PPL Options History — September 2010

In September 2010, PPL traded between $24.82 and $25.94. ATM implied volatility averaged 19.7%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.7% (HV 20d: 17.0%). Max pain ranged from $23.29 to $25.61. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2010-09-07: Highest Volume — 41,986 contracts
  • 2010-09-08: Largest IV spike — 29.5% change
  • 2010-09-17: Highest IV Rank — 49.1%
  • 2010-09-03: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.36$24.82$25.94$25.94$25.36
Max Pain$24.95$23.29$25.61$25.15$25.61
ATM IV19.7%16.1%21.2%21.0%18.0%
Expected Move5.8%5.2%6.4%6.0%5.2%
HV 20d17.0%11.3%22.5%22.5%11.3%
HV 60d20.4%17.4%23.4%23.4%17.4%
IV Rank42.4%26.8%49.1%47.9%35.1%
IV Percentile24.9%11.9%35.3%30.2%16.3%
Term Structure2.3%1.1%4.3%2.6%4.3%
VWIV21.1%16.9%38.8%21.0%18.0%
Skew 25d4.1%-3.1%7.7%7.7%-3.1%
Skew 10d6.2%-0.9%12.5%10.3%-0.5%
Call IV 25d17.4%12.8%21.3%15.6%15.9%
Put IV 25d21.5%12.7%24.4%23.3%12.7%
Bid-Ask Spread %19.5410.9327.2522.1914.34
Gamma HHI0.410.300.520.320.50
Net GEX1.0M800.3K1.4M923.6K1.3M
Net DEX-11.2M-17.0M-6.4M-17.0M-11.3M
Net VEX-78.2K-81.6K-74.7K-75.3K-77.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.023.840.220.17
Total Volume2,608.85718541,9861,049284
Total OI24,430.23823,35025,64523,35025,449

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$25.94$25.1521.0%6.0%22.5%47.9%21.0%7.7%2.6%923.6K-17.0M-75.3K0.2222.19N/AN/A86318615,4327,918
2010-09-02$25.75$25.1520.6%5.9%18.2%46.4%22.6%5.0%3.7%930.9K-16.5M-78.0K0.1720.40N/AN/A5519315,9227,916
2010-09-03$25.80$23.2918.3%6.4%18.2%36.3%21.7%2.7%1.3%960.1K-16.2M-76.8K0.3821.82N/AN/A57021916,0177,936
2010-09-07$25.65$23.2916.1%6.2%18.0%26.8%38.8%2.7%1.9%954.7K-15.6M-76.6K0.0222.42N/AN/A41,21477216,3118,064
2010-09-08$25.23$25.6120.8%6.2%19.0%47.3%24.5%3.7%1.9%834.5K-8.9M-79.3K0.3627.25N/AN/A74626514,6668,759
2010-09-09$25.26$25.6121.2%6.1%18.1%48.9%21.2%4.6%1.1%907.1K-9.6M-81.6K0.1223.89N/AN/A2352815,0258,759
2010-09-10$25.37$25.6121.2%6.1%17.5%49.0%21.4%3.2%1.2%952.1K-10.0M-81.0K0.2721.17N/AN/A3108415,0568,771
2010-09-13$25.40$25.6121.1%6.1%16.6%48.5%20.6%1.4%1.2%1.1M-10.6M-78.6K0.1422.52N/AN/A5658215,1958,844
2010-09-14$25.09$25.6120.7%5.9%17.2%46.6%20.4%6.0%1.8%889.2K-8.2M-76.9K0.4817.94N/AN/A45221815,4098,884
2010-09-15$25.00$25.6121.1%6.0%17.1%48.4%21.1%5.6%1.2%850.4K-7.6M-78.3K3.8416.81N/AN/A9737115,6858,998
2010-09-16$24.95$25.6119.8%5.7%17.0%42.8%22.3%5.7%2.4%800.3K-6.4M-77.6K0.1120.23N/AN/A9169915,7559,343
2010-09-17$24.91$24.2221.2%6.1%16.8%49.1%19.1%5.5%1.5%911.9K-6.5M-79.7K0.5820.72N/AN/A1176816,2279,418
2010-09-20$24.82$24.2220.5%5.9%16.8%45.8%18.9%2.9%1.5%899.8K-6.5M-74.7K0.3520.79N/AN/A48216615,0338,661
2010-09-21$24.89$24.2220.1%5.8%16.8%44.2%19.2%3.1%1.1%958.8K-7.1M-75.7K0.8222.72N/AN/A25821015,1808,732
2010-09-22$25.21$24.2219.2%5.5%17.4%40.2%19.8%4.4%3.4%1.1M-9.5M-77.9K0.9317.50N/AN/A66762115,3248,880
2010-09-23$25.36$24.2219.0%5.4%17.5%39.4%20.5%5.2%3.7%1.2M-10.8M-80.9K0.8717.72N/AN/A42536915,8808,977
2010-09-24$25.53$24.2218.0%5.2%17.6%35.0%18.0%5.4%4.3%1.3M-13.3M-79.7K0.0820.53N/AN/A2942416,2308,753
2010-09-27$25.76$25.6118.3%5.2%14.7%36.1%18.2%7.5%2.0%1.4M-15.7M-78.4K0.3310.93N/AN/A61920616,2128,740
2010-09-28$25.69$25.6118.9%5.4%14.2%38.9%18.9%1.6%1.8%1.4M-14.9M-79.4K1.0514.29N/AN/A35237016,4438,875
2010-09-29$25.53$25.6118.8%5.4%14.4%38.4%16.9%4.7%3.4%1.3M-12.2M-78.1K0.3514.24N/AN/A2368216,1669,190
2010-09-30$25.36$25.6118.0%5.2%11.3%35.1%18.0%-3.1%4.3%1.3M-11.3M-77.2K0.1714.34N/AN/A2434116,2409,209