PPL Options History — January 2010

In January 2010, PPL traded between $27.47 and $30.37. ATM implied volatility averaged 22.5%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.9% (HV 20d: 16.6%). Max pain ranged from $27.94 to $27.94. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.79.

Notable Days

2010-01-12: Highest Volume — 2,285 contracts
2010-01-11: Largest IV spike — 32.4% change
2010-01-13: Highest IV Rank — 45.1%
2010-01-29: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.28	$27.47	$30.37	$30.24	$27.47
Max Pain	$27.94	$27.94	$27.94	$27.94	$27.94
ATM IV	22.5%	16.1%	29.4%	18.1%	25.3%
Expected Move	6.8%	5.8%	7.2%	7.1%	7.2%
HV 20d	16.6%	13.7%	18.7%	16.1%	18.2%
HV 60d	18.0%	17.4%	18.8%	17.6%	18.3%
IV Rank	27.9%	11.9%	45.1%	17.1%	34.9%
IV Percentile	23.9%	2.4%	59.5%	4.0%	47.2%
Term Structure	0.1%	-2.3%	1.4%	0.5%	-2.3%
VWIV	23.3%	21.2%	25.3%	23.7%	25.3%
Skew 25d	4.0%	-1.0%	11.0%	2.8%	8.2%
Skew 10d	6.3%	-3.0%	17.4%	3.3%	13.8%
Call IV 25d	18.6%	15.1%	20.7%	15.1%	17.9%
Put IV 25d	22.6%	17.9%	26.9%	17.9%	26.1%
Bid-Ask Spread %	23.13	9.06	36.25	21.11	16.24
Gamma HHI	0.56	0.43	0.72	0.52	0.43
Net GEX	128.6K	21.8K	211.0K	170.1K	93.7K
Net DEX	-7.6M	-14.1M	-2.9M	-10.2M	-3.3M
Net VEX	-13.7K	-14.8K	-12.8K	-14.5K	-13.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.00	3.82	0.34	0.00
Total Volume	318.368	21	2,285	42	546
Total OI	10,150.421	4,424	15,916	14,448	5,404

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 Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$30.24	$27.94	18.1%	7.1%	16.1%	17.1%	23.7%	2.8%	0.5%	170.1K	-10.2M	-14.5K	0.34	21.11	N/A	N/A	31	11	8,820	5,628
2010-01-05	$29.85	$27.94	19.2%	7.2%	16.9%	19.6%	25.3%	-0.5%	0.1%	211.0K	-9.7M	-14.2K	3.82	36.25	N/A	N/A	12	45	8,830	5,639
2010-01-06	$29.92	$27.94	19.0%	7.0%	16.8%	19.2%	0.0%	-1.0%	0.3%	187.6K	-9.7M	-13.8K	0.17	21.04	N/A	N/A	50	9	8,830	5,652
2010-01-07	$29.63	$27.94	16.1%	6.7%	15.9%	11.9%	0.0%	0.7%	0.4%	169.4K	-9.6M	-13.3K	0.20	29.95	N/A	N/A	63	13	8,877	5,619
2010-01-08	$29.53	$27.94	17.6%	6.8%	15.9%	15.8%	22.8%	-0.5%	-0.2%	196.7K	-9.5M	-13.2K	0.09	33.15	N/A	N/A	155	14	8,876	5,625
2010-01-11	$29.92	$27.94	23.4%	6.7%	15.0%	30.1%	22.0%	3.4%	0.6%	153.9K	-10.0M	-13.5K	0.04	20.19	N/A	N/A	360	13	8,909	5,638
2010-01-12	$29.94	$27.94	25.2%	7.1%	13.7%	34.8%	21.2%	3.6%	-0.8%	157.0K	-10.2M	-13.9K	0.01	34.48	N/A	N/A	2,264	21	9,084	5,647
2010-01-13	$30.37	$27.94	29.4%	5.8%	14.7%	45.1%	23.3%	3.8%	-0.4%	168.9K	-14.1M	-14.8K	0.07	26.88	N/A	N/A	187	14	10,252	5,664
2010-01-14	$30.06	$27.94	23.3%	6.7%	15.2%	30.0%	0.0%	2.6%	0.2%	164.2K	-13.6M	-14.5K	1.71	33.84	N/A	N/A	8	13	10,199	5,674
2010-01-15	$29.70	$27.94	23.5%	6.7%	15.7%	30.5%	23.5%	1.3%	-0.2%	147.0K	-13.1M	-14.0K	2.64	34.75	N/A	N/A	130	342	10,204	5,687
2010-01-19	$30.00	$27.94	24.2%	6.9%	16.1%	32.3%	24.1%	4.7%	0.1%	143.2K	-5.0M	-13.3K	0.16	17.32	N/A	N/A	110	17	3,450	974
2010-01-20	$29.58	$27.94	23.5%	6.7%	16.5%	30.3%	22.5%	2.5%	-0.5%	127.7K	-4.8M	-13.1K	0.35	15.32	N/A	N/A	103	37	3,552	991
2010-01-21	$29.03	$27.94	22.3%	6.4%	17.6%	27.5%	22.3%	0.4%	0.7%	103.6K	-4.4M	-13.4K	3.64	17.15	N/A	N/A	39	141	3,625	1,023
2010-01-22	$28.35	$27.94	22.0%	6.3%	18.7%	26.6%	21.9%	3.7%	1.4%	65.9K	-3.7M	-13.4K	0.69	9.06	N/A	N/A	69	47	3,660	1,164
2010-01-25	$28.53	$27.94	24.7%	7.1%	18.6%	33.5%	24.7%	10.9%	-0.3%	69.2K	-3.8M	-13.7K	0.50	15.00	N/A	N/A	161	81	3,643	1,184
2010-01-26	$28.52	$27.94	23.8%	6.8%	17.7%	31.3%	0.0%	11.0%	0.2%	56.5K	-3.7M	-13.9K	0.25	20.00	N/A	N/A	74	18	3,660	1,265
2010-01-27	$27.99	$27.94	23.5%	6.7%	18.3%	30.6%	23.5%	9.3%	0.6%	36.6K	-3.2M	-13.2K	0.28	17.78	N/A	N/A	88	25	3,697	1,249
2010-01-28	$27.67	$27.94	23.0%	6.6%	18.4%	29.3%	23.0%	9.8%	1.0%	21.8K	-2.9M	-12.8K	0.03	19.99	N/A	N/A	715	23	3,691	1,272
2010-01-29	$27.47	$27.94	25.3%	7.2%	18.2%	34.9%	25.3%	8.2%	-2.3%	93.7K	-3.3M	-13.9K	0.00	16.24	N/A	N/A	546	0	4,109	1,295