PPL Options History — December 2009

In December 2009, PPL traded between $29.09 and $30.72. ATM implied volatility averaged 19.9%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.1% (HV 20d: 17.9%). 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 2.59.

Notable Days

  • 2009-12-07: Highest Volume — 17,252 contracts
  • 2009-12-22: Largest IV spike — 38.2% change
  • 2009-12-07: Highest IV Rank — 33.6%
  • 2009-12-10: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.97$29.09$30.72$29.09$30.09
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV19.9%11.3%32.5%23.0%17.0%
Expected Move5.6%3.2%7.1%6.6%4.9%
HV 20d17.9%14.1%19.8%19.5%16.1%
HV 60d18.3%17.1%18.8%18.8%17.7%
IV Rank11.4%0.0%33.6%12.1%14.2%
IV Percentile13.2%0.0%59.9%13.9%2.8%
Term Structure4.9%-0.0%11.7%0.0%7.0%
VWIV20.9%13.1%28.0%23.0%17.6%
Skew 25d2.2%-1.7%6.7%4.1%0.5%
Skew 10d7.3%-0.9%33.6%10.5%1.1%
Call IV 25d18.4%10.3%24.3%23.1%15.6%
Put IV 25d20.6%12.3%30.0%27.2%16.1%
Bid-Ask Spread %11.322.9736.2116.612.97
Gamma HHI0.540.450.670.670.47
Net GEX328.1K141.6K538.9K538.9K203.2K
Net DEX-9.5M-10.7M-6.3M-8.2M-10.1M
Net VEX-21.5K-28.9K-14.0K-28.9K-15.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.0043.100.270.00
Total Volume1,019.227417,25222658
Total OI14,820.04513,96416,04615,89814,430

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$29.09$27.9423.0%6.6%19.5%12.1%23.0%4.1%0.0%538.9K-8.2M-28.9K0.2716.61N/AN/A1784810,2815,617
2009-12-02$29.34$27.9423.7%6.8%19.2%13.8%23.6%3.4%-0.0%518.2K-9.2M-28.4K0.0227.75N/AN/A206410,2855,623
2009-12-03$29.47$27.9422.6%6.5%19.0%11.3%22.5%1.6%0.3%524.1K-10.2M-28.5K0.0036.21N/AN/A871210,4285,618
2009-12-04$29.46$27.9424.9%6.6%18.6%16.4%22.9%6.7%2.8%507.7K-9.1M-27.5K2.5516.42N/AN/A5714510,1475,621
2009-12-07$29.61$27.9432.5%6.6%18.4%33.6%23.2%0.1%2.9%503.8K-9.6M-26.4K0.0016.28N/AN/A17,2104210,1795,762
2009-12-08$29.09$27.9423.6%6.8%19.1%13.5%23.7%-0.5%2.1%348.4K-6.3M-25.9K4.7511.12N/AN/A592809,1525,767
2009-12-09$29.10$27.9422.5%6.8%18.8%11.0%23.8%-0.1%1.9%360.9K-7.1M-25.6K3.004.56N/AN/A10299,1405,394
2009-12-10$29.68$27.9424.8%7.1%19.8%20.3%24.4%1.8%1.9%380.2K-8.6M-25.0K0.3810.48N/AN/A85329,1375,389
2009-12-11$30.18$27.9422.5%6.4%19.4%13.7%20.7%3.9%6.0%368.4K-10.1M-22.8K0.8512.22N/AN/A1431219,1785,382
2009-12-14$30.16$27.9423.8%6.8%19.5%17.5%23.5%3.0%2.9%374.8K-10.1M-24.0K0.419.12N/AN/A145599,2345,485
2009-12-15$30.16$27.9422.5%6.4%18.6%13.8%28.0%3.9%5.7%362.5K-10.1M-23.1K0.0014.29N/AN/A2109,2155,506
2009-12-16$30.24$27.9422.4%6.4%18.3%14.2%13.1%0.5%4.2%365.8K-10.2M-22.9K43.1016.16N/AN/A219259,2185,506
2009-12-17$30.15$27.9424.6%7.1%17.8%20.7%25.1%0.7%1.4%319.3K-8.6M-24.6K0.0013.10N/AN/A3109,2336,049
2009-12-18$30.41$27.9418.6%5.3%16.7%2.9%20.2%4.2%2.0%274.1K-9.4M-19.9K0.1916.24N/AN/A7981519,2506,049
2009-12-21$30.35$27.9411.9%3.4%16.7%0.0%14.1%2.1%11.2%160.9K-10.2M-14.5K0.263.59N/AN/A49138,3975,567
2009-12-22$29.94$27.9416.5%4.7%17.0%11.6%20.6%-1.7%2.9%318.1K-9.0M-19.2K0.693.41N/AN/A84588,4295,580
2009-12-23$30.17$27.9413.7%3.9%17.1%4.3%13.6%1.0%8.7%169.4K-9.8M-14.0K0.134.12N/AN/A115158,4315,606
2009-12-24$30.57$27.9411.3%3.2%17.4%0.0%0.0%3.5%11.0%148.3K-10.5M-14.4K0.003.47N/AN/A408,5295,596
2009-12-28$30.64$27.9411.8%3.4%15.7%1.4%15.5%4.3%11.7%141.6K-10.5M-14.0K0.003.80N/AN/A7308,5335,596
2009-12-29$30.65$27.9411.6%3.3%15.8%0.7%19.2%3.5%11.2%155.8K-10.6M-14.3K0.063.50N/AN/A172118,5745,596
2009-12-30$30.72$27.9412.9%3.7%14.1%4.0%0.0%3.0%8.8%173.7K-10.7M-14.6K0.283.60N/AN/A77218,7255,607
2009-12-31$30.09$27.9417.0%4.9%16.1%14.2%17.6%0.5%7.0%203.2K-10.1M-15.5K0.002.97N/AN/A5808,8025,628