PPL Options History — July 2010

In July 2010, PPL traded between $23.47 and $25.61. ATM implied volatility averaged 24.1%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.8% (HV 20d: 24.9%). Max pain ranged from $23.29 to $25.61. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2010-07-30: Highest Volume — 2,623 contracts
  • 2010-07-15: Largest IV spike — 60.8% change
  • 2010-07-07: Highest IV Rank — 71.0%
  • 2010-07-14: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.56$23.47$25.61$23.47$25.42
Max Pain$23.51$23.29$25.61$25.61$23.29
ATM IV24.1%17.1%28.5%26.4%20.3%
Expected Move7.3%5.8%8.2%7.6%5.8%
HV 20d24.9%16.9%32.1%32.1%17.1%
HV 60d29.7%25.8%31.4%30.9%25.9%
IV Rank54.1%27.5%71.0%63.0%39.4%
IV Percentile57.3%13.5%89.3%78.2%24.6%
Term Structure0.2%-1.6%3.0%2.6%2.0%
VWIV24.8%19.0%28.0%26.4%20.4%
Skew 25d5.1%1.1%10.8%3.6%1.1%
Skew 10d11.4%-1.8%17.2%4.3%5.1%
Call IV 25d21.6%14.6%25.7%20.6%20.9%
Put IV 25d26.7%22.0%29.4%24.2%22.0%
Bid-Ask Spread %22.6511.6831.8811.6827.41
Gamma HHI0.480.370.690.690.47
Net GEX164.0K-762.7K985.0K-762.7K985.0K
Net DEX-8.1M-19.8M8.6M8.6M-19.8M
Net VEX-73.2K-86.0K-64.3K-86.0K-76.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.013.900.183.79
Total Volume965.4291012,6231,5132,623
Total OI30,146.90518,52338,75936,52024,639

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$23.47$25.6126.4%7.6%32.1%63.0%26.4%3.6%2.6%-762.7K8.6M-86.0K0.1811.68N/AN/A1,28223116,33220,188
2010-07-02$23.71$25.6125.0%7.2%30.1%57.4%24.9%7.6%3.0%-719.5K4.7M-85.2K0.2015.85N/AN/A1,19623516,98220,088
2010-07-06$23.94$23.2927.2%8.0%29.4%65.7%27.4%3.5%-0.5%-702.1K2.4M-82.8K0.2923.08N/AN/A53415217,84720,210
2010-07-07$24.40$23.2928.5%7.9%29.8%71.0%25.1%5.9%-0.7%-438.0K-3.3M-80.7K0.3224.86N/AN/A80325618,24020,086
2010-07-08$24.35$23.2924.4%8.0%29.1%55.4%26.0%5.7%-0.5%-344.5K-4.1M-78.4K0.2422.46N/AN/A57314018,82619,933
2010-07-09$24.42$23.2923.2%7.5%27.6%50.8%25.9%3.5%1.2%-329.0K-5.1M-78.9K0.0126.96N/AN/A100118,76019,693
2010-07-12$24.39$23.2920.2%8.0%27.5%39.4%26.2%4.8%-0.4%110.4K-6.6M-68.8K0.1025.40N/AN/A2462518,78019,639
2010-07-13$24.34$23.2924.0%8.1%27.5%53.5%25.8%2.6%-0.9%46.8K-6.5M-68.3K1.1116.10N/AN/A15116918,93119,631
2010-07-14$24.06$23.2917.1%8.2%27.7%27.5%27.4%4.4%-1.6%-306.7K-370.4K-76.4K0.8126.71N/AN/A12810318,93619,473
2010-07-15$24.39$23.2927.5%7.9%28.1%67.1%27.3%5.1%0.3%391.6K-7.3M-67.0K0.6929.33N/AN/A18512718,99919,506
2010-07-16$23.96$23.2927.6%7.9%28.9%67.4%28.0%4.2%-0.6%-192.2K-4.9M-66.6K0.7724.23N/AN/A20916119,04019,601
2010-07-19$24.41$23.2926.2%7.5%29.7%62.1%24.5%5.3%-0.3%502.6K-10.0M-64.3K0.2619.37N/AN/A47612311,9916,532
2010-07-20$24.70$23.2924.6%7.1%29.4%56.0%24.5%5.3%-1.4%568.0K-11.6M-64.7K0.1623.85N/AN/A5629012,3756,528
2010-07-21$24.53$23.2924.7%7.1%20.0%56.3%24.6%3.0%0.1%597.5K-11.6M-66.4K3.9025.01N/AN/A4001,56112,7986,581
2010-07-22$24.97$23.2922.9%6.6%18.8%49.5%25.0%6.8%0.4%498.7K-12.7M-70.6K1.7419.17N/AN/A8211,43113,0347,951
2010-07-23$24.83$23.2923.5%6.7%18.8%51.8%22.9%4.4%0.1%590.7K-12.8M-69.6K0.8831.88N/AN/A18516213,5707,656
2010-07-26$24.98$23.2922.9%6.6%18.7%49.5%24.5%7.6%0.9%603.1K-13.5M-68.7K0.3017.54N/AN/A1905713,6727,795
2010-07-27$25.35$23.2922.7%6.5%18.2%48.7%19.0%9.0%0.7%667.5K-16.1M-66.7K0.0524.47N/AN/A1,5937613,7817,802
2010-07-28$25.61$23.2923.1%6.6%16.9%50.3%20.0%10.8%0.4%822.5K-19.2M-73.0K0.1423.26N/AN/A1,48520315,0577,788
2010-07-29$25.47$23.2924.0%6.9%17.0%53.8%24.3%2.4%-0.5%854.5K-19.4M-76.6K0.0717.01N/AN/A1,1507915,8727,942
2010-07-30$25.42$23.2920.3%5.8%17.1%39.4%20.4%1.1%2.0%985.0K-19.8M-76.6K3.7927.41N/AN/A5482,07516,6398,000