PPL Options History — October 2009

In October 2009, PPL traded between $27.16 and $28.76. ATM implied volatility averaged 23.7%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.4% (HV 20d: 18.3%). Max pain ranged from $27.94 to $27.94. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2009-10-22: Highest Volume — 4,455 contracts
  • 2009-10-12: Largest IV spike — 27.1% change
  • 2009-10-28: Highest IV Rank — 13.8%
  • 2009-10-13: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.04$27.16$28.76$27.68$27.42
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV23.7%20.4%26.6%22.1%23.8%
Expected Move7.1%6.4%7.6%6.4%6.8%
HV 20d18.3%17.0%19.8%17.9%18.7%
HV 60d30.9%15.9%33.5%33.2%17.0%
IV Rank9.0%3.7%13.8%6.1%9.9%
IV Percentile13.5%2.0%32.1%3.6%14.3%
Term Structure1.2%-0.8%3.9%3.9%1.0%
VWIV24.4%15.4%26.7%22.1%24.2%
Skew 25d5.5%-0.1%25.4%1.3%3.5%
Skew 10d8.3%-1.5%33.4%1.9%5.4%
Call IV 25d24.8%22.2%38.4%22.2%24.4%
Put IV 25d30.4%22.7%54.1%23.4%28.0%
Bid-Ask Spread %13.279.6727.3212.9819.80
Gamma HHI0.690.520.820.750.59
Net GEX492.9K293.9K876.8K486.1K355.4K
Net DEX-6.2M-11.3M-2.8M-5.0M-4.3M
Net VEX-43.3K-47.8K-39.5K-47.8K-39.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.002.140.230.15
Total Volume460.136414,455151101
Total OI17,547.90914,79519,30918,42616,911

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$27.68$27.9422.1%6.4%17.9%6.1%22.1%1.3%3.9%486.1K-5.0M-47.8K0.2312.98N/AN/A1232811,3917,035
2009-10-02$27.16$27.9422.4%6.4%19.0%6.5%22.4%-0.1%3.3%423.6K-2.8M-46.4K0.9610.24N/AN/A15715011,4457,062
2009-10-05$27.60$27.9422.2%7.2%19.7%6.1%25.2%1.8%0.8%520.6K-4.1M-46.1K0.2727.32N/AN/A1855011,3977,028
2009-10-06$27.78$27.9421.8%7.3%19.2%5.6%25.6%23.2%0.6%577.6K-5.0M-46.4K0.8210.67N/AN/A715811,5427,023
2009-10-07$27.61$27.9423.0%7.3%19.3%7.2%25.5%2.4%0.9%550.6K-4.5M-45.6K0.5710.10N/AN/A19211011,5437,024
2009-10-08$27.52$27.9421.8%7.3%19.3%5.6%25.3%25.4%0.6%569.5K-3.8M-44.8K0.9511.30N/AN/A212011,5077,027
2009-10-09$27.94$27.9420.4%7.2%19.6%3.7%25.3%7.1%0.5%691.8K-5.7M-45.6K0.2411.39N/AN/A631511,4537,023
2009-10-12$28.41$27.9425.9%7.5%19.8%11.2%26.1%5.5%0.1%699.8K-8.3M-43.4K0.0311.39N/AN/A1,2023811,4717,017
2009-10-13$28.14$27.9423.0%7.6%19.8%8.0%26.7%4.8%-0.8%876.8K-7.6M-45.1K0.029.69N/AN/A60112,1227,025
2009-10-14$28.20$27.9424.8%7.3%17.0%10.5%25.5%5.3%0.7%847.1K-8.7M-45.0K2.1410.20N/AN/A9019312,1437,026
2009-10-15$28.48$27.9425.6%7.3%17.3%11.8%25.6%5.2%0.3%637.5K-10.4M-42.7K0.739.67N/AN/A695012,1547,155
2009-10-16$28.60$27.9425.5%7.3%17.4%12.1%25.5%5.3%0.1%497.8K-11.3M-41.5K0.3712.12N/AN/A2027412,1467,125
2009-10-19$28.74$27.9424.5%7.0%17.5%10.5%24.5%5.2%1.5%293.9K-6.8M-40.1K0.9011.52N/AN/A1111009,1095,686
2009-10-20$28.62$27.9424.5%7.0%17.3%10.6%24.5%3.9%1.0%300.0K-6.6M-41.4K0.6712.53N/AN/A74499,2025,741
2009-10-21$28.63$27.9423.7%6.8%17.0%9.4%23.7%3.5%1.3%311.1K-6.9M-40.9K0.0012.34N/AN/A50409,2635,745
2009-10-22$28.76$27.9423.6%6.8%17.1%9.2%15.4%4.8%2.6%348.1K-7.5M-42.8K0.0312.33N/AN/A4,3231329,7265,745
2009-10-23$28.44$27.9423.1%6.6%17.4%8.4%23.1%1.0%2.5%406.4K-7.1M-44.5K0.0518.27N/AN/A2251111,1485,704
2009-10-26$27.95$27.9425.0%7.2%18.0%11.3%25.0%3.4%1.7%375.6K-5.3M-41.3K0.1612.87N/AN/A5879311,0505,715
2009-10-27$27.79$27.9424.3%7.0%18.0%10.2%24.3%2.8%2.3%370.3K-5.2M-41.5K1.0014.43N/AN/A272711,0705,708
2009-10-28$27.46$27.9426.6%7.6%18.1%13.8%26.6%3.3%0.2%332.5K-3.9M-40.4K0.4311.26N/AN/A2219411,0955,729
2009-10-29$28.03$27.9423.9%6.9%18.2%9.6%23.9%2.8%1.8%372.6K-5.2M-40.0K0.0019.63N/AN/A222011,0345,789
2009-10-30$27.42$27.9423.8%6.8%18.7%9.9%24.2%3.5%1.0%355.4K-4.3M-39.5K0.1519.80N/AN/A881311,1225,789