PPL Options History — August 2010

In August 2010, PPL traded between $24.26 and $25.88. ATM implied volatility averaged 22.2%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.7% (HV 20d: 20.5%). Max pain ranged from $24.22 to $25.15. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2010-08-05: Highest Volume — 3,853 contracts
  • 2010-08-09: Largest IV spike — 21.5% change
  • 2010-08-16: Highest IV Rank — 59.7%
  • 2010-08-16: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.03$24.26$25.88$25.88$25.30
Max Pain$24.98$24.22$25.15$24.22$25.15
ATM IV22.2%18.1%23.7%20.9%22.2%
Expected Move6.4%5.9%6.8%6.0%6.4%
HV 20d20.5%17.0%22.5%17.7%20.6%
HV 60d25.1%23.0%26.5%26.1%23.0%
IV Rank52.3%35.6%59.7%41.8%53.2%
IV Percentile40.6%15.9%58.3%28.2%38.9%
Term Structure0.6%-1.7%4.3%-0.0%0.4%
VWIV22.0%16.5%25.2%21.9%21.5%
Skew 25d4.6%1.1%10.1%10.1%3.2%
Skew 10d6.5%-1.5%16.2%12.4%-0.9%
Call IV 25d19.4%13.0%22.1%13.0%19.2%
Put IV 25d24.0%21.8%26.2%23.1%22.4%
Bid-Ask Spread %23.7120.1729.5922.0322.90
Gamma HHI0.330.220.420.350.33
Net GEX386.4K-178.9K782.8K674.4K767.3K
Net DEX-11.2M-21.4M-2.9M-21.4M-12.4M
Net VEX-74.4K-82.1K-67.4K-78.8K-74.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.027.780.590.50
Total Volume819.4091673,853469298
Total OI26,740.40920,67930,90726,34523,182

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$25.88$24.2220.9%6.0%17.7%41.8%21.9%10.1%-0.0%674.4K-21.4M-78.8K0.5922.03N/AN/A29417516,6339,712
2010-08-03$25.73$24.2220.9%6.0%17.9%41.8%21.1%2.4%0.1%676.8K-20.3M-77.8K0.2329.59N/AN/A3117316,6669,741
2010-08-04$25.82$24.2220.5%5.9%17.0%40.5%16.5%9.7%-0.3%705.2K-21.0M-78.0K0.2623.40N/AN/A44811616,8789,811
2010-08-05$24.90$24.2221.6%6.2%21.9%50.5%22.1%1.1%0.4%607.1K-12.9M-78.1K6.7020.82N/AN/A5003,35317,1699,853
2010-08-06$24.94$25.1518.1%6.3%21.9%35.6%22.1%3.8%-1.3%217.1K-10.8M-82.1K1.0322.75N/AN/A28028917,33112,419
2010-08-09$24.72$25.1522.0%6.1%22.2%52.5%21.6%4.2%1.4%131.2K-9.1M-79.9K6.1324.03N/AN/A1841,12517,40612,593
2010-08-10$24.62$25.1523.7%6.7%22.2%59.6%22.2%4.9%-0.9%-8.1K-7.4M-81.5K7.7822.87N/AN/A1831,41917,45713,267
2010-08-11$24.26$25.1523.2%6.6%22.5%57.6%23.2%4.9%-0.4%-178.9K-2.9M-78.4K0.0828.20N/AN/A2,35019617,55313,354
2010-08-12$24.62$25.1523.3%6.7%22.5%58.2%24.1%9.4%0.1%15.9K-7.2M-75.7K1.7922.60N/AN/A8815816,99412,464
2010-08-13$25.04$25.1522.7%6.5%22.1%55.5%22.7%3.1%-0.2%117.9K-11.2M-74.7K3.3127.36N/AN/A27490516,27412,547
2010-08-16$25.08$25.1523.7%6.8%21.2%59.7%22.8%2.3%0.7%92.5K-10.2M-76.6K0.2323.01N/AN/A1363116,44813,269
2010-08-17$25.20$25.1523.5%6.7%20.9%59.0%21.3%7.0%-1.4%212.4K-13.2M-71.8K0.2121.85N/AN/A2625516,50713,261
2010-08-18$25.05$25.1522.9%6.6%20.9%56.4%20.6%4.0%-0.3%252.4K-11.0M-71.6K0.0420.62N/AN/A2951216,70913,281
2010-08-19$24.86$25.1523.0%6.6%20.1%56.6%25.2%4.1%0.6%191.7K-9.3M-69.7K0.0223.73N/AN/A210316,86813,282
2010-08-20$24.74$25.1522.9%6.6%20.1%56.1%22.7%4.4%2.6%107.6K-8.5M-69.4K0.1128.14N/AN/A2683016,94713,285
2010-08-23$24.75$25.1521.4%6.1%20.0%49.7%21.2%2.6%4.0%584.0K-7.8M-67.4K0.6521.42N/AN/A46129713,3327,347
2010-08-24$24.78$25.1522.6%6.5%19.2%54.8%22.7%4.2%2.9%588.4K-8.1M-68.1K0.4623.73N/AN/A1788313,5217,486
2010-08-25$24.82$25.1521.6%6.2%18.7%50.5%22.1%4.7%4.3%584.2K-8.1M-68.4K0.5424.30N/AN/A1457813,6577,522
2010-08-26$24.80$25.1521.1%6.1%18.7%48.5%23.9%3.3%3.5%600.1K-8.5M-68.3K0.1125.62N/AN/A8959413,7367,577
2010-08-27$25.52$25.1522.3%6.4%21.4%53.6%21.5%5.9%-0.8%778.2K-13.3M-72.5K0.2120.17N/AN/A81116714,4137,657
2010-08-30$25.26$25.1523.5%6.7%20.6%58.9%21.4%2.1%-1.7%782.8K-12.4M-73.8K0.7022.49N/AN/A29320415,1357,745
2010-08-31$25.30$25.1522.2%6.4%20.6%53.2%21.5%3.2%0.4%767.3K-12.4M-74.9K0.5022.90N/AN/A1999915,2867,896