PPL Options History — April 2011

In April 2011, PPL traded between $23.81 and $25.55. ATM implied volatility averaged 16.5%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.5% (HV 20d: 17.9%). Max pain ranged from $23.29 to $23.29. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-04-11: Highest Volume — 9,173 contracts
  • 2011-04-05: Largest IV spike — 62.1% change
  • 2011-04-13: Highest IV Rank — 50.4%
  • 2011-04-11: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.73$23.81$25.55$23.94$25.55
Max Pain$23.29$23.29$23.29$23.29$23.29
ATM IV16.5%11.6%20.7%12.2%16.8%
Expected Move4.9%3.5%5.2%3.5%4.8%
HV 20d17.9%15.2%19.3%18.2%18.6%
HV 60d19.0%17.1%19.6%18.4%19.1%
IV Rank33.4%13.7%50.4%16.2%34.9%
IV Percentile24.3%1.2%59.1%1.6%23.4%
Term Structure0.6%-0.2%5.2%5.2%0.6%
VWIV17.2%12.6%19.2%12.6%17.1%
Skew 25d3.8%2.1%8.9%2.7%4.1%
Skew 10d8.3%1.4%12.6%3.4%7.9%
Call IV 25d15.3%10.6%17.1%11.5%14.1%
Put IV 25d19.1%14.2%21.1%14.2%18.2%
Bid-Ask Spread %24.8916.7946.3016.7925.97
Gamma HHI0.300.240.460.270.29
Net GEX1.7M-630.9K4.2M791.9K2.8M
Net DEX-29.6M-51.3M-4.4M-13.3M-47.1M
Net VEX-163.1K-173.8K-147.8K-154.5K-170.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.035.280.150.03
Total Volume2,365.81629,1731,028162
Total OI54,374.640,84269,27855,17846,826

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$23.94$23.2912.2%3.5%18.2%16.2%12.6%2.7%5.2%791.9K-13.3M-154.5K0.1516.79N/AN/A89313529,49925,679
2011-04-04$24.05$23.2911.6%5.1%17.2%13.7%17.7%2.5%-0.2%1.2M-17.2M-147.8K0.1018.29N/AN/A1,19112329,88625,658
2011-04-05$23.81$23.2918.8%5.1%16.3%42.8%17.7%3.3%0.2%369.5K-8.6M-156.8K5.2820.32N/AN/A9464,99630,38125,650
2011-04-06$23.82$23.2916.9%5.0%16.0%35.0%17.9%2.8%-0.0%-630.9K-4.4M-160.5K0.6918.92N/AN/A1,42898730,95429,965
2011-04-07$23.92$23.2913.9%5.0%15.3%22.9%18.3%3.4%0.4%-443.5K-7.2M-156.8K0.4617.12N/AN/A38417531,25230,584
2011-04-08$24.10$23.2913.4%5.0%15.2%21.2%17.1%2.1%0.7%-154.7K-12.4M-155.7K0.0820.30N/AN/A1,53012831,36830,712
2011-04-11$23.93$23.2920.7%5.2%15.5%50.3%18.9%2.8%0.5%-476.1K-7.0M-157.9K3.9026.39N/AN/A1,8727,30132,29030,665
2011-04-12$25.04$23.2913.8%4.8%19.2%22.5%17.4%8.9%0.5%1.8M-33.9M-151.3K0.9242.91N/AN/A3,0742,81932,68534,704
2011-04-13$24.95$23.2920.7%5.0%18.7%50.4%18.6%3.7%0.5%2.1M-39.4M-156.9K0.0421.45N/AN/A5,29122933,72233,988
2011-04-14$24.91$23.2917.2%4.9%18.8%36.2%19.2%3.3%0.0%2.7M-42.4M-164.6K0.0723.31N/AN/A2,23415735,24732,367
2011-04-15$25.15$23.2916.9%4.9%18.9%35.3%17.5%3.2%0.2%4.2M-51.3M-164.3K0.2920.87N/AN/A99429037,24032,038
2011-04-18$24.99$23.2917.6%5.0%19.3%37.9%18.9%4.9%0.3%2.2M-32.2M-163.9K0.1625.65N/AN/A1,33522027,76413,078
2011-04-19$24.92$23.2917.3%5.0%18.9%36.9%18.7%4.6%0.7%2.2M-32.2M-169.1K0.9740.09N/AN/A1,6771,63428,80113,201
2011-04-20$25.16$23.2917.1%4.9%18.7%36.0%15.0%5.4%0.1%2.4M-37.3M-172.2K0.0846.30N/AN/A9237730,04013,338
2011-04-21$25.05$23.2916.1%4.6%19.0%31.8%16.0%3.3%1.3%2.6M-36.2M-171.7K2.2620.60N/AN/A28364130,83113,349
2011-04-25$25.10$23.2917.4%5.0%19.0%37.0%15.4%2.9%0.9%2.6M-37.6M-171.2K0.0424.95N/AN/A1,1414631,06813,892
2011-04-26$25.27$23.2916.7%4.8%18.9%34.4%17.1%3.1%0.7%2.7M-41.4M-171.0K0.7519.08N/AN/A80360431,66713,892
2011-04-27$25.49$23.2917.0%4.9%18.8%35.7%16.7%3.5%0.2%2.7M-45.2M-173.8K0.0421.52N/AN/A3341432,24814,285
2011-04-28$25.55$23.2917.2%4.9%18.5%36.2%15.8%4.8%-0.0%2.7M-46.2M-171.7K0.3627.02N/AN/A1806532,40914,269
2011-04-29$25.55$23.2916.8%4.8%18.6%34.9%17.1%4.1%0.6%2.8M-47.1M-170.4K0.0325.97N/AN/A157532,56014,266