PPL Options History — December 2010

In December 2010, PPL traded between $23.46 and $24.60. ATM implied volatility averaged 14.9%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.8% (HV 20d: 12.2%). Max pain ranged from $24.22 to $24.22. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-12-21: Highest Volume — 1,127 contracts
  • 2010-12-16: Largest IV drop — 20.5% change
  • 2010-12-10: Highest IV Rank — 30.1%
  • 2010-12-14: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.11$23.46$24.60$23.83$24.51
Max Pain$24.22$24.22$24.22$24.22$24.22
ATM IV14.9%13.1%16.9%14.7%15.6%
Expected Move4.3%3.7%5.3%4.2%4.5%
HV 20d12.2%10.7%13.7%11.0%12.5%
HV 60d13.8%13.3%14.3%13.6%13.7%
IV Rank21.7%13.6%30.1%20.6%24.6%
IV Percentile11.9%6.0%19.0%10.7%14.3%
Term Structure3.0%0.5%4.9%0.9%2.1%
VWIV15.0%10.7%21.0%21.0%15.6%
Skew 25d5.2%3.3%6.6%6.6%6.4%
Skew 10d8.2%2.8%13.9%10.3%4.0%
Call IV 25d12.2%8.9%16.4%16.4%11.4%
Put IV 25d17.4%14.5%23.0%23.0%17.8%
Bid-Ask Spread %29.3414.0393.3224.7814.03
Gamma HHI0.240.160.580.160.22
Net GEX544.8K-250.5K2.1M241.1K844.0K
Net DEX-2.5M-8.3M2.9M1.7M-6.7M
Net VEX-55.4K-59.6K-50.3K-59.1K-56.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.023.470.540.02
Total Volume474.2271021,1275141,015
Total OI26,136.95523,47327,92226,46825,328

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$23.83$24.2214.7%4.2%11.0%20.6%21.0%6.6%0.9%241.1K1.7M-59.1K0.5424.78N/AN/A33517917,5968,872
2010-12-02$23.99$24.2216.4%4.7%11.2%28.3%16.8%4.0%1.2%268.8K854.0K-58.4K0.2422.25N/AN/A3097417,5578,905
2010-12-03$24.13$24.2215.7%4.5%11.1%25.2%14.6%6.1%1.7%388.8K-420.0K-59.6K0.2926.93N/AN/A36110617,5748,902
2010-12-06$24.18$24.2216.6%4.4%10.7%28.9%16.6%3.3%4.5%498.5K-1.2M-59.4K0.6624.02N/AN/A43928917,7948,960
2010-12-07$23.95$24.2214.4%4.4%11.0%19.5%15.8%5.2%3.5%195.3K1.5M-53.7K0.4224.25N/AN/A33714117,9159,091
2010-12-08$23.56$24.2216.6%4.9%12.0%28.9%18.7%5.5%2.5%-49.2K2.5M-53.9K0.4430.07N/AN/A44319617,8559,158
2010-12-09$23.46$24.2216.5%4.9%11.6%28.4%16.3%4.0%2.8%-135.0K2.9M-52.4K1.0719.97N/AN/A727718,0969,185
2010-12-10$23.52$24.2216.9%4.9%11.8%30.1%16.1%4.7%2.8%-99.2K2.3M-54.0K2.5218.72N/AN/A297318,1299,260
2010-12-13$23.80$24.2216.2%4.3%11.6%27.2%14.4%5.0%3.5%230.2K333.3K-54.0K0.1622.01N/AN/A4467218,1239,274
2010-12-14$23.75$24.2215.4%5.3%11.6%24.0%17.1%5.5%0.5%132.5K220.5K-52.5K1.9321.35N/AN/A8115618,2459,248
2010-12-15$23.54$24.2216.7%4.8%11.3%29.5%15.1%4.4%3.2%-250.5K2.1M-50.3K0.2422.71N/AN/A1934618,2999,246
2010-12-16$23.92$24.2213.3%3.8%12.8%14.7%16.1%4.4%4.9%511.1K-680.1K-50.9K3.4727.70N/AN/A16557418,4169,261
2010-12-17$24.24$24.2213.9%4.0%13.7%17.2%14.1%5.2%4.0%2.1M-4.3M-54.0K0.7824.07N/AN/A36428618,3589,564
2010-12-20$24.37$24.2214.1%4.0%13.5%18.0%14.1%5.8%3.2%708.9K-4.6M-53.3K0.9125.46N/AN/A32730015,5857,888
2010-12-21$24.39$24.2213.7%3.9%13.5%16.6%12.9%5.2%3.5%778.3K-5.4M-54.5K0.1526.26N/AN/A97715015,8028,001
2010-12-22$24.52$24.2213.1%3.7%13.0%13.6%11.3%5.8%3.7%905.8K-7.1M-57.6K0.1873.91N/AN/A3346016,4498,052
2010-12-23$24.59$24.2213.3%3.8%12.8%14.7%12.6%5.6%3.9%962.9K-8.1M-59.1K0.5145.61N/AN/A30215216,6948,038
2010-12-27$24.50$24.2213.3%3.8%12.7%14.8%10.7%5.2%3.4%949.7K-7.5M-56.4K0.3193.32N/AN/A2257116,7728,061
2010-12-28$24.60$24.2214.2%4.1%12.6%18.8%14.2%6.1%3.4%989.3K-8.3M-57.2K0.1322.33N/AN/A3384516,8898,094
2010-12-29$24.53$24.2214.2%4.1%12.7%18.7%14.4%5.6%3.2%946.5K-7.8M-57.1K0.9217.04N/AN/A928517,0788,125
2010-12-30$24.44$24.2213.7%3.9%12.7%16.3%12.2%4.5%4.0%847.2K-6.6M-54.7K0.6018.81N/AN/A734417,1158,159
2010-12-31$24.51$24.2215.6%4.5%12.5%24.6%15.6%6.4%2.1%844.0K-6.7M-56.4K0.0214.03N/AN/A9952017,1618,167