PPL Options History — February 2010

In February 2010, PPL traded between $26.53 and $27.81. ATM implied volatility averaged 19.8%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.5% (HV 20d: 19.3%). 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 13 of 19 days. Put/call ratio averaged 2.33.

Notable Days

2010-02-01: Highest Volume — 3,063 contracts
2010-02-11: Largest IV spike — 49.8% change
2010-02-04: Highest IV Rank — 35.7%
2010-02-04: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.19	$26.53	$27.81	$27.59	$26.53
Max Pain	$27.94	$27.94	$27.94	$27.94	$27.94
ATM IV	19.8%	11.0%	25.6%	24.5%	11.0%
Expected Move	5.9%	3.1%	7.3%	7.0%	3.1%
HV 20d	19.3%	17.2%	21.4%	17.7%	18.6%
HV 60d	18.4%	17.9%	18.8%	18.2%	18.3%
IV Rank	21.4%	0.0%	35.7%	32.9%	0.0%
IV Percentile	15.3%	0.0%	50.8%	40.9%	0.0%
Term Structure	1.3%	-1.3%	7.8%	-0.4%	7.8%
VWIV	21.3%	10.9%	26.5%	24.5%	10.9%
Skew 25d	5.9%	-1.9%	9.0%	7.2%	3.6%
Skew 10d	9.3%	-2.0%	15.6%	12.1%	6.2%
Call IV 25d	19.7%	17.7%	24.1%	18.9%	20.0%
Put IV 25d	25.7%	16.8%	28.4%	26.1%	23.5%
Bid-Ask Spread %	17.84	6.67	30.25	11.09	7.64
Gamma HHI	0.74	0.55	0.95	0.55	0.65
Net GEX	333.9K	85.8K	1.7M	164.0K	85.8K
Net DEX	-2.4M	-4.2M	-1.0M	-3.8M	-1.1M
Net VEX	-26.5K	-30.2K	-15.3K	-15.3K	-23.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.33	0.00	40.08	0.96	0.00
Total Volume	426.684	53	3,063	3,063	119
Total OI	9,380.421	5,820	10,881	5,820	9,444

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
2010-02-01	$27.59	$27.94	24.5%	7.0%	17.7%	32.9%	24.5%	7.2%	-0.4%	164.0K	-3.8M	-15.3K	0.96	11.09	N/A	N/A	1,566	1,497	4,525	1,295
2010-02-02	$27.61	$27.94	23.8%	6.8%	17.4%	31.2%	23.8%	8.3%	-0.2%	156.7K	-3.2M	-29.8K	0.12	11.44	N/A	N/A	90	11	5,887	2,560
2010-02-03	$27.38	$27.94	25.3%	7.2%	17.2%	34.8%	25.3%	7.9%	-1.3%	174.5K	-3.1M	-30.2K	0.19	10.57	N/A	N/A	113	21	5,965	2,567
2010-02-04	$26.66	$27.94	25.6%	7.3%	18.8%	35.7%	25.8%	5.8%	-0.7%	144.1K	-1.8M	-27.8K	0.16	19.33	N/A	N/A	709	115	6,018	2,567
2010-02-05	$27.01	$27.94	20.5%	6.7%	19.8%	22.9%	26.5%	6.5%	-0.2%	243.2K	-2.0M	-28.4K	0.13	27.48	N/A	N/A	298	39	6,469	2,674
2010-02-08	$26.76	$27.94	19.8%	6.6%	19.9%	21.3%	22.9%	1.9%	0.0%	223.9K	-1.5M	-27.2K	0.07	26.54	N/A	N/A	149	11	6,613	2,709
2010-02-09	$26.98	$27.94	23.9%	6.3%	19.4%	31.5%	21.9%	2.7%	0.7%	261.3K	-2.0M	-27.8K	0.03	28.57	N/A	N/A	190	6	6,589	2,720
2010-02-10	$26.85	$27.94	13.7%	6.2%	19.3%	5.9%	21.5%	5.8%	0.9%	178.8K	-1.0M	-25.8K	40.08	30.25	N/A	N/A	27	1,076	6,685	2,726
2010-02-11	$27.32	$27.94	20.4%	5.9%	19.7%	22.8%	20.5%	9.0%	1.7%	382.3K	-1.9M	-27.7K	0.00	27.87	N/A	N/A	72	0	6,682	3,801
2010-02-12	$27.21	$27.94	20.8%	6.0%	19.6%	23.6%	0.0%	7.7%	1.4%	343.0K	-2.1M	-27.9K	0.12	15.98	N/A	N/A	62	8	6,639	3,801
2010-02-16	$27.77	$27.94	21.7%	6.2%	21.4%	25.9%	21.7%	8.9%	0.6%	616.6K	-4.1M	-29.1K	0.25	14.03	N/A	N/A	159	40	6,685	3,801
2010-02-17	$27.57	$27.94	20.2%	5.8%	20.8%	22.3%	20.2%	6.2%	1.7%	661.6K	-3.1M	-28.1K	0.00	10.50	N/A	N/A	354	0	6,768	3,775
2010-02-18	$27.53	$27.94	19.5%	5.6%	20.5%	20.5%	19.5%	6.3%	1.2%	556.5K	-2.6M	-27.7K	0.45	11.37	N/A	N/A	71	32	7,053	3,775
2010-02-19	$27.81	$27.94	18.8%	5.4%	20.2%	18.7%	18.8%	8.4%	2.1%	1.7M	-4.2M	-28.8K	0.36	10.27	N/A	N/A	176	63	7,117	3,764
2010-02-22	$27.32	$27.94	18.4%	5.3%	19.5%	17.6%	18.4%	-1.9%	1.5%	144.8K	-2.6M	-25.8K	0.44	20.48	N/A	N/A	303	132	5,376	3,524
2010-02-23	$27.04	$27.94	18.9%	5.4%	19.5%	19.1%	18.8%	6.8%	1.8%	132.5K	-1.9M	-25.0K	0.09	19.70	N/A	N/A	49	4	5,555	3,618
2010-02-24	$26.92	$27.94	18.9%	5.4%	19.5%	19.1%	0.0%	5.6%	-0.7%	119.6K	-1.6M	-23.8K	0.12	29.25	N/A	N/A	292	34	5,550	3,620
2010-02-25	$26.85	$27.94	11.3%	3.2%	18.5%	0.1%	10.9%	6.2%	7.4%	95.5K	-1.7M	-23.7K	0.70	6.67	N/A	N/A	129	90	5,658	3,653
2010-02-26	$26.53	$27.94	11.0%	3.1%	18.6%	0.0%	0.0%	3.6%	7.8%	85.8K	-1.1M	-23.2K	0.00	7.64	N/A	N/A	119	0	5,710	3,734