PPL Options History — March 2010

In March 2010, PPL traded between $25.69 and $27.18. ATM implied volatility averaged 14.9%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 3.0% (HV 20d: 17.9%). Max pain ranged from $27.94 to $27.94. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.81.

Notable Days

  • 2010-03-05: Highest Volume — 21,551 contracts
  • 2010-03-11: Largest IV spike — 64.1% change
  • 2010-03-19: Highest IV Rank — 29.7%
  • 2010-03-15: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.58$25.69$27.18$26.96$25.81
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV14.9%9.9%19.3%9.9%16.2%
Expected Move4.6%2.8%5.5%2.8%4.6%
HV 20d17.9%16.4%19.7%19.6%17.7%
HV 60d18.0%16.8%18.5%18.0%18.1%
IV Rank15.0%0.0%29.7%0.0%21.6%
IV Percentile6.3%0.0%13.1%0.0%9.5%
Term Structure3.6%0.2%8.6%8.1%4.2%
VWIV23.5%9.9%65.0%9.9%18.3%
Skew 25d1.1%-5.3%20.6%5.7%2.0%
Skew 10d1.1%-13.6%25.6%7.8%3.0%
Call IV 25d17.9%14.3%20.1%18.4%16.3%
Put IV 25d19.0%14.7%38.2%24.0%18.3%
Bid-Ask Spread %9.884.1026.106.416.56
Gamma HHI0.720.630.800.680.69
Net GEX124.4K83.1K192.9K102.5K104.7K
Net DEX-793.2K-2.0M961.3K-1.9M637.4K
Net VEX-24.3K-27.3K-20.4K-24.3K-20.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.004.661.030.01
Total Volume1,187.0874721,55177370
Total OI10,325.9579,45811,1089,45811,108

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$26.96$27.949.9%2.8%19.6%0.0%9.9%5.7%8.1%102.5K-1.9M-24.3K1.036.41N/AN/A38395,7243,734
2010-03-02$26.97$27.9416.1%4.6%19.5%15.0%18.9%-2.9%0.2%139.2K-1.4M-23.9K0.0626.10N/AN/A477295,7273,769
2010-03-03$26.74$27.9411.9%3.4%19.7%4.8%65.0%-4.0%7.3%103.8K-1.5M-23.5K1.386.43N/AN/A28395,8593,792
2010-03-04$26.69$27.9411.5%3.3%19.5%3.7%63.0%-5.3%8.6%102.9K-1.2M-23.3K0.006.77N/AN/A8805,8723,818
2010-03-05$26.99$27.9411.5%5.1%17.5%3.9%41.3%-2.4%2.4%123.3K-1.7M-24.2K0.008.04N/AN/A21,540115,9423,818
2010-03-08$26.95$27.9411.0%5.2%16.8%2.5%18.0%-0.5%2.7%151.8K-1.4M-26.0K0.039.25N/AN/A727195,9283,829
2010-03-09$26.89$27.9411.7%5.2%16.5%4.3%0.0%-1.8%2.0%148.2K-1.5M-25.7K4.6611.14N/AN/A653056,0663,821
2010-03-10$27.08$27.9411.7%4.9%16.4%4.5%17.2%17.6%3.8%192.9K-2.0M-26.8K0.6311.79N/AN/A29186,1164,117
2010-03-11$26.95$27.9419.2%5.5%16.4%24.5%19.1%-0.8%1.4%166.9K-1.6M-26.8K3.699.49N/AN/A341276,1334,115
2010-03-12$26.27$27.9418.3%5.3%17.5%23.6%18.1%-2.5%0.9%83.1K58.4K-23.6K1.2913.68N/AN/A68876,0914,239
2010-03-15$26.67$27.9419.3%5.5%18.5%26.3%19.2%-1.0%1.2%89.0K-751.9K-24.6K0.5110.81N/AN/A74386,0974,304
2010-03-16$26.95$27.9418.8%5.4%17.3%25.1%18.9%-1.8%1.4%122.9K-1.1M-26.0K0.029.66N/AN/A21446,1524,321
2010-03-17$27.18$27.9417.2%4.9%17.5%20.4%17.2%20.6%3.5%189.8K-1.9M-26.8K0.0711.12N/AN/A384266,2354,324
2010-03-18$26.87$27.9417.4%5.0%17.9%25.3%21.4%0.2%2.4%152.9K-1.5M-27.3K2.7812.28N/AN/A19546,5774,321
2010-03-19$26.55$27.9418.7%5.4%17.8%29.7%16.6%1.3%3.5%99.6K-545.9K-25.4K0.0318.39N/AN/A420116,5884,372
2010-03-22$26.32$27.9417.9%5.1%17.0%27.1%18.1%-0.9%2.1%109.9K-190.9K-23.3K0.355.28N/AN/A248885,9824,188
2010-03-23$26.64$27.9414.9%4.3%17.3%17.2%17.1%-0.3%2.7%140.5K-444.6K-25.0K0.0417.45N/AN/A303136,1814,276
2010-03-24$26.30$27.9414.6%4.2%17.8%16.0%0.0%-3.5%0.2%127.6K-547.0K-24.8K0.304.10N/AN/A58176,2774,286
2010-03-25$25.86$27.9412.9%3.7%18.7%10.3%13.2%1.1%6.9%100.0K521.3K-22.4K0.236.10N/AN/A350816,3204,303
2010-03-26$25.69$27.9414.3%4.1%18.4%15.2%14.9%0.7%5.4%90.1K961.3K-20.4K1.365.45N/AN/A24326,5264,342
2010-03-29$25.98$27.9413.2%3.8%17.8%11.3%0.0%2.4%6.6%104.7K235.8K-22.7K0.125.10N/AN/A531626,5364,353
2010-03-30$25.98$27.9413.6%3.9%17.8%12.6%23.5%1.5%4.9%114.1K544.8K-22.3K0.005.88N/AN/A11406,6034,415
2010-03-31$25.81$27.9416.2%4.6%17.7%21.6%18.3%2.0%4.2%104.7K637.4K-20.6K0.016.56N/AN/A36556,6934,415