LUV Options History — February 2014

In February 2014, LUV traded between $20.43 and $22.46. ATM implied volatility averaged 26.2%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 5.2% (HV 20d: 31.4%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.40.

Notable Days

2014-02-25: Highest Volume — 6,182 contracts
2014-02-13: Largest IV spike — 12.4% change
2014-02-03: Highest IV Rank — 77.8%
2014-02-05: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.44	$20.43	$22.46	$20.43	$22.44
Max Pain	$17.00	$17.00	$17.00	$17.00	$17.00
ATM IV	26.2%	23.6%	30.5%	30.5%	24.3%
Expected Move	8.1%	7.9%	8.4%	8.1%	8.0%
HV 20d	31.4%	23.0%	36.0%	36.0%	23.0%
HV 60d	28.4%	27.6%	29.1%	27.8%	28.5%
IV Rank	61.8%	52.1%	77.8%	77.8%	54.7%
IV Percentile	82.7%	54.0%	99.2%	99.2%	61.1%
Term Structure	0.8%	-0.1%	2.4%	0.8%	0.1%
VWIV	28.5%	26.8%	31.6%	27.8%	27.4%
Skew 25d	2.5%	0.1%	4.6%	0.7%	3.3%
Skew 10d	8.1%	0.6%	14.0%	1.4%	0.6%
Call IV 25d	26.0%	22.9%	30.9%	30.9%	22.9%
Put IV 25d	28.6%	26.2%	31.5%	31.5%	26.2%
Bid-Ask Spread %	32.19	28.13	39.14	31.81	33.77
Gamma HHI	0.25	0.17	0.49	0.19	0.25
Net GEX	1.5M	1.1M	2.8M	1.1M	1.7M
Net DEX	-58.3M	-71.7M	-41.8M	-41.8M	-71.7M
Net VEX	-258.4K	-267.8K	-245.6K	-248.0K	-254.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.11	1.06	0.13	1.06
Total Volume	2,897	1,357	6,182	4,417	5,107
Total OI	74,485.158	65,083	79,526	71,770	70,989

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
2014-02-03	$20.43	$17.00	30.5%	8.1%	36.0%	77.8%	27.8%	0.7%	0.8%	1.1M	-41.8M	-248.0K	0.13	31.81	3,905	512	49,738	22,032
2014-02-04	$20.65	$17.00	27.5%	8.4%	35.6%	66.6%	29.0%	1.3%	1.0%	1.3M	-47.2M	-263.9K	0.74	32.60	1,824	1,349	51,828	22,335
2014-02-05	$20.61	$17.00	27.3%	8.4%	35.2%	65.9%	28.3%	4.6%	1.4%	1.2M	-45.3M	-265.8K	0.98	39.14	1,336	1,316	51,833	22,766
2014-02-06	$20.96	$17.00	27.0%	8.3%	33.8%	65.0%	31.6%	2.9%	0.0%	1.4M	-51.8M	-267.8K	0.50	30.90	953	475	52,474	22,638
2014-02-07	$21.43	$17.00	25.9%	8.3%	33.2%	60.9%	29.1%	1.8%	0.5%	1.6M	-60.4M	-263.2K	0.39	30.31	1,657	652	52,527	22,749
2014-02-10	$21.02	$17.00	26.2%	8.1%	33.7%	62.0%	30.8%	3.8%	0.0%	1.4M	-53.9M	-260.5K	0.37	30.32	1,095	400	52,752	23,126
2014-02-11	$21.32	$17.00	26.0%	8.0%	33.6%	61.1%	27.8%	2.5%	0.7%	1.6M	-58.7M	-262.8K	0.21	28.43	1,578	336	53,425	23,236
2014-02-12	$21.21	$17.00	23.6%	8.0%	31.4%	52.1%	28.6%	3.4%	1.4%	1.5M	-55.4M	-260.1K	0.62	28.97	936	577	53,142	23,437
2014-02-13	$21.20	$17.00	26.5%	8.1%	31.1%	63.0%	28.3%	2.4%	1.3%	1.4M	-54.7M	-262.1K	0.29	28.13	1,264	368	53,487	23,893
2014-02-14	$21.30	$17.00	26.0%	8.0%	30.7%	61.3%	27.5%	2.7%	0.8%	1.7M	-58.7M	-262.9K	0.16	35.89	2,664	436	54,140	24,000
2014-02-18	$21.03	$17.00	27.2%	8.1%	30.8%	65.6%	28.9%	2.8%	0.2%	1.2M	-52.6M	-258.9K	0.61	31.32	1,000	615	54,653	24,303
2014-02-19	$20.95	$17.00	26.1%	8.2%	30.7%	61.5%	30.0%	4.1%	1.8%	1.1M	-51.5M	-258.4K	0.47	32.59	1,009	476	54,987	24,519
2014-02-20	$21.70	$17.00	25.9%	8.1%	32.4%	61.0%	26.8%	3.2%	0.5%	2.5M	-65.4M	-259.8K	0.16	32.11	4,858	760	54,790	24,345
2014-02-21	$21.76	$17.00	25.0%	8.0%	31.1%	57.4%	27.7%	0.1%	2.4%	2.8M	-66.8M	-252.5K	0.13	30.23	2,305	311	55,219	24,307
2014-02-24	$22.16	$17.00	25.4%	8.2%	30.7%	59.1%	28.3%	1.7%	0.9%	1.2M	-64.1M	-245.6K	0.11	33.05	3,903	447	45,415	19,668
2014-02-25	$22.30	$17.00	26.0%	8.1%	30.2%	61.3%	28.0%	1.1%	0.5%	1.4M	-67.4M	-248.7K	0.32	34.06	4,677	1,505	46,663	19,963
2014-02-26	$22.42	$17.00	25.7%	7.9%	28.1%	59.9%	27.4%	2.2%	0.7%	1.5M	-69.8M	-255.1K	0.14	33.38	2,713	367	48,292	21,111
2014-02-27	$22.46	$17.00	25.3%	8.0%	24.8%	58.5%	28.0%	3.8%	-0.1%	1.6M	-71.4M	-257.9K	0.15	34.58	1,184	173	49,111	21,325
2014-02-28	$22.44	$17.00	24.3%	8.0%	23.0%	54.7%	27.4%	3.3%	0.1%	1.7M	-71.7M	-254.8K	1.06	33.77	2,477	2,630	49,573	21,416