LUV Options History — February 2013

In February 2013, LUV traded between $11.18 and $11.82. ATM implied volatility averaged 22.2%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.0% (HV 20d: 16.2%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.34.

Notable Days

2013-02-08: Highest Volume — 14,003 contracts
2013-02-06: Largest IV drop — 33.7% change
2013-02-12: Highest IV Rank — 40.1%
2013-02-12: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.51	$11.18	$11.82	$11.23	$11.70
Max Pain	$10.32	$10.00	$11.00	$10.00	$11.00
ATM IV	22.2%	15.2%	25.5%	21.2%	19.5%
Expected Move	6.5%	5.5%	7.3%	6.3%	5.6%
HV 20d	16.2%	14.0%	22.2%	14.6%	22.2%
HV 60d	17.6%	16.4%	19.2%	18.5%	19.2%
IV Rank	31.0%	11.7%	40.1%	28.1%	23.4%
IV Percentile	18.1%	1.6%	36.9%	7.9%	7.1%
Term Structure	1.4%	-1.7%	3.8%	1.6%	3.5%
VWIV	22.8%	19.2%	26.3%	22.2%	19.2%
Skew 25d	1.3%	-4.6%	8.6%	-2.3%	-4.6%
Skew 10d	1.4%	-6.2%	7.5%	-3.6%	-6.2%
Call IV 25d	21.2%	15.0%	25.8%	20.5%	19.7%
Put IV 25d	22.5%	15.1%	26.6%	18.2%	15.1%
Bid-Ask Spread %	8.25	4.48	24.69	4.48	5.54
Gamma HHI	0.70	0.35	0.89	0.36	0.84
Net GEX	749.9K	123.8K	1.4M	162.4K	962.7K
Net DEX	-14.7M	-19.8M	-10.0M	-10.6M	-15.9M
Net VEX	-62.2K	-72.2K	-55.0K	-58.8K	-60.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.02	0.88	0.39	0.06
Total Volume	1,967.316	164	14,003	428	1,588
Total OI	39,357.368	33,169	51,084	33,169	37,205

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
2013-02-01	$11.23	$10.00	21.2%	6.3%	14.6%	28.1%	22.2%	-2.3%	1.6%	162.4K	-10.6M	-58.8K	0.39	4.48	307	121	22,283	10,886
2013-02-04	$11.18	$10.00	23.5%	6.7%	14.0%	34.6%	26.3%	-2.4%	0.7%	123.8K	-10.0M	-57.9K	0.28	5.23	149	41	22,329	10,947
2013-02-05	$11.27	$10.00	22.9%	6.6%	14.2%	33.0%	22.7%	-1.6%	1.2%	162.3K	-11.0M	-57.5K	0.10	5.29	149	15	22,361	10,973
2013-02-06	$11.47	$10.00	15.2%	6.6%	15.0%	11.7%	20.9%	1.8%	1.1%	261.0K	-13.2M	-55.9K	0.41	9.44	333	135	22,302	10,969
2013-02-07	$11.61	$10.00	19.8%	5.7%	15.3%	24.3%	23.6%	5.2%	2.7%	341.5K	-14.5M	-55.0K	0.16	9.33	4,505	724	22,368	11,019
2013-02-08	$11.64	$10.00	25.2%	7.2%	15.2%	39.1%	25.2%	3.2%	-1.0%	913.3K	-15.2M	-57.8K	0.02	24.69	13,680	323	28,843	11,462
2013-02-11	$11.65	$10.00	25.4%	7.3%	15.1%	39.9%	24.7%	5.1%	-1.7%	1.4M	-19.8M	-71.1K	0.52	7.16	733	380	37,438	11,655
2013-02-12	$11.55	$10.00	25.5%	7.3%	15.6%	40.1%	25.2%	1.6%	-1.2%	1.1M	-18.1M	-72.2K	0.88	7.01	269	237	37,846	11,852
2013-02-13	$11.61	$10.00	24.2%	6.9%	15.6%	36.4%	23.8%	2.6%	-1.6%	1.2M	-18.4M	-69.6K	0.51	7.47	502	257	37,830	11,922
2013-02-14	$11.47	$10.00	22.9%	6.6%	15.2%	32.9%	24.2%	-1.3%	2.0%	909.2K	-16.2M	-68.0K	0.10	8.44	5,237	514	37,793	12,040
2013-02-15	$11.60	$10.00	21.6%	6.2%	15.3%	29.4%	21.9%	2.5%	2.1%	1.3M	-18.1M	-70.1K	0.19	11.62	1,037	194	38,845	12,239
2013-02-19	$11.70	$10.00	20.8%	6.0%	14.7%	27.0%	20.3%	5.6%	2.8%	892.1K	-16.0M	-63.3K	0.20	6.87	1,076	210	28,095	7,702
2013-02-20	$11.43	$10.00	24.2%	6.9%	15.7%	36.5%	23.6%	1.3%	0.7%	715.6K	-13.3M	-60.7K	0.71	6.71	810	573	28,218	7,890
2013-02-21	$11.45	$11.00	22.7%	6.5%	15.3%	32.4%	22.9%	-0.3%	2.7%	693.7K	-13.1M	-61.7K	0.05	9.31	1,431	73	28,126	8,344
2013-02-22	$11.60	$11.00	19.2%	5.5%	15.7%	22.7%	19.9%	3.9%	2.4%	803.3K	-14.6M	-61.4K	0.58	5.45	131	76	27,988	8,400
2013-02-25	$11.32	$11.00	24.2%	6.9%	18.1%	36.4%	22.0%	8.6%	1.8%	587.5K	-11.6M	-59.7K	0.40	6.01	225	89	28,035	8,443
2013-02-26	$11.40	$11.00	23.4%	6.7%	18.3%	34.3%	25.0%	-1.0%	3.8%	651.0K	-12.3M	-60.4K	0.13	10.06	287	37	27,995	8,492
2013-02-27	$11.82	$11.00	20.4%	5.9%	22.0%	26.1%	20.0%	-3.1%	2.8%	1.0M	-17.3M	-61.0K	0.85	6.58	503	428	28,146	8,509
2013-02-28	$11.70	$11.00	19.5%	5.6%	22.2%	23.4%	19.2%	-4.6%	3.5%	962.7K	-15.9M	-60.3K	0.06	5.54	1,492	96	28,424	8,781