PPL Options History — November 2009

In November 2009, PPL traded between $27.23 and $28.86. ATM implied volatility averaged 22.8%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.7% (HV 20d: 19.1%). Max pain ranged from $27.94 to $27.94. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2009-11-16: Highest Volume — 549 contracts
  • 2009-11-12: Largest IV spike — 19.0% change
  • 2009-11-30: Highest IV Rank — 13.2%
  • 2009-11-09: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.17$27.23$28.86$27.44$28.43
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV22.8%20.8%24.7%21.1%23.5%
Expected Move6.7%6.1%7.3%6.1%6.7%
HV 20d19.1%17.7%20.6%17.7%18.0%
HV 60d17.6%17.0%18.4%17.0%18.3%
IV Rank9.7%5.4%13.2%6.0%13.2%
IV Percentile11.2%2.4%25.0%2.4%17.1%
Term Structure0.6%-1.0%4.2%4.2%-0.1%
VWIV23.3%21.1%25.3%21.1%23.5%
Skew 25d3.4%1.6%5.4%3.9%3.4%
Skew 10d6.0%1.8%9.4%6.8%6.1%
Call IV 25d24.4%22.9%25.7%25.4%25.0%
Put IV 25d27.9%26.2%29.4%29.2%28.5%
Bid-Ask Spread %15.248.6228.7515.6514.62
Gamma HHI0.670.600.770.600.72
Net GEX490.6K345.6K684.0K345.6K533.2K
Net DEX-5.7M-7.6M-3.4M-3.4M-5.7M
Net VEX-34.6K-39.1K-29.2K-38.4K-29.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.004.750.140.27
Total Volume156.352454933030
Total OI16,738.815,75117,22516,99415,905

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$27.44$27.9421.1%6.1%17.7%6.0%21.1%3.9%4.2%345.6K-3.4M-38.4K0.1415.65N/AN/A2894111,1965,798
2009-11-03$27.23$27.9423.5%6.7%17.7%10.2%23.6%4.3%2.2%347.3K-3.4M-36.7K0.1719.79N/AN/A971611,1915,803
2009-11-04$27.54$27.9423.3%6.7%18.1%9.7%23.3%2.4%2.1%388.8K-4.2M-36.5K0.1421.41N/AN/A1582111,2165,807
2009-11-05$27.93$27.9422.3%6.4%18.8%8.1%22.3%4.8%2.9%411.0K-5.0M-39.1K0.0018.48N/AN/A62011,3235,828
2009-11-06$27.80$27.9420.9%7.1%18.0%5.7%24.9%4.7%-0.4%420.3K-4.9M-38.9K0.1811.44N/AN/A671211,3145,828
2009-11-09$28.29$27.9422.6%7.3%18.1%8.6%25.3%4.6%-1.0%479.4K-6.6M-37.3K0.2526.89N/AN/A862111,3385,837
2009-11-10$28.57$27.9422.8%7.0%18.1%8.8%24.2%5.4%-0.2%467.8K-7.5M-37.8K0.0528.75N/AN/A5192511,3715,854
2009-11-11$28.44$27.9420.8%7.0%18.2%5.4%24.5%2.6%0.3%496.1K-6.5M-37.0K0.1411.55N/AN/A781111,0745,841
2009-11-12$28.02$27.9424.7%7.1%18.6%12.2%24.7%2.3%-0.8%499.5K-5.0M-35.8K0.0010.35N/AN/A44011,0535,841
2009-11-13$28.12$27.9423.8%6.8%18.6%11.6%23.8%2.6%-0.1%522.8K-5.3M-34.9K0.0010.76N/AN/A82011,0505,841
2009-11-16$28.65$27.9424.5%7.0%19.8%13.0%24.5%3.8%-0.4%509.3K-7.5M-34.5K0.0010.65N/AN/A549011,1105,841
2009-11-17$28.45$27.9423.9%6.8%19.9%11.9%23.9%3.2%-0.2%482.8K-7.0M-34.5K0.2112.63N/AN/A1352811,1615,841
2009-11-18$28.17$27.9423.2%6.6%20.1%10.5%23.2%1.9%0.4%583.5K-5.6M-33.2K0.0013.14N/AN/A60011,2235,845
2009-11-19$27.79$27.9422.6%6.5%20.5%9.5%22.6%1.6%0.7%563.3K-3.9M-32.3K0.849.82N/AN/A897511,2375,845
2009-11-20$28.07$27.9422.1%6.3%20.6%8.6%22.1%3.6%1.1%684.0K-5.5M-32.5K0.2412.99N/AN/A1774311,2695,849
2009-11-23$28.58$27.9422.5%6.4%20.6%9.4%22.3%4.0%0.4%504.3K-6.3M-31.3K1.508.62N/AN/A243510,2015,552
2009-11-24$28.67$27.9421.9%6.3%20.5%9.3%21.9%2.9%0.1%529.4K-6.6M-30.3K0.8714.66N/AN/A968310,2025,549
2009-11-25$28.86$27.9421.8%6.3%19.9%9.5%21.8%3.2%-0.3%533.2K-7.6M-30.9K0.8315.02N/AN/A131110,2725,593
2009-11-27$28.37$27.9423.3%6.7%19.9%12.7%23.2%3.3%0.7%511.0K-6.1M-31.1K4.7517.56N/AN/A94110,2865,591
2009-11-30$28.43$27.9423.5%6.7%18.0%13.2%23.5%3.4%-0.1%533.2K-5.7M-29.2K0.2714.62N/AN/A24610,2945,611