PPL Options History — May 2010

In May 2010, PPL traded between $22.98 and $24.37. ATM implied volatility averaged 28.8%, placing in the 68.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 5.5% (HV 20d: 34.3%). Max pain ranged from $23.29 to $25.61. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2010-05-21: Highest Volume — 1,312 contracts
  • 2010-05-13: Largest IV spike — 26.2% change
  • 2010-05-20: Highest IV Rank — 84.2%
  • 2010-05-20: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.55$22.98$24.37$23.19$24.04
Max Pain$23.75$23.29$25.61$25.61$23.29
ATM IV28.8%22.1%33.0%30.2%26.8%
Expected Move8.3%7.5%9.5%8.7%7.7%
HV 20d34.3%24.9%38.8%33.9%24.9%
HV 60d25.4%24.3%26.8%24.6%26.8%
IV Rank68.9%44.5%84.2%74.0%61.7%
IV Percentile83.4%33.7%95.2%88.5%78.6%
Term Structure-1.0%-2.5%1.2%-2.1%-0.4%
VWIV28.7%23.7%36.3%30.1%26.8%
Skew 25d5.7%-8.7%10.1%9.6%4.0%
Skew 10d9.4%-14.2%19.9%15.4%2.5%
Call IV 25d24.8%16.6%33.1%23.8%23.9%
Put IV 25d30.5%22.9%38.8%33.4%28.0%
Bid-Ask Spread %32.4913.48102.7325.8424.75
Gamma HHI0.470.320.870.530.42
Net GEX-233.2K-2.8M199.0K-244.0K199.0K
Net DEX4.7M-2.2M9.9M8.5M-2.2M
Net VEX-54.2K-61.2K-47.4K-60.5K-53.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.092.730.440.81
Total Volume424.6841,312401185
Total OI22,571.418,01224,14723,54319,041

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$23.19$25.6130.2%8.7%33.9%74.0%30.1%9.6%-2.1%-244.0K8.5M-60.5K0.4425.84N/AN/A27812312,19011,353
2010-05-04$22.98$25.6129.5%8.5%33.3%71.4%29.5%8.1%-1.7%-230.9K9.6M-57.4K0.1323.62N/AN/A5737412,26511,383
2010-05-05$23.00$25.6127.9%8.0%33.3%65.8%27.9%-1.2%-0.2%-238.4K9.8M-54.8K0.5113.48N/AN/A1507712,18311,391
2010-05-06$22.98$25.6127.8%8.0%33.4%65.1%28.3%1.7%-1.0%-238.4K9.9M-50.9K0.54102.73N/AN/A33218012,24511,456
2010-05-07$23.04$23.2929.1%8.4%33.5%70.1%28.8%-8.7%-0.3%-227.5K8.9M-56.3K0.6734.50N/AN/A20313612,51311,551
2010-05-10$23.80$23.2929.3%8.0%36.0%70.8%28.0%10.1%-0.2%-273.0K5.4M-61.2K1.0947.04N/AN/A27429812,52511,617
2010-05-11$23.84$23.2927.5%8.1%36.0%64.2%28.2%7.7%-1.1%-272.8K4.5M-58.3K1.0726.62N/AN/A10411212,59911,511
2010-05-12$24.16$23.2922.1%7.8%36.5%44.5%23.7%9.0%-1.6%-253.0K2.7M-60.0K0.7727.20N/AN/A28021612,61811,529
2010-05-13$23.96$23.2927.9%8.0%36.5%65.6%24.7%4.7%-2.4%-202.4K4.4M-54.0K0.3535.38N/AN/A1073812,66411,259
2010-05-14$23.81$23.2927.6%7.9%35.9%64.4%0.0%5.1%-0.4%-201.0K5.3M-56.0K0.2228.15N/AN/A691512,68711,247
2010-05-17$24.37$23.2930.4%8.7%37.1%74.7%30.3%6.9%-2.0%52.1K1.2M-57.2K0.4835.33N/AN/A45121812,66611,249
2010-05-18$24.04$23.2929.9%8.6%36.5%73.1%28.5%6.1%-1.3%-9.7K2.4M-54.7K2.0928.64N/AN/A347212,69511,231
2010-05-19$24.08$23.2931.1%8.9%36.6%77.2%29.9%5.9%-2.2%-2.0K2.1M-55.4K0.3540.16N/AN/A2649312,71211,235
2010-05-20$23.08$23.2933.0%9.5%38.8%84.2%36.3%9.9%-1.1%-245.7K9.0M-51.2K2.7335.04N/AN/A8322512,80211,264
2010-05-21$23.27$23.2931.4%9.0%37.8%78.6%31.4%8.5%-0.6%-2.8M9.2M-48.9K0.9424.82N/AN/A67763512,80411,298
2010-05-24$23.01$23.2930.2%8.7%37.8%74.1%29.5%8.0%-1.4%82.5K1.6M-47.4K0.0923.43N/AN/A4053711,2206,792
2010-05-25$23.25$23.2928.2%8.1%37.8%66.6%28.1%7.8%1.2%109.2K1.3M-48.0K0.4525.36N/AN/A36016311,5736,820
2010-05-26$23.33$23.2929.9%8.6%25.5%73.0%30.1%6.7%-2.5%135.1K638.5K-48.8K0.8129.32N/AN/A12910411,7076,897
2010-05-27$23.78$23.2926.0%7.5%25.0%58.7%26.0%4.6%0.8%169.2K-817.4K-49.7K1.7118.41N/AN/A26545311,7436,893
2010-05-28$24.04$23.2926.8%7.7%24.9%61.7%26.8%4.0%-0.4%199.0K-2.2M-53.0K0.8124.75N/AN/A1028311,8657,176