PPL Options History — June 2010

In June 2010, PPL traded between $22.58 and $24.27. ATM implied volatility averaged 26.3%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 3.3% (HV 20d: 29.6%). Max pain ranged from $23.29 to $27.94. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.73.

Notable Days

  • 2010-06-07: Highest Volume — 52,488 contracts
  • 2010-06-23: Largest IV drop — 16.1% change
  • 2010-06-01: Highest IV Rank — 75.5%
  • 2010-06-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.64$22.58$24.27$23.54$23.24
Max Pain$25.51$23.29$27.94$23.29$25.61
ATM IV26.3%23.1%30.6%30.6%26.7%
Expected Move7.6%6.6%8.8%8.8%7.7%
HV 20d29.6%23.8%33.3%26.2%31.9%
HV 60d29.0%27.0%31.0%27.0%30.9%
IV Rank61.8%50.1%75.5%75.5%64.0%
IV Percentile72.7%44.0%93.3%93.3%79.8%
Term Structure1.5%-1.7%3.5%-1.7%1.9%
VWIV27.9%20.6%65.2%30.6%26.7%
Skew 25d2.2%-7.8%8.4%4.1%2.0%
Skew 10d1.7%-12.5%12.1%-1.9%3.2%
Call IV 25d24.2%19.1%27.7%27.7%20.5%
Put IV 25d26.4%18.6%32.9%31.8%22.5%
Bid-Ask Spread %16.097.5224.3620.6611.25
Gamma HHI0.480.290.780.380.67
Net GEX-216.0K-1.4M211.5K148.1K-725.1K
Net DEX4.3M-3.3M30.8M-535.6K11.3M
Net VEX-59.5K-88.0K-46.2K-50.4K-83.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.730.0011.321.770.50
Total Volume4,968.6822652,48892280
Total OI24,706.09117,51338,69619,10936,379

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$23.54$23.2930.6%8.8%26.2%75.5%30.6%4.1%-1.7%148.1K-535.6K-50.4K1.7720.66N/AN/A335911,8987,211
2010-06-02$24.01$23.2928.5%8.2%26.8%68.0%28.5%4.5%-1.3%181.9K-1.6M-49.6K0.1220.65N/AN/A1842111,9017,248
2010-06-03$24.15$23.2927.8%8.0%26.8%65.1%27.8%5.1%-1.3%211.5K-2.4M-50.6K5.6324.29N/AN/A2011511,9407,257
2010-06-04$23.37$25.6127.4%8.1%29.6%63.8%27.8%5.3%1.1%114.0K630.5K-46.2K11.3217.00N/AN/A2426711,9417,172
2010-06-07$23.83$25.6130.2%8.3%30.3%74.1%65.2%4.5%0.3%134.8K-976.3K-47.3K0.0016.10N/AN/A52,3959311,9507,330
2010-06-08$23.56$25.6128.0%8.1%28.4%65.9%31.4%4.7%1.4%120.1K-321.6K-47.3K6.4319.25N/AN/A1831,17411,7897,343
2010-06-09$23.18$25.6127.1%7.9%28.9%65.7%25.6%5.2%1.7%39.3K1.7M-52.1K0.3624.36N/AN/A1154111,8248,398
2010-06-10$23.83$25.6126.8%7.7%30.3%64.2%26.8%5.5%2.0%95.0K-882.3K-53.6K0.6320.85N/AN/A17210711,8308,396
2010-06-11$23.79$25.6126.0%7.5%30.2%61.5%26.1%5.7%2.3%92.6K-854.8K-53.9K0.0219.76N/AN/A48111,9288,439
2010-06-14$23.89$25.6127.1%7.8%30.2%65.6%25.1%0.0%1.4%106.6K-1.7M-52.7K0.1316.62N/AN/A751011,9418,438
2010-06-15$24.10$25.6125.8%7.4%29.1%60.7%24.4%1.3%1.9%149.6K-2.2M-51.5K0.1717.63N/AN/A761311,9378,428
2010-06-16$24.20$25.6124.8%7.1%28.7%56.9%24.8%1.0%3.2%177.6K-3.3M-51.0K0.3613.37N/AN/A541911,9868,415
2010-06-17$24.24$25.6124.9%7.1%28.7%56.9%0.0%3.2%2.8%183.6K-3.3M-50.4K0.0417.61N/AN/A25111,9548,380
2010-06-18$24.27$25.6123.1%6.6%23.8%50.1%20.6%2.5%3.5%189.6K-3.3M-49.3K0.8214.31N/AN/A302511,9438,381
2010-06-21$23.90$25.6125.8%7.4%24.6%60.6%26.3%-2.3%3.0%168.3K-599.8K-48.0K10.9715.23N/AN/A5526,05410,3807,133
2010-06-22$22.58$25.6127.9%8.0%31.9%68.7%27.5%8.4%-0.6%-335.2K11.4M-51.1K10.027.52N/AN/A2,16621,70810,76612,497
2010-06-23$23.19$27.9423.4%6.7%33.2%51.5%23.4%1.1%2.4%-1.4M30.8M-76.9K2.7510.00N/AN/A2,5727,07312,30226,394
2010-06-24$23.04$27.9423.3%6.7%33.3%50.8%23.0%-7.8%1.5%-1.2M22.5M-82.9K6.2512.26N/AN/A1,3548,46313,90724,115
2010-06-25$23.22$25.6123.9%6.9%32.6%53.5%24.0%-6.5%2.2%-1.3M16.2M-87.8K0.4710.50N/AN/A99446914,68223,034
2010-06-28$23.69$25.6124.0%6.9%33.2%53.6%24.0%-3.1%2.8%-1.2M10.3M-88.0K1.1813.37N/AN/A53763115,59522,764
2010-06-29$23.31$25.6126.5%7.6%32.8%63.1%26.5%4.2%2.8%-759.2K11.2M-83.6K0.2011.41N/AN/A89917915,84420,144
2010-06-30$23.24$25.6126.7%7.7%31.9%64.0%26.7%2.0%1.9%-725.1K11.3M-83.8K0.5011.25N/AN/A1879316,19220,187