PPL Options History — January 2011

In January 2011, PPL traded between $23.67 and $25.06. ATM implied volatility averaged 15.6%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.2% (HV 20d: 14.3%). Max pain ranged from $23.29 to $24.22. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.09.

Notable Days

  • 2011-01-13: Highest Volume — 21,602 contracts
  • 2011-01-06: Largest IV spike — 52.4% change
  • 2011-01-20: Highest IV Rank — 44.9%
  • 2011-01-20: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.29$23.67$25.06$24.76$24.02
Max Pain$23.94$23.29$24.22$24.22$23.29
ATM IV15.6%8.2%19.3%14.6%16.8%
Expected Move4.7%2.3%5.5%4.2%4.8%
HV 20d14.3%11.5%17.3%12.8%17.3%
HV 60d14.4%13.5%15.4%13.9%13.8%
IV Rank29.2%0.0%44.9%20.5%34.7%
IV Percentile21.2%0.0%45.6%12.7%24.2%
Term Structure1.8%-0.4%11.4%2.5%1.0%
VWIV16.9%10.3%21.1%14.1%11.7%
Skew 25d3.8%-1.2%8.8%5.3%7.1%
Skew 10d4.6%-3.1%13.7%10.9%5.0%
Call IV 25d14.8%6.6%19.0%9.7%13.4%
Put IV 25d18.6%14.4%22.2%15.0%20.5%
Bid-Ask Spread %25.9418.5036.2419.4022.67
Gamma HHI0.350.240.440.240.41
Net GEX119.7K-1.3M1.6M1.2M-1.2M
Net DEX2.5M-14.4M15.3M-10.5M11.1M
Net VEX-110.4K-159.8K-56.0K-56.0K-158.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.0516.740.420.05
Total Volume2,219.616521,6025041,149
Total OI38,235.8525,85252,40525,85245,042

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$24.76$24.2214.6%4.2%12.8%20.5%14.1%5.3%2.5%1.2M-10.5M-56.0K0.4219.40N/AN/A35415017,6838,169
2011-01-04$25.06$24.2210.8%3.1%13.4%4.1%11.3%8.8%11.4%1.3M-12.3M-59.2K0.1718.98N/AN/A1,68227817,8918,204
2011-01-05$24.99$24.228.2%2.3%12.8%0.0%10.3%7.4%9.6%1.6M-14.4M-62.5K4.1418.50N/AN/A12953419,3328,272
2011-01-06$24.81$24.2212.5%3.6%11.5%17.3%14.7%5.3%6.1%1.1M-11.3M-58.6K1.0124.30N/AN/A828319,3488,775
2011-01-07$24.58$24.2210.3%5.2%12.0%8.6%18.4%4.0%0.2%1.1M-9.3M-58.9K0.4825.55N/AN/A41820219,3678,837
2011-01-10$24.54$24.2215.4%5.3%12.1%29.0%17.8%4.2%-0.3%1.1M-8.1M-58.2K0.7033.74N/AN/A44931219,3388,970
2011-01-11$24.56$24.2213.0%5.1%11.5%19.6%17.9%6.1%-0.4%1.2M-9.0M-60.1K0.2026.75N/AN/A3006119,7059,281
2011-01-12$24.78$24.2212.4%4.4%11.7%17.1%17.8%3.3%0.9%1.4M-11.8M-61.9K0.5630.88N/AN/A36520419,9799,276
2011-01-13$23.96$24.2218.2%5.2%16.8%40.5%17.8%-1.2%1.5%955.8K-2.4M-60.5K10.5736.24N/AN/A1,86719,73520,0149,277
2011-01-14$23.89$24.2219.2%5.5%15.9%44.4%19.1%2.7%-0.2%-537.1K14.6M-144.3K0.3125.70N/AN/A69721621,30826,581
2011-01-18$23.88$24.2218.6%5.3%15.0%41.8%21.1%3.2%0.3%-550.3K15.0M-139.6K16.7427.49N/AN/A2253,77521,61626,766
2011-01-19$24.04$24.2218.8%5.4%15.1%42.7%18.8%2.7%-0.1%-658.6K14.1M-151.7K0.1823.61N/AN/A4097321,64330,439
2011-01-20$24.22$24.2219.3%5.5%15.4%44.9%19.7%3.1%-0.1%325.3K9.6M-149.7K1.7625.82N/AN/A8915721,81630,486
2011-01-21$24.06$24.2218.3%5.2%15.4%40.7%20.1%2.2%0.8%117.4K13.6M-148.5K0.0525.75N/AN/A3,31716321,85030,555
2011-01-24$24.10$23.2917.1%4.9%15.3%35.9%17.2%1.0%2.0%-1.2M9.4M-147.1K0.1333.28N/AN/A2,73736613,85526,137
2011-01-25$24.06$23.2917.3%5.0%15.3%36.7%17.5%1.6%0.5%-1.1M10.6M-155.3K2.2030.52N/AN/A38484715,86326,408
2011-01-26$23.82$23.2916.9%4.8%15.5%35.0%18.6%4.1%-0.4%-1.3M13.5M-157.7K0.3522.80N/AN/A1,14640216,15027,152
2011-01-27$23.97$23.2916.3%4.7%15.8%32.6%17.5%5.6%0.8%-1.2M11.5M-159.8K0.1823.60N/AN/A4658217,02727,466
2011-01-28$23.67$23.2917.8%5.1%16.3%38.7%17.6%-0.0%0.2%-1.3M15.3M-159.7K1.5023.14N/AN/A19529317,35027,489
2011-01-31$24.02$23.2916.8%4.8%17.3%34.7%11.7%7.1%1.0%-1.2M11.1M-158.3K0.0522.67N/AN/A1,0905917,37027,672