PPL Options History — September 2009

In September 2009, PPL traded between $26.99 and $28.72. ATM implied volatility averaged 23.0%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 7.7% (HV 20d: 15.2%). Max pain ranged from $27.94 to $27.94. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2009-09-04: Highest Volume — 6,793 contracts
  • 2009-09-10: Largest IV spike — 38.4% change
  • 2009-09-10: Highest IV Rank — 9.4%
  • 2009-09-08: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.95$26.99$28.72$27.26$28.26
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV23.0%17.8%24.6%24.0%22.0%
Expected Move6.7%6.2%7.3%6.9%6.3%
HV 20d15.2%13.7%16.6%13.8%16.0%
HV 60d35.9%33.0%37.3%37.3%33.0%
IV Rank7.2%0.2%9.4%8.6%5.9%
IV Percentile5.2%0.4%9.9%5.6%3.2%
Term Structure3.0%1.9%4.0%2.1%3.9%
VWIV23.4%21.7%25.4%24.1%22.0%
Skew 25d5.6%-3.5%14.1%7.5%14.1%
Skew 10d11.0%-3.0%27.4%13.0%27.4%
Call IV 25d20.2%17.3%23.0%22.9%20.6%
Put IV 25d25.8%19.5%34.7%30.4%34.7%
Bid-Ask Spread %10.586.6220.0413.7612.73
Gamma HHI0.670.580.750.580.75
Net GEX436.8K291.1K589.4K291.1K516.9K
Net DEX-6.0M-10.2M-2.4M-2.9M-7.4M
Net VEX-52.1K-53.7K-48.5K-52.7K-48.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.0213.300.560.71
Total Volume531.524196,793300237
Total OI18,596.42918,11419,51118,14618,431

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$27.26$27.9424.0%6.9%13.8%8.6%24.1%7.5%2.1%291.1K-2.9M-52.7K0.5613.76N/AN/A19210811,2926,854
2009-09-02$27.27$27.9424.1%6.9%13.7%8.7%0.0%7.5%1.9%291.8K-2.9M-53.1K0.1120.04N/AN/A50511,3546,910
2009-09-03$27.47$27.9421.7%6.2%13.9%5.4%21.7%6.0%4.0%325.7K-3.2M-51.9K0.0315.75N/AN/A180511,3806,912
2009-09-04$27.67$27.9421.5%7.0%14.1%5.2%24.6%8.7%2.9%359.0K-3.9M-53.5K0.0218.40N/AN/A6,65813511,4776,912
2009-09-08$27.30$27.9423.8%7.3%14.9%8.2%25.4%-2.3%2.0%371.9K-3.3M-53.7K13.307.94N/AN/A2532911,5407,002
2009-09-09$27.22$27.9417.8%7.1%14.9%0.2%23.8%-2.7%2.3%374.0K-2.5M-53.5K0.276.62N/AN/A28811,5627,274
2009-09-10$27.24$27.9424.6%7.1%14.7%9.4%23.9%-2.4%2.3%373.7K-2.6M-53.1K0.026.85N/AN/A142311,5597,277
2009-09-11$26.99$27.9424.4%7.0%14.9%9.2%24.4%-3.5%2.5%358.0K-2.4M-53.0K0.437.35N/AN/A1305611,6777,276
2009-09-14$27.38$27.9424.6%7.1%15.6%9.4%24.5%-0.5%2.4%423.7K-3.3M-51.8K1.356.94N/AN/A719611,6327,227
2009-09-15$27.74$27.9423.9%6.8%14.2%8.4%23.9%1.7%2.9%578.6K-4.8M-52.7K0.369.08N/AN/A32911911,6887,214
2009-09-16$28.53$27.9423.8%6.8%16.6%8.3%23.8%10.8%2.8%589.4K-8.7M-52.6K0.108.06N/AN/A8998811,8527,220
2009-09-17$28.48$27.9424.3%7.0%16.6%8.9%24.3%6.1%2.4%582.7K-9.7M-53.3K0.189.39N/AN/A2945212,2917,220
2009-09-18$28.54$27.9422.9%6.6%16.5%7.1%22.9%6.5%4.0%518.2K-10.2M-53.5K0.347.37N/AN/A1023412,3277,180
2009-09-21$28.47$27.9423.8%6.8%15.3%8.3%23.8%12.6%3.7%442.7K-7.9M-51.5K0.389.49N/AN/A1204511,3126,802
2009-09-22$28.72$27.9423.3%6.7%15.4%7.6%23.3%10.8%3.4%445.8K-8.9M-51.9K0.928.86N/AN/A635811,3586,826
2009-09-23$28.49$27.9422.3%6.4%15.6%6.3%22.3%5.3%3.1%458.2K-8.3M-50.9K0.5112.47N/AN/A1055411,3706,867
2009-09-24$28.44$27.9422.4%6.4%15.6%6.4%22.4%12.2%3.7%455.1K-7.9M-51.1K0.948.65N/AN/A534911,3956,918
2009-09-25$28.25$27.9421.8%6.2%15.8%5.6%21.8%4.5%4.0%458.9K-7.4M-52.1K0.279.77N/AN/A852311,4176,935
2009-09-28$28.58$27.9422.4%6.4%15.9%6.5%22.4%10.6%3.9%473.9K-8.5M-50.5K0.5910.07N/AN/A714211,4326,929
2009-09-29$28.56$27.9422.7%6.5%15.5%6.9%22.7%4.0%3.5%482.6K-8.6M-48.7K0.2012.65N/AN/A16311,4676,957
2009-09-30$28.26$27.9422.0%6.3%16.0%5.9%22.0%14.1%3.9%516.9K-7.4M-48.5K0.7112.73N/AN/A1399811,4716,960