PPL Options History — June 2011

In June 2011, PPL traded between $25.10 and $26.04. ATM implied volatility averaged 15.7%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.4% (HV 20d: 12.3%). Max pain ranged from $23.29 to $25.15. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2011-06-07: Highest Volume — 94,863 contracts
  • 2011-06-08: Largest IV spike — 20.9% change
  • 2011-06-16: Highest IV Rank — 44.1%
  • 2011-06-16: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.50$25.10$26.04$26.04$25.92
Max Pain$24.81$23.29$25.15$24.22$25.15
ATM IV15.7%13.2%17.2%15.0%13.6%
Expected Move4.5%3.8%4.9%4.3%3.9%
HV 20d12.3%11.2%13.1%12.0%13.0%
HV 60d14.8%14.4%15.9%15.9%14.4%
IV Rank36.3%24.7%44.1%31.0%26.8%
IV Percentile20.4%3.6%37.7%13.9%6.0%
Term Structure2.6%-0.1%4.9%-0.1%2.9%
VWIV16.6%13.5%27.6%14.3%13.7%
Skew 25d3.9%1.4%6.5%5.1%5.0%
Skew 10d7.8%-2.9%15.6%3.6%6.9%
Call IV 25d13.9%10.2%16.4%12.3%10.9%
Put IV 25d17.8%15.8%20.1%17.4%15.9%
Bid-Ask Spread %40.1618.9983.1740.5373.92
Gamma HHI0.330.260.390.260.38
Net GEX3.1M2.0M4.4M2.9M4.4M
Net DEX-29.8M-45.9M-18.8M-45.9M-40.0M
Net VEX-154.4K-172.7K-146.9K-152.4K-150.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.011.600.590.23
Total Volume5,302.510094,863444288
Total OI45,508.86439,86549,08146,49947,871

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$26.04$24.2215.0%4.3%12.0%31.0%14.3%5.1%-0.1%2.9M-45.9M-152.4K0.5940.53N/AN/A28016431,76114,738
2011-06-02$25.96$24.2215.3%4.4%12.0%32.3%15.3%3.4%1.3%2.9M-44.4M-152.7K0.3043.60N/AN/A1695031,87514,874
2011-06-03$25.86$23.2915.3%4.2%11.9%32.2%23.3%6.5%3.8%3.1M-42.8M-151.4K0.0183.17N/AN/A5,3077231,95914,884
2011-06-06$25.66$23.2915.0%4.5%12.1%30.9%21.5%2.4%2.1%3.1M-42.2M-172.7K0.1222.22N/AN/A1,06412934,15114,930
2011-06-07$25.73$23.2914.1%4.4%11.9%28.8%27.6%5.1%2.9%3.2M-42.7M-166.1K0.0128.26N/AN/A94,12873533,31215,020
2011-06-08$25.26$25.1517.0%4.9%12.5%43.2%16.9%2.3%2.0%2.0M-20.4M-150.4K0.1520.03N/AN/A6579724,39915,466
2011-06-09$25.26$25.1516.2%4.6%12.5%39.4%14.6%2.9%2.5%2.1M-20.0M-151.1K0.0826.82N/AN/A1,74113724,91415,501
2011-06-10$25.10$25.1516.2%4.6%12.0%39.4%18.0%2.7%2.9%2.2M-18.8M-155.5K1.0123.61N/AN/A1,5081,51826,54615,628
2011-06-13$25.27$25.1516.1%4.6%12.4%38.8%16.1%3.3%3.1%2.6M-21.7M-158.7K1.6018.99N/AN/A36658527,90217,007
2011-06-14$25.38$25.1516.1%4.6%12.4%39.0%14.6%3.8%2.8%2.8M-24.0M-157.9K0.0222.64N/AN/A310628,18417,549
2011-06-15$25.10$25.1517.1%4.9%11.2%43.8%16.4%4.2%2.2%2.5M-19.7M-159.2K0.5046.77N/AN/A29114528,29817,542
2011-06-16$25.33$25.1517.2%4.9%11.9%44.1%17.1%3.0%2.6%2.8M-23.0M-156.2K0.4433.34N/AN/A1617128,33217,438
2011-06-17$25.22$25.1515.9%4.5%11.9%37.7%16.3%2.2%4.5%2.8M-23.4M-156.3K0.2740.13N/AN/A2426428,44017,498
2011-06-20$25.34$25.1517.1%4.9%12.0%43.7%15.2%4.6%1.2%3.1M-23.7M-151.4K0.1426.27N/AN/A82611727,43916,770
2011-06-21$25.57$25.1516.9%4.8%12.4%42.9%14.5%6.1%1.9%3.4M-29.4M-151.6K0.5937.81N/AN/A76245127,78016,814
2011-06-22$25.31$25.1516.4%4.7%12.5%40.5%16.1%1.4%1.6%3.4M-25.3M-153.1K0.1645.71N/AN/A861428,42516,813
2011-06-23$25.23$25.1516.5%4.7%12.5%41.1%15.5%3.6%2.1%3.3M-21.8M-148.9K0.2029.41N/AN/A51310428,49816,820
2011-06-24$25.22$25.1515.5%4.4%12.5%35.9%16.0%2.2%3.5%3.4M-23.3M-150.9K0.9950.30N/AN/A32131728,60216,921
2011-06-27$25.45$25.1515.9%4.6%12.9%37.8%14.9%4.6%3.5%3.7M-26.7M-148.5K0.3044.05N/AN/A3199628,85917,161
2011-06-28$25.78$25.1513.2%3.8%13.1%24.7%14.0%5.0%4.9%4.1M-34.6M-146.9K0.0580.74N/AN/A1,9589029,09417,247
2011-06-29$25.97$25.1513.4%3.8%13.1%25.4%13.5%5.7%3.9%4.2M-41.0M-153.9K0.1345.31N/AN/A3514530,66117,272
2011-06-30$25.92$25.1513.6%3.9%13.0%26.8%13.7%5.0%2.9%4.4M-40.0M-150.4K0.2373.92N/AN/A2335530,59417,277