PPL Options History — May 2011

In May 2011, PPL traded between $25.48 and $26.34. ATM implied volatility averaged 16.6%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.8% (HV 20d: 12.8%). Max pain ranged from $23.29 to $24.22. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2011-05-17: Highest Volume — 2,681 contracts
  • 2011-05-12: Largest IV spike — 33.4% change
  • 2011-05-17: Highest IV Rank — 45.1%
  • 2011-05-17: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.91$25.48$26.34$25.59$26.26
Max Pain$24.04$23.29$24.22$23.29$24.22
ATM IV16.6%13.7%19.4%18.7%15.9%
Expected Move4.8%3.7%5.6%5.4%4.5%
HV 20d12.8%9.4%18.1%18.1%11.5%
HV 60d17.8%16.0%19.1%19.1%16.1%
IV Rank35.1%22.1%45.1%42.5%34.2%
IV Percentile26.7%5.6%57.9%44.4%16.3%
Term Structure-0.3%-2.8%1.8%-0.6%-0.9%
VWIV17.0%13.1%19.8%14.2%18.9%
Skew 25d3.4%-0.1%7.9%1.3%5.3%
Skew 10d5.0%-1.6%11.3%2.6%4.6%
Call IV 25d14.2%10.4%16.7%15.2%11.0%
Put IV 25d17.7%13.7%20.8%16.5%16.3%
Bid-Ask Spread %29.3816.8348.6917.4047.71
Gamma HHI0.280.250.290.290.27
Net GEX2.8M2.5M3.1M2.8M2.9M
Net DEX-50.6M-61.6M-41.5M-47.6M-50.0M
Net VEX-160.2K-167.7K-143.6K-166.7K-143.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.042.830.100.24
Total Volume728.3811662,6811,283534
Total OI48,247.95245,42652,36946,80846,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$25.59$23.2918.7%5.4%18.1%42.5%14.2%1.3%-0.6%2.8M-47.6M-166.7K0.1017.40N/AN/A1,16212132,54214,266
2011-05-03$25.58$23.2918.8%5.4%18.1%42.8%18.1%4.0%0.3%2.9M-47.4M-167.7K0.0429.24N/AN/A1,3035333,10414,237
2011-05-04$25.67$23.2917.6%5.1%17.4%38.0%19.8%4.9%-1.1%2.8M-48.2M-165.7K2.8316.83N/AN/A22563932,98814,259
2011-05-05$25.51$23.2916.6%4.8%17.7%34.1%15.0%-0.1%1.8%2.9M-46.9M-164.4K0.6035.66N/AN/A19511733,02914,566
2011-05-06$25.64$24.2214.4%3.7%17.7%25.0%16.4%3.9%0.7%2.9M-49.1M-160.9K0.2429.67N/AN/A1864533,10414,642
2011-05-09$25.48$24.2216.2%5.1%18.0%32.2%17.9%4.6%-0.7%3.1M-46.6M-158.7K2.6028.02N/AN/A4612033,23514,673
2011-05-10$25.86$24.2214.2%4.9%18.1%24.3%15.7%7.9%0.4%2.8M-53.8M-151.3K1.0948.69N/AN/A88396133,25214,754
2011-05-11$25.88$24.2213.7%4.6%9.4%22.1%17.8%5.0%-0.6%2.8M-52.8M-154.4K0.2133.58N/AN/A2645633,47315,249
2011-05-12$26.11$24.2218.2%5.2%9.5%40.5%17.3%3.5%-1.1%2.7M-56.7M-154.2K0.2830.00N/AN/A74220433,81315,587
2011-05-13$26.01$24.2217.3%4.9%9.6%36.6%19.5%3.4%-0.8%3.1M-54.2M-161.7K0.1025.53N/AN/A7577234,37415,610
2011-05-16$25.85$24.2216.2%4.6%9.7%32.3%17.8%3.9%0.4%3.1M-53.7M-158.0K0.9924.43N/AN/A28227934,64415,610
2011-05-17$26.26$24.2219.4%5.6%10.5%45.1%18.4%1.7%-2.8%2.6M-58.9M-158.2K0.6827.12N/AN/A1,5921,08934,66615,847
2011-05-18$26.22$24.2218.9%5.4%10.4%43.3%18.8%3.9%-1.8%2.8M-59.3M-163.4K0.1028.17N/AN/A3813835,49616,608
2011-05-19$26.26$24.2217.3%5.0%10.1%36.8%17.2%2.4%-0.7%2.8M-60.0M-163.0K0.0826.41N/AN/A6755635,46616,519
2011-05-20$26.34$24.2217.3%4.9%9.9%39.0%17.2%2.6%-0.8%2.7M-61.6M-161.3K0.2438.97N/AN/A50812335,79816,571
2011-05-23$26.13$24.2216.8%4.8%10.6%38.3%16.4%2.4%0.2%2.5M-45.8M-162.1K0.2930.74N/AN/A2858230,88714,539
2011-05-24$25.90$24.2216.2%4.7%11.1%35.9%16.1%2.9%-0.6%2.6M-43.2M-163.2K0.8235.42N/AN/A21517631,05114,575
2011-05-25$25.85$24.2214.7%4.2%10.7%28.9%15.1%5.5%1.7%2.7M-41.5M-163.8K0.1327.06N/AN/A3083931,14214,603
2011-05-26$25.84$24.2215.5%4.4%10.7%32.5%13.1%1.0%0.7%2.8M-41.7M-162.6K1.3017.15N/AN/A13717831,35314,605
2011-05-27$25.95$24.2215.5%4.5%10.8%32.8%16.2%1.9%0.1%2.9M-44.1M-158.4K0.1419.26N/AN/A1482031,44414,710
2011-05-31$26.26$24.2215.9%4.5%11.5%34.2%18.9%5.3%-0.9%2.9M-50.0M-143.6K0.2447.71N/AN/A43110331,61414,702