PPL Options History — November 2010

In November 2010, PPL traded between $23.56 and $25.16. ATM implied volatility averaged 18.7%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.2% (HV 20d: 16.5%). Max pain ranged from $24.22 to $25.15. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2010-11-01: Highest Volume — 4,910 contracts
  • 2010-11-22: Largest IV drop — 27.3% change
  • 2010-11-26: Highest IV Rank — 53.2%
  • 2010-11-26: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.34$23.56$25.16$24.51$23.67
Max Pain$24.84$24.22$25.15$25.15$24.22
ATM IV18.7%13.7%22.2%20.9%22.0%
Expected Move5.5%3.9%6.4%6.0%6.3%
HV 20d16.5%13.0%18.2%15.8%13.0%
HV 60d15.1%13.5%15.9%15.5%13.5%
IV Rank37.9%16.3%53.2%47.7%52.4%
IV Percentile29.4%8.3%56.3%42.9%55.2%
Term Structure-0.1%-5.4%5.0%1.4%-2.1%
VWIV18.6%13.0%22.0%19.2%22.0%
Skew 25d4.6%-2.9%7.8%-2.9%5.1%
Skew 10d6.7%-2.5%16.6%1.4%7.7%
Call IV 25d16.4%12.1%18.8%18.8%16.8%
Put IV 25d21.0%15.8%23.9%15.8%21.9%
Bid-Ask Spread %35.7221.03107.9323.0128.23
Gamma HHI0.170.160.190.180.16
Net GEX543.6K68.6K1.1M533.8K195.0K
Net DEX-1.9M-8.4M3.4M-2.7M2.4M
Net VEX-67.9K-82.3K-48.1K-64.1K-59.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.023.700.480.19
Total Volume727.3811824,9104,910358
Total OI25,168.47621,07826,49121,07826,356

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$24.51$25.1520.9%6.0%15.8%47.7%19.2%-2.9%1.4%533.8K-2.7M-64.1K0.4823.01N/AN/A3,3221,58814,7096,369
2010-11-02$24.98$25.1518.1%5.2%16.9%35.3%17.9%2.0%0.3%950.4K-7.2M-81.6K1.5625.55N/AN/A23937416,7327,218
2010-11-03$24.78$25.1518.1%5.2%16.8%35.4%13.0%3.1%1.1%838.1K-5.7M-80.5K1.1426.94N/AN/A10812316,9307,592
2010-11-04$24.96$25.1517.4%5.0%17.1%32.3%15.7%5.5%1.2%924.1K-6.7M-80.8K0.9021.03N/AN/A968616,9377,702
2010-11-05$25.15$25.1516.0%5.4%17.4%26.2%19.7%4.2%-1.8%1.1M-8.4M-82.3K0.2726.60N/AN/A2817716,9487,780
2010-11-08$25.16$25.1516.6%5.5%17.4%29.0%19.0%4.5%-2.5%1.1M-8.2M-80.3K0.2323.11N/AN/A2876717,0477,822
2010-11-09$25.05$25.1516.4%5.2%17.4%28.2%19.0%3.1%-0.8%1.1M-7.7M-77.5K0.5725.14N/AN/A19311117,3237,852
2010-11-10$24.78$25.1517.6%5.5%17.5%33.3%17.9%4.0%1.9%857.3K-5.2M-75.9K0.7627.01N/AN/A16712817,4597,901
2010-11-11$24.73$25.1518.0%5.2%17.4%35.1%19.4%4.1%2.7%797.9K-4.8M-74.7K0.0230.88N/AN/A196317,5757,958
2010-11-12$24.33$25.1520.7%5.9%18.2%46.7%17.2%6.5%-0.9%586.2K-2.0M-69.8K0.2426.24N/AN/A54813017,5347,961
2010-11-15$24.27$25.1520.4%5.9%17.0%45.7%20.7%6.0%-1.2%557.6K-1.4M-69.3K1.4146.46N/AN/A12717817,8108,001
2010-11-16$23.98$25.1519.1%5.5%17.3%40.0%20.8%6.3%0.5%323.1K1.3M-63.4K1.5026.89N/AN/A15423017,8778,152
2010-11-17$24.03$25.1518.8%5.4%17.2%38.4%18.7%4.9%1.5%290.0K1.2M-63.9K1.9127.03N/AN/A6913117,9638,318
2010-11-18$24.10$25.1519.3%5.5%16.8%40.8%19.1%3.5%-0.7%349.6K302.9K-65.0K1.7134.04N/AN/A20134418,0038,339
2010-11-19$23.95$24.2218.8%5.4%15.6%38.6%19.1%7.0%0.3%236.2K2.3M-58.9K0.3725.95N/AN/A65624018,1228,369
2010-11-22$24.03$24.2213.7%3.9%15.7%16.3%17.4%5.8%5.0%236.8K228.4K-48.1K3.70107.93N/AN/A4061,50116,2377,333
2010-11-23$23.81$24.2216.6%4.8%15.9%28.9%20.5%7.0%1.5%141.4K2.5M-59.3K0.4147.10N/AN/A57423516,4208,544
2010-11-24$23.69$24.2219.5%5.6%15.7%41.4%19.8%5.3%-0.0%68.6K3.4M-55.4K0.1054.34N/AN/A6866816,5538,742
2010-11-26$23.56$24.2222.2%6.4%15.8%53.2%20.1%3.7%-5.4%132.7K3.4M-58.0K0.1169.44N/AN/A6527216,9968,782
2010-11-29$23.71$24.2221.6%6.2%14.7%50.8%15.2%7.8%-3.6%192.1K2.5M-58.3K0.5427.25N/AN/A1759417,4418,831
2010-11-30$23.67$24.2222.0%6.3%13.0%52.4%22.0%5.1%-2.1%195.0K2.4M-59.5K0.1928.23N/AN/A3015717,5088,848