume — 1,820 contracts
2012-09-10: Largest IV spike — 18.4% change
2012-09-20: Highest IV Rank — 27.2%
2012-09-11: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.00	$8.77	$9.21	$8.85	$8.77
Max Pain	$9.00	$9.00	$9.00	$9.00	$9.00
ATM IV	26.1%	20.9%	29.1%	24.1%	26.2%
Expected Move	7.8%	6.8%	8.6%	6.9%	7.5%
HV 20d	21.4%	18.6%	23.6%	18.6%	20.9%
HV 60d	26.7%	25.1%	28.2%	27.6%	25.1%
IV Rank	20.5%	9.3%	27.2%	16.1%	20.7%
IV Percentile	16.8%	1.2%	33.7%	6.7%	16.3%
Term Structure	1.5%	-1.7%	6.3%	6.3%	2.0%
VWIV	27.4%	23.7%	31.2%	24.1%	26.4%
Skew 25d	3.4%	-2.5%	16.0%	-1.8%	-1.9%
Skew 10d	4.4%	-4.8%	18.6%	-2.2%	-1.0%
Call IV 25d	21.3%	16.4%	27.4%	23.5%	24.9%
Put IV 25d	24.7%	21.7%	34.8%	21.7%	23.0%
Bid-Ask Spread %	20.12	7.70	32.78	28.60	20.67
Gamma HHI	0.45	0.31	0.69	0.31	0.37
Net GEX	493.1K	225.3K	1.1M	270.3K	262.3K
Net DEX	-5.6M	-7.7M	-3.3M	-3.9M	-3.7M
Net VEX	-49.9K	-53.5K	-44.4K	-52.7K	-47.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.04	4.60	2.02	0.05
Total Volume	872.316	131	1,820	628	405
Total OI	56,093.632	38,709	62,963	59,839	41,919

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
2012-09-04	$8.85	$9.00	24.1%	6.9%	18.6%	16.1%	24.1%	-1.8%	6.3%	270.3K	-3.9M	-52.7K	2.02	28.60	208	420	37,242	22,597
2012-09-05	$9.09	$9.00	23.7%	6.8%	20.2%	15.3%	23.7%	2.4%	6.0%	446.0K	-6.2M	-52.4K	0.27	29.89	103	28	37,187	22,873
2012-09-06	$9.21	$9.00	23.7%	6.8%	20.7%	15.4%	23.7%	3.8%	5.2%	464.1K	-7.5M	-53.5K	0.20	26.00	837	168	37,263	22,886
2012-09-07	$9.19	$9.00	20.9%	8.2%	20.6%	9.3%	28.5%	16.0%	1.3%	472.4K	-7.5M	-52.6K	0.27	10.79	1,398	375	37,543	22,919
2012-09-10	$9.15	$9.00	24.8%	8.2%	20.6%	17.7%	28.1%	-2.5%	1.1%	464.1K	-7.3M	-53.0K	1.26	19.27	259	327	38,163	23,077
2012-09-11	$8.95	$9.00	23.9%	8.6%	22.0%	15.8%	29.8%	2.6%	-0.2%	433.7K	-5.1M	-50.5K	0.75	12.66	424	319	38,348	23,299
2012-09-12	$9.18	$9.00	23.9%	8.1%	23.5%	15.9%	31.2%	7.4%	1.0%	502.3K	-7.7M	-53.1K	0.14	31.14	387	53	38,610	23,406
2012-09-13	$9.11	$9.00	28.0%	8.0%	23.6%	24.7%	28.0%	4.9%	0.9%	534.1K	-7.2M	-52.2K	0.58	28.10	240	140	38,782	23,398
2012-09-14	$9.07	$9.00	27.5%	7.9%	23.6%	23.5%	28.4%	3.9%	1.7%	546.9K	-6.8M	-51.1K	0.67	31.32	432	289	38,858	23,471
2012-09-17	$9.05	$9.00	27.6%	7.9%	23.5%	23.9%	27.6%	5.7%	0.8%	621.0K	-6.5M	-50.5K	0.41	32.78	342	141	38,949	23,710
2012-09-18	$8.92	$9.00	28.2%	8.1%	20.3%	25.1%	28.2%	2.8%	0.5%	606.6K	-5.0M	-49.0K	1.18	22.59	384	455	39,028	23,662
2012-09-19	$9.06	$9.00	28.5%	8.2%	21.3%	25.7%	28.5%	6.2%	0.3%	1.1M	-7.4M	-49.8K	0.35	23.13	691	243	39,110	23,804
2012-09-20	$8.94	$9.00	29.1%	8.4%	21.2%	27.2%	29.1%	2.9%	-1.3%	1.1M	-4.2M	-48.2K	0.69	21.59	536	369	39,137	23,826
2012-09-21	$8.84	$9.00	26.1%	7.5%	21.4%	20.6%	26.3%	-1.1%	0.5%	535.0K	-3.3M	-46.3K	0.39	8.79	1,088	421	39,387	22,714
2012-09-24	$8.89	$9.00	28.5%	8.2%	21.4%	25.8%	28.5%	1.3%	-1.4%	225.3K	-3.8M	-44.4K	0.04	9.44	1,488	61	30,599	8,110
2012-09-25	$8.84	$9.00	26.0%	7.5%	20.9%	20.4%	26.1%	11.9%	2.6%	254.5K	-4.0M	-44.7K	0.12	7.70	1,626	194	31,603	8,144
2012-09-26	$8.92	$9.00	28.4%	8.1%	20.9%	25.6%	28.4%	-1.0%	-1.7%	280.8K	-4.7M	-48.3K	0.70	8.13	631	442	32,525	8,302
2012-09-27	$8.88	$9.00	25.9%	7.4%	20.7%	20.1%	25.9%	1.1%	2.2%	291.7K	-4.6M	-48.1K	4.60	9.61	116	534	32,790	8,538
2012-09-28	$8.77	$9.00	26.2%	7.5%	20.9%	20.7%	26.4%	-1.9%	2.0%	262.3K	-3.7M	-47.6K	0.05	20.67	386	19	32,852	9,067