PPL Options History — April 2010

In April 2010, PPL traded between $23.06 and $26.68. ATM implied volatility averaged 19.5%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.8% (HV 20d: 20.4%). Max pain ranged from $25.61 to $27.94. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2010-04-28: Highest Volume — 5,675 contracts
  • 2010-04-05: Largest IV spike — 42.7% change
  • 2010-04-28: Highest IV Rank — 78.5%
  • 2010-04-28: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.75$23.06$26.68$26.34$23.06
Max Pain$26.94$25.61$27.94$27.94$25.61
ATM IV19.5%12.1%31.4%13.1%28.5%
Expected Move6.2%3.8%9.0%3.8%8.2%
HV 20d20.4%15.9%35.0%19.4%33.7%
HV 60d19.3%17.9%25.0%18.6%25.0%
IV Rank34.6%7.6%78.5%11.0%67.7%
IV Percentile28.1%5.2%90.1%6.0%84.1%
Term Structure-0.1%-2.3%6.2%6.2%-0.2%
VWIV20.7%13.7%30.8%13.7%28.4%
Skew 25d3.3%-1.5%5.0%4.9%4.3%
Skew 10d12.3%-1.7%39.3%7.8%13.2%
Call IV 25d17.9%13.2%24.8%14.8%24.8%
Put IV 25d21.2%12.3%29.2%19.7%29.1%
Bid-Ask Spread %24.386.0842.416.0815.22
Gamma HHI0.620.400.780.750.63
Net GEX87.0K-331.2K210.7K154.7K-331.2K
Net DEX-389.3K-6.4M10.2M-566.2K10.2M
Net VEX-36.3K-52.3K-23.2K-26.2K-50.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.024.880.560.36
Total Volume1,114.857455,675453,411
Total OI13,604.38111,39221,22511,39221,225

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$26.34$27.9413.1%3.8%19.4%11.0%13.7%4.9%6.2%154.7K-566.2K-26.2K0.566.08N/AN/A29166,9794,413
2010-04-05$26.34$27.9418.7%6.2%18.9%30.2%19.3%2.7%-0.5%160.6K-506.7K-25.0K2.5432.37N/AN/A541366,9874,418
2010-04-06$26.60$27.9412.1%6.2%19.3%7.6%20.0%-0.9%-0.6%170.1K-481.3K-25.8K0.2732.50N/AN/A3901047,0034,465
2010-04-07$26.24$27.9414.1%6.2%19.8%14.4%19.7%1.7%-0.8%145.5K107.8K-24.6K0.4929.11N/AN/A196977,0854,557
2010-04-08$26.08$27.9414.3%5.9%19.6%15.0%20.4%1.5%-1.2%131.6K494.1K-23.2K3.4332.61N/AN/A23777,0854,557
2010-04-09$26.06$27.9413.8%5.7%19.6%13.4%20.0%-1.5%0.3%125.1K596.8K-24.7K0.5342.41N/AN/A2601397,2584,731
2010-04-12$26.21$27.9415.1%6.0%17.6%17.8%21.0%4.1%-0.2%139.6K-45.6K-28.3K0.1620.99N/AN/A6261017,4604,858
2010-04-13$26.28$27.9415.8%6.0%16.7%20.2%20.8%3.8%-1.2%178.3K-528.5K-30.1K0.8829.34N/AN/A3403017,9624,914
2010-04-14$26.35$27.9418.5%6.0%16.2%29.6%20.6%3.9%-0.9%178.5K-559.5K-33.3K0.4923.28N/AN/A86428,2565,201
2010-04-15$26.16$27.9420.4%5.8%15.9%37.3%17.5%3.7%-0.3%170.0K-514.0K-33.2K0.0725.89N/AN/A331248,3145,238
2010-04-16$25.59$27.9420.3%5.8%17.2%37.9%20.1%4.5%-1.2%136.0K626.2K-30.9K1.5026.84N/AN/A8061,2128,6105,262
2010-04-19$25.52$27.9419.6%5.6%16.9%35.4%22.1%3.9%0.0%-21.7K-1.0M-37.7K0.7627.50N/AN/A5774407,0024,971
2010-04-20$25.99$25.6119.7%5.6%18.1%35.6%19.6%4.7%0.5%42.6K-3.1M-43.4K0.4512.71N/AN/A2351067,5595,378
2010-04-21$25.92$25.6119.4%5.6%17.5%34.6%19.4%5.0%0.4%55.1K-3.1M-44.2K0.0612.85N/AN/A362207,7355,447
2010-04-22$26.09$25.6120.3%5.8%17.1%37.8%20.3%4.1%-0.2%109.0K-3.8M-45.9K1.7029.38N/AN/A711208,0945,457
2010-04-23$26.68$25.6121.2%6.1%17.7%41.1%17.6%4.5%0.7%184.6K-6.4M-50.3K0.7636.16N/AN/A9877498,1465,498
2010-04-26$26.40$25.6122.1%6.3%18.0%44.4%20.3%3.7%0.4%210.7K-6.2M-52.3K0.2118.61N/AN/A189408,8845,855
2010-04-27$25.83$25.6122.6%6.5%19.4%46.3%14.8%3.7%0.1%128.5K-4.2M-51.7K0.0215.51N/AN/A17648,9945,889
2010-04-28$23.84$25.6131.4%9.0%34.3%78.5%30.8%3.2%-2.3%37.0K2.2M-38.2K4.8828.48N/AN/A9654,7109,1565,893
2010-04-29$23.29$25.6129.4%8.4%35.0%71.2%29.4%4.5%-1.6%-277.8K8.6M-42.8K2.6214.05N/AN/A1,3423,5189,5689,328
2010-04-30$23.06$25.6128.5%8.2%33.7%67.7%28.4%4.3%-0.2%-331.2K10.2M-50.1K0.3615.22N/AN/A2,50490710,41010,815