PPL Options History — October 2010

In October 2010, PPL traded between $24.63 and $26.01. ATM implied volatility averaged 18.6%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.7% (HV 20d: 11.9%). Max pain ranged from $25.15 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 0.43.

Notable Days

  • 2010-10-06: Highest Volume — 2,246 contracts
  • 2010-10-13: Largest IV spike — 30.5% change
  • 2010-10-13: Highest IV Rank — 54.4%
  • 2010-10-27: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.52$24.63$26.01$25.56$25.02
Max Pain$25.17$25.15$25.61$25.61$25.15
ATM IV18.6%17.2%22.5%17.2%18.4%
Expected Move5.4%4.9%5.9%4.9%5.3%
HV 20d11.9%10.2%14.5%11.5%14.5%
HV 60d16.6%14.9%17.8%17.5%14.9%
IV Rank37.7%31.5%54.4%31.5%36.6%
IV Percentile23.6%14.7%48.8%14.7%23.0%
Term Structure1.1%0.2%3.8%3.8%0.7%
VWIV18.9%17.2%20.7%17.2%18.4%
Skew 25d3.6%-1.0%8.1%-1.0%7.6%
Skew 10d7.2%-1.1%13.0%-1.1%2.0%
Call IV 25d17.2%12.5%18.9%15.0%12.5%
Put IV 25d20.8%14.0%23.0%14.0%20.1%
Bid-Ask Spread %25.0814.2633.7514.2622.02
Gamma HHI0.370.190.660.530.21
Net GEX1.4M527.0K3.5M1.5M774.6K
Net DEX-11.4M-17.8M-2.2M-12.9M-5.7M
Net VEX-73.9K-80.7K-63.8K-76.6K-70.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.031.711.710.16
Total Volume744.8572272,246541916
Total OI23,384.85717,89027,68125,56521,469

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$25.56$25.6117.2%4.9%11.5%31.5%17.2%-1.0%3.8%1.5M-12.9M-76.6K1.7114.26N/AN/A20034116,3269,239
2010-10-04$25.73$25.1517.3%5.9%11.7%32.2%20.7%3.9%0.5%1.6M-14.6M-76.0K0.2929.91N/AN/A78222416,4059,454
2010-10-05$26.01$25.1518.9%5.5%12.2%38.9%19.2%3.4%1.3%1.4M-17.8M-75.1K0.3219.69N/AN/A62520216,1499,596
2010-10-06$25.76$25.1518.2%5.8%11.1%36.0%20.1%3.2%1.0%1.5M-14.6M-74.6K0.0318.93N/AN/A2,1757116,0369,619
2010-10-07$25.75$25.1518.5%5.9%11.1%37.0%20.5%3.9%0.4%1.5M-15.3M-80.7K0.9519.86N/AN/A16115417,2519,673
2010-10-08$25.81$25.1517.7%5.5%11.1%33.6%19.1%4.1%1.5%1.6M-15.9M-79.6K0.3319.57N/AN/A2277417,3089,644
2010-10-11$25.78$25.1517.5%5.6%11.1%33.0%19.5%3.5%1.0%2.0M-15.8M-77.4K0.1225.34N/AN/A3003517,4389,633
2010-10-12$25.65$25.1517.2%5.2%10.2%31.7%18.5%4.0%1.8%2.0M-14.2M-75.8K0.2126.30N/AN/A3106417,4599,610
2010-10-13$25.82$25.1522.5%5.1%10.2%54.4%17.9%3.5%1.5%1.8M-17.1M-75.0K0.1327.66N/AN/A4956317,6379,649
2010-10-14$25.68$25.1518.8%5.4%10.5%38.3%18.5%4.0%0.2%2.7M-14.8M-75.3K0.1831.02N/AN/A55810017,7139,700
2010-10-15$25.64$25.1518.2%5.2%10.5%36.0%17.9%2.8%1.2%3.5M-14.3M-72.9K0.1030.45N/AN/A6466817,9029,779
2010-10-18$26.01$25.1517.8%5.1%11.2%34.2%17.5%2.3%0.8%934.2K-11.5M-73.1K0.1226.81N/AN/A1,03212212,6285,262
2010-10-19$25.88$25.1518.4%5.3%11.5%36.8%18.8%3.5%0.4%993.3K-11.2M-75.8K0.6923.91N/AN/A29820513,3855,281
2010-10-20$25.97$25.1517.6%5.0%10.8%33.3%17.3%3.0%0.3%1.0M-12.0M-77.6K0.9126.81N/AN/A39936513,6245,461
2010-10-21$25.57$25.1519.2%5.5%12.2%40.3%18.0%3.1%1.4%929.5K-9.2M-75.6K0.1627.55N/AN/A5338713,8255,640
2010-10-22$25.06$25.1519.3%5.5%13.9%40.8%19.6%1.1%1.1%819.9K-6.9M-73.1K0.9021.99N/AN/A45541014,1885,659
2010-10-25$25.05$25.1519.5%5.6%13.4%41.6%18.9%3.5%0.2%748.6K-5.6M-70.6K0.4027.37N/AN/A2449814,2725,877
2010-10-26$24.91$25.1519.6%5.6%13.5%42.0%20.1%2.8%0.2%698.2K-4.5M-67.8K0.2033.75N/AN/A1893814,3985,948
2010-10-27$24.68$25.1520.6%5.9%13.7%46.3%20.7%8.1%1.4%590.8K-3.0M-65.2K0.8223.55N/AN/A18114814,4325,979
2010-10-28$24.63$25.1518.3%5.3%13.5%36.5%18.2%4.8%2.8%527.0K-2.2M-63.8K0.2029.88N/AN/A1,70634114,4406,094
2010-10-29$25.02$25.1518.4%5.3%14.5%36.6%18.4%7.6%0.7%774.6K-5.7M-70.9K0.1622.02N/AN/A79312315,1966,273