PPL Options History — March 2011

In March 2011, PPL traded between $22.68 and $24.22. ATM implied volatility averaged 17.5%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.7% (HV 20d: 21.2%). Max pain ranged from $23.29 to $24.22. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.75.

Notable Days

2011-03-07: Highest Volume — 67,468 contracts
2011-03-22: Largest IV spike — 21.9% change
2011-03-16: Highest IV Rank — 57.6%
2011-03-16: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.30	$22.68	$24.22	$23.19	$23.56
Max Pain	$23.41	$23.29	$24.22	$24.22	$23.29
ATM IV	17.5%	14.2%	22.5%	19.6%	14.5%
Expected Move	5.0%	4.1%	6.4%	5.6%	4.2%
HV 20d	21.2%	17.2%	23.3%	17.3%	17.4%
HV 60d	17.6%	15.7%	18.2%	15.7%	18.1%
IV Rank	37.6%	24.3%	57.6%	45.9%	25.5%
IV Percentile	31.9%	7.9%	69.4%	52.4%	9.9%
Term Structure	1.8%	-1.8%	5.0%	-1.1%	4.7%
VWIV	17.6%	13.2%	29.8%	18.9%	13.2%
Skew 25d	2.8%	-3.2%	7.7%	5.8%	-1.8%
Skew 10d	3.1%	-6.0%	13.8%	6.0%	-3.8%
Call IV 25d	15.3%	11.2%	19.8%	12.7%	14.6%
Put IV 25d	18.1%	11.9%	22.7%	18.4%	12.8%
Bid-Ask Spread %	25.10	13.64	47.35	40.77	16.84
Gamma HHI	0.29	0.23	0.44	0.34	0.25
Net GEX	-1.9M	-3.2M	-639.2K	-1.2M	-639.2K
Net DEX	18.2M	-2.6M	47.7M	23.3M	-1.1M
Net VEX	-164.3K	-199.9K	-139.2K	-166.7K	-157.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	0.01	9.10	4.08	1.56
Total Volume	5,101.174	367	67,468	7,829	732
Total OI	60,745.13	50,217	71,310	59,496	55,027

