PPL Options History — July 2011

In July 2011, PPL traded between $25.65 and $26.67. ATM implied volatility averaged 14.5%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.4% (HV 20d: 11.1%). Max pain ranged from $25.15 to $25.15. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.59.

Notable Days

2011-07-08: Highest Volume — 6,431 contracts
2011-07-14: Largest IV spike — 59.2% change
2011-07-29: Highest IV Rank — 54.9%
2011-07-29: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.07	$25.65	$26.67	$26.10	$25.99
Max Pain	$25.15	$25.15	$25.15	$25.15	$25.15
ATM IV	14.5%	10.5%	18.6%	11.5%	18.6%
Expected Move	4.6%	3.3%	5.3%	3.3%	5.3%
HV 20d	11.1%	10.1%	13.2%	13.2%	12.6%
HV 60d	11.9%	11.0%	14.4%	14.4%	12.3%
IV Rank	33.0%	11.9%	54.9%	16.2%	54.9%
IV Percentile	22.0%	0.8%	67.1%	1.2%	67.1%
Term Structure	0.5%	-1.7%	3.9%	3.9%	-1.7%
VWIV	16.5%	11.4%	19.2%	11.4%	19.2%
Skew 25d	3.7%	1.0%	7.5%	1.0%	2.9%
Skew 10d	6.4%	0.9%	13.8%	1.7%	9.1%
Call IV 25d	14.2%	9.3%	17.8%	9.3%	17.8%
Put IV 25d	17.9%	10.3%	20.7%	10.3%	20.7%
Bid-Ask Spread %	40.53	22.65	76.42	50.89	55.41
Gamma HHI	0.48	0.36	0.78	0.41	0.43
Net GEX	3.5M	1.4M	5.9M	4.8M	2.4M
Net DEX	-34.9M	-47.1M	-16.0M	-44.4M	-26.6M
Net VEX	-152.2K	-164.6K	-134.8K	-142.5K	-164.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.00	1.91	0.21	1.11
Total Volume	1,168.95	190	6,431	515	297
Total OI	42,612.65	30,613	52,748	47,907	36,973

Daily Data (20 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
2011-07-01	$26.10	$25.15	11.5%	3.3%	13.2%	16.2%	11.4%	1.0%	3.9%	4.8M	-44.4M	-142.5K	0.21	50.89	N/A	N/A	425	90	30,607	17,300
2011-07-05	$25.97	$25.15	13.3%	4.8%	13.0%	25.0%	17.0%	3.2%	0.0%	4.7M	-41.8M	-143.2K	0.34	52.53	N/A	N/A	238	81	30,718	17,331
2011-07-06	$26.03	$25.15	11.8%	4.7%	13.0%	18.0%	17.0%	2.9%	0.8%	5.1M	-44.6M	-135.9K	1.91	27.47	N/A	N/A	278	530	30,828	17,373
2011-07-07	$26.16	$25.15	13.3%	4.7%	10.9%	26.4%	16.9%	3.6%	-0.1%	4.6M	-47.1M	-134.8K	1.42	30.42	N/A	N/A	349	496	30,963	17,729
2011-07-08	$26.10	$25.15	11.2%	4.8%	11.0%	15.4%	17.9%	3.6%	-0.5%	4.3M	-45.7M	-138.0K	0.06	24.89	N/A	N/A	6,047	384	31,153	18,216
2011-07-11	$25.87	$25.15	11.4%	4.8%	11.2%	16.4%	16.5%	2.8%	0.0%	5.9M	-44.5M	-148.7K	0.67	76.42	N/A	N/A	950	633	34,209	18,539
2011-07-12	$26.04	$25.15	10.5%	4.7%	11.2%	11.9%	16.6%	3.2%	0.0%	5.5M	-43.8M	-152.1K	0.11	37.09	N/A	N/A	172	18	32,370	19,123
2011-07-13	$25.96	$25.15	11.1%	4.9%	11.3%	15.2%	15.5%	2.3%	-0.2%	5.2M	-41.8M	-152.4K	0.00	25.67	N/A	N/A	1,215	5	32,444	19,124
2011-07-14	$25.78	$25.15	17.7%	5.1%	10.7%	49.2%	17.6%	2.1%	-1.2%	4.0M	-37.9M	-149.3K	0.37	29.43	N/A	N/A	364	135	32,651	19,139
2011-07-15	$25.87	$25.15	16.5%	4.7%	10.4%	42.8%	17.3%	3.8%	0.5%	4.6M	-37.9M	-150.8K	0.19	63.51	N/A	N/A	626	119	32,737	19,229
2011-07-18	$25.65	$25.15	15.4%	4.4%	10.8%	38.3%	15.2%	3.2%	1.6%	1.4M	-16.0M	-146.0K	0.16	32.36	N/A	N/A	2,615	409	21,047	9,566
2011-07-19	$25.68	$25.15	14.9%	4.3%	10.7%	35.2%	14.9%	7.5%	1.6%	1.7M	-18.1M	-154.4K	0.09	61.27	N/A	N/A	941	84	23,114	9,914
2011-07-20	$25.77	$25.15	15.7%	4.5%	10.3%	39.6%	15.5%	6.2%	1.0%	2.0M	-20.4M	-157.0K	0.23	38.43	N/A	N/A	769	179	24,019	10,006
2011-07-21	$26.11	$25.15	15.2%	4.3%	10.4%	36.8%	16.6%	3.4%	1.5%	2.2M	-26.4M	-158.4K	0.43	28.44	N/A	N/A	1,226	525	24,610	10,154
2011-07-22	$26.09	$25.15	14.6%	4.2%	10.3%	34.1%	16.2%	3.1%	1.0%	2.4M	-26.2M	-162.9K	1.08	25.27	N/A	N/A	294	318	25,531	10,050
2011-07-25	$26.44	$25.15	16.8%	4.8%	11.1%	45.4%	17.9%	3.9%	0.9%	2.4M	-31.8M	-162.7K	1.38	22.65	N/A	N/A	528	729	25,759	10,213
2011-07-26	$26.54	$25.15	16.8%	4.8%	10.8%	45.4%	17.0%	5.8%	0.7%	2.5M	-33.6M	-163.5K	1.51	55.05	N/A	N/A	87	131	26,032	10,227
2011-07-27	$26.67	$25.15	16.2%	4.6%	10.1%	42.3%	16.4%	6.1%	0.3%	2.5M	-36.0M	-161.7K	0.16	44.57	N/A	N/A	568	90	26,093	10,335
2011-07-28	$26.50	$25.15	17.8%	5.1%	10.2%	50.8%	17.2%	3.9%	0.1%	2.5M	-33.6M	-164.6K	0.41	28.84	N/A	N/A	308	126	26,437	10,390
2011-07-29	$25.99	$25.15	18.6%	5.3%	12.6%	54.9%	19.2%	2.9%	-1.7%	2.4M	-26.6M	-164.3K	1.11	55.41	N/A	N/A	141	156	26,520	10,453