PPL Options History — February 2011

In February 2011, PPL traded between $22.91 and $24.06. ATM implied volatility averaged 18.6%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.3% (HV 20d: 16.3%). Max pain ranged from $23.29 to $24.22. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 4.51.

Notable Days

2011-02-14: Highest Volume — 29,454 contracts
2011-02-02: Largest IV spike — 43.4% change
2011-02-03: Highest IV Rank — 76.4%
2011-02-03: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.34	$22.91	$24.06	$24.04	$23.69
Max Pain	$23.58	$23.29	$24.22	$23.29	$24.22
ATM IV	18.6%	14.8%	27.1%	17.1%	17.5%
Expected Move	5.4%	4.3%	7.8%	4.9%	5.0%
HV 20d	16.3%	14.5%	19.1%	16.8%	16.6%
HV 60d	14.4%	13.6%	15.2%	13.7%	15.2%
IV Rank	42.1%	26.9%	76.4%	36.0%	37.6%
IV Percentile	39.3%	15.1%	87.3%	25.8%	31.3%
Term Structure	-0.8%	-6.1%	1.9%	-0.1%	-2.9%
VWIV	18.4%	12.0%	28.4%	17.9%	17.9%
Skew 25d	4.6%	1.8%	8.1%	4.1%	1.8%
Skew 10d	4.4%	2.4%	6.7%	5.2%	5.0%
Call IV 25d	15.9%	10.1%	25.1%	14.0%	17.5%
Put IV 25d	20.5%	17.1%	31.0%	18.1%	19.3%
Bid-Ask Spread %	34.32	26.06	47.64	27.29	36.23
Gamma HHI	0.48	0.33	0.75	0.41	0.33
Net GEX	-2.6M	-9.3M	-1.0M	-1.2M	-1.4M
Net DEX	34.0M	9.8M	56.6M	9.8M	12.9M
Net VEX	-162.4K	-180.6K	-151.1K	-157.4K	-162.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.51	0.11	34.11	0.51	0.11
Total Volume	5,093.053	619	29,454	977	2,077
Total OI	60,545.842	45,485	69,009	45,485	59,129

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$24.04	$23.29	17.1%	4.9%	16.8%	36.0%	17.9%	4.1%	-0.1%	-1.2M	9.8M	-157.4K	0.51	27.29	N/A	N/A	646	331	17,801	27,684
2011-02-02	$23.99	$23.29	24.5%	7.0%	16.0%	65.9%	25.1%	3.7%	-6.1%	-1.0M	10.2M	-163.2K	10.72	29.52	N/A	N/A	715	7,665	18,184	27,999
2011-02-03	$24.06	$24.22	27.1%	7.8%	16.1%	76.4%	28.4%	5.9%	-5.7%	-2.1M	18.9M	-180.6K	5.60	39.46	N/A	N/A	704	3,945	18,712	34,961
2011-02-04	$23.36	$23.29	19.0%	5.5%	18.8%	43.6%	17.4%	4.1%	0.1%	-3.4M	41.7M	-165.8K	0.48	45.65	N/A	N/A	3,040	1,472	19,364	38,294
2011-02-07	$23.11	$23.29	20.9%	5.7%	18.8%	51.1%	20.2%	3.0%	0.8%	-2.9M	47.1M	-161.4K	1.03	26.06	N/A	N/A	1,206	1,240	20,668	39,195
2011-02-08	$23.18	$23.29	19.9%	5.6%	19.0%	47.1%	19.4%	2.4%	-0.6%	-3.3M	45.5M	-167.1K	0.22	26.11	N/A	N/A	785	174	21,483	39,778
2011-02-09	$23.29	$23.29	16.4%	5.4%	19.1%	33.3%	18.8%	4.6%	-0.6%	-3.5M	45.8M	-163.4K	2.37	35.96	N/A	N/A	1,287	3,047	21,973	39,879
2011-02-10	$23.13	$23.29	19.1%	5.5%	18.7%	44.2%	19.5%	2.7%	-0.1%	-3.1M	49.2M	-179.1K	0.20	26.52	N/A	N/A	2,599	521	23,031	42,636
2011-02-11	$23.05	$23.29	18.1%	5.2%	15.0%	40.0%	19.1%	5.3%	0.4%	-2.9M	52.8M	-177.2K	1.36	35.14	N/A	N/A	293	399	24,675	43,050
2011-02-14	$22.91	$23.29	19.3%	5.5%	15.1%	44.9%	20.3%	5.9%	-1.3%	-2.7M	56.6M	-165.4K	23.36	37.85	N/A	N/A	1,209	28,245	24,715	43,207
2011-02-15	$23.05	$23.29	20.0%	5.7%	15.4%	47.5%	20.4%	3.4%	-2.0%	-3.0M	50.4M	-157.1K	0.63	29.20	N/A	N/A	4,401	2,766	25,635	41,558
2011-02-16	$23.15	$23.29	17.5%	5.0%	15.2%	37.4%	17.6%	2.9%	-1.1%	-2.2M	38.1M	-157.1K	1.57	29.08	N/A	N/A	2,616	4,102	29,090	37,995
2011-02-17	$23.29	$23.29	16.0%	4.6%	15.1%	31.7%	13.9%	7.9%	0.7%	-2.4M	32.2M	-158.5K	0.90	38.74	N/A	N/A	643	581	31,316	37,271
2011-02-18	$23.31	$23.29	16.8%	4.8%	15.1%	34.8%	12.0%	8.1%	0.2%	-9.3M	28.5M	-158.4K	34.11	30.32	N/A	N/A	468	15,966	31,476	37,533
2011-02-22	$23.30	$24.22	16.6%	4.8%	15.0%	34.1%	17.1%	6.7%	-0.3%	-1.2M	25.2M	-154.4K	1.02	47.64	N/A	N/A	312	320	25,827	31,530
2011-02-23	$23.29	$24.22	16.9%	4.8%	15.0%	35.2%	16.5%	6.0%	-1.0%	-1.2M	23.7M	-154.5K	0.58	40.45	N/A	N/A	546	315	25,976	31,691
2011-02-24	$23.16	$24.22	16.1%	4.6%	14.8%	31.7%	13.2%	3.9%	1.9%	-1.1M	27.6M	-152.3K	0.71	43.35	N/A	N/A	886	627	26,316	31,773
2011-02-25	$23.11	$24.22	14.8%	4.3%	14.5%	26.9%	15.7%	4.8%	1.4%	-1.2M	29.3M	-151.1K	0.18	27.51	N/A	N/A	523	96	26,799	32,167
2011-02-28	$23.69	$24.22	17.5%	5.0%	16.6%	37.6%	17.9%	1.8%	-2.9%	-1.4M	12.9M	-162.3K	0.11	36.23	N/A	N/A	1,869	208	26,905	32,224