Daily Data (23 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
2011-03-01	$23.19	$24.22	19.6%	5.6%	17.3%	45.9%	18.9%	5.8%	-1.1%	-1.2M	23.3M	-166.7K	4.08	40.77	N/A	N/A	1,541	6,288	27,250	32,246
2011-03-02	$23.97	$24.22	17.1%	4.9%	21.3%	36.0%	17.3%	5.2%	-0.7%	-2.1M	9.2M	-174.9K	0.13	28.81	N/A	N/A	6,054	813	27,433	35,852
2011-03-03	$23.96	$24.22	16.8%	4.8%	21.3%	34.7%	19.8%	2.1%	0.2%	-1.8M	6.3M	-191.0K	0.23	23.57	N/A	N/A	1,030	232	31,490	35,815
2011-03-04	$23.81	$23.29	16.9%	4.6%	21.3%	35.1%	15.7%	3.1%	3.2%	-1.7M	15.0M	-185.1K	2.23	41.69	N/A	N/A	1,884	4,205	32,216	35,482
2011-03-07	$24.22	$23.29	16.6%	4.8%	19.3%	33.8%	29.8%	7.7%	1.5%	-1.7M	-2.6M	-199.9K	0.01	18.19	N/A	N/A	67,036	432	33,245	38,065
2011-03-08	$23.79	$23.29	16.8%	4.6%	20.0%	34.7%	15.6%	2.4%	2.2%	-2.8M	12.5M	-188.8K	0.50	28.12	N/A	N/A	358	180	26,953	38,056
2011-03-09	$24.01	$23.29	17.3%	4.9%	20.2%	36.5%	17.0%	2.1%	1.2%	-2.7M	6.0M	-188.3K	0.22	31.72	N/A	N/A	594	129	27,170	37,925
2011-03-10	$23.69	$23.29	19.2%	5.5%	20.9%	44.5%	17.1%	2.3%	0.7%	-2.9M	15.6M	-186.9K	9.10	22.06	N/A	N/A	365	3,322	27,434	37,886
2011-03-11	$23.53	$23.29	18.9%	5.4%	20.9%	43.2%	19.0%	1.3%	1.3%	-3.2M	20.6M	-179.6K	1.12	28.66	N/A	N/A	833	931	27,581	38,190
2011-03-14	$23.51	$23.29	18.4%	5.3%	20.8%	41.2%	17.4%	4.2%	1.0%	-3.0M	25.4M	-160.3K	0.46	24.70	N/A	N/A	252	115	27,457	36,934
2011-03-15	$22.89	$23.29	18.9%	5.4%	22.9%	43.0%	19.5%	1.9%	1.8%	-2.5M	39.2M	-149.9K	7.19	19.76	N/A	N/A	411	2,958	27,588	37,068
2011-03-16	$22.68	$23.29	22.5%	6.4%	23.0%	57.6%	20.9%	3.8%	-1.8%	-2.3M	47.7M	-153.3K	0.91	29.49	N/A	N/A	318	289	27,715	39,146
2011-03-17	$22.74	$23.29	20.5%	5.9%	23.0%	49.8%	19.7%	3.0%	2.3%	-1.8M	47.4M	-152.6K	0.56	21.95	N/A	N/A	1,309	730	27,900	39,299
2011-03-18	$22.90	$23.29	18.9%	5.4%	23.0%	43.0%	18.9%	3.6%	1.5%	-2.2M	45.1M	-156.6K	3.39	23.65	N/A	N/A	106	361	28,630	39,611
2011-03-21	$22.99	$23.29	17.2%	4.9%	23.0%	36.2%	17.7%	2.1%	2.3%	-999.3K	13.6M	-152.9K	1.50	18.52	N/A	N/A	694	1,038	25,388	24,829
2011-03-22	$22.79	$23.29	20.9%	6.0%	23.2%	51.4%	15.3%	3.1%	-1.2%	-1.1M	16.3M	-149.5K	0.19	15.63	N/A	N/A	473	91	25,820	25,410
2011-03-23	$22.73	$23.29	17.3%	5.0%	23.2%	36.6%	17.3%	3.7%	2.5%	-1.4M	19.5M	-139.2K	1.47	15.17	N/A	N/A	1,452	2,132	25,976	25,451
2011-03-24	$22.78	$23.29	16.4%	4.7%	23.2%	33.0%	14.7%	1.6%	3.4%	-1.5M	17.6M	-147.4K	3.55	16.60	N/A	N/A	716	2,540	27,084	25,683
2011-03-25	$22.88	$23.29	14.2%	4.1%	23.3%	24.4%	14.8%	3.5%	2.5%	-1.7M	15.8M	-149.3K	0.37	13.64	N/A	N/A	428	157	27,642	26,589
2011-03-28	$22.84	$23.29	14.9%	4.3%	21.3%	27.1%	14.6%	3.5%	3.8%	-1.3M	14.6M	-145.4K	0.53	47.35	N/A	N/A	1,137	606	27,907	24,907
2011-03-29	$23.10	$23.29	14.2%	4.1%	20.5%	24.3%	15.7%	4.4%	5.0%	-1.4M	10.8M	-148.3K	0.45	30.46	N/A	N/A	335	149	28,349	25,432
2011-03-30	$23.42	$23.29	14.7%	4.2%	17.2%	26.2%	15.2%	-3.2%	4.3%	-820.0K	1.5M	-155.0K	0.49	19.94	N/A	N/A	1,058	513	28,544	25,463
2011-03-31	$23.56	$23.29	14.5%	4.2%	17.4%	25.5%	13.2%	-1.8%	4.7%	-639.2K	-1.1M	-157.2K	1.56	16.84	N/A	N/A	286	446	29,281	25,746