PPL Options History — August 2011

In August 2011, PPL traded between $23.59 and $26.90. ATM implied volatility averaged 24.1%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 5.5% (HV 20d: 29.6%). Max pain ranged from $24.22 to $26.08. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.51.

Notable Days

2011-08-05: Highest Volume — 3,502 contracts
2011-08-08: Largest IV spike — 62.8% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.33	$23.59	$26.90	$26.10	$26.90
Max Pain	$24.99	$24.22	$26.08	$25.15	$25.15
ATM IV	24.1%	18.6%	37.3%	18.6%	21.2%
Expected Move	6.8%	5.3%	9.1%	5.3%	6.1%
HV 20d	29.6%	12.4%	35.6%	12.4%	35.2%
HV 60d	19.7%	12.3%	22.8%	12.3%	22.8%
IV Rank	59.6%	37.1%	100.0%	55.0%	44.8%
IV Percentile	91.1%	67.5%	100.0%	67.5%	90.1%
Term Structure	-1.7%	-4.6%	2.0%	-0.2%	1.7%
VWIV	23.8%	16.9%	32.7%	16.9%	19.9%
Skew 25d	6.6%	-0.7%	13.2%	10.2%	7.9%
Skew 10d	9.3%	-2.4%	19.0%	13.4%	9.6%
Call IV 25d	19.7%	10.9%	24.7%	10.9%	14.4%
Put IV 25d	26.3%	17.8%	33.6%	21.1%	22.3%
Bid-Ask Spread %	48.94	31.90	72.65	46.78	49.46
Gamma HHI	0.28	0.20	0.44	0.44	0.27
Net GEX	1.5M	776.1K	2.5M	2.5M	2.2M
Net DEX	-16.8M	-38.2M	562.4K	-26.2M	-38.2M
Net VEX	-153.0K	-164.7K	-135.1K	-161.5K	-155.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.07	2.09	0.23	0.26
Total Volume	1,084.043	196	3,502	1,095	1,423
Total OI	39,047.957	35,351	42,031	37,087	39,354

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
2011-08-01	$26.10	$25.15	18.6%	5.3%	12.4%	55.0%	16.9%	10.2%	-0.2%	2.5M	-26.2M	-161.5K	0.23	46.78	N/A	N/A	891	204	26,545	10,542
2011-08-02	$25.61	$26.08	20.4%	5.8%	14.0%	64.3%	19.6%	2.6%	-1.3%	2.2M	-20.5M	-162.5K	2.09	58.10	N/A	N/A	93	195	27,100	10,699
2011-08-03	$25.70	$26.08	18.7%	5.4%	14.0%	55.5%	19.2%	3.2%	-1.0%	2.2M	-19.7M	-160.6K	1.28	64.64	N/A	N/A	234	300	27,102	10,812
2011-08-04	$24.71	$26.08	23.4%	6.7%	19.4%	80.2%	27.4%	-0.7%	-3.9%	1.4M	-8.8M	-151.3K	0.32	60.83	N/A	N/A	1,444	463	27,112	11,079
2011-08-05	$24.74	$25.15	22.9%	6.5%	19.5%	77.8%	22.4%	5.9%	-0.8%	1.2M	-7.7M	-149.9K	0.13	61.61	N/A	N/A	3,103	399	28,244	11,345
2011-08-08	$23.59	$25.15	37.3%	9.1%	25.1%	100.0%	32.7%	8.6%	-4.6%	776.1K	562.4K	-135.1K	1.58	43.92	N/A	N/A	583	922	27,217	11,476
2011-08-09	$24.58	$25.15	28.9%	8.3%	29.7%	71.0%	27.7%	12.4%	-3.1%	948.9K	-4.4M	-147.2K	0.60	72.65	N/A	N/A	1,019	614	27,331	12,081
2011-08-10	$23.86	$24.22	34.2%	8.9%	31.2%	89.2%	32.2%	13.2%	-3.7%	942.8K	-2.7M	-143.7K	1.49	55.55	N/A	N/A	341	508	27,487	12,282
2011-08-11	$24.41	$24.22	26.2%	7.5%	32.6%	61.9%	24.7%	5.6%	-0.6%	1.1M	-5.0M	-148.2K	0.27	45.37	N/A	N/A	1,001	265	27,657	12,673
2011-08-12	$24.22	$24.22	25.3%	7.3%	32.5%	58.8%	24.9%	5.7%	-1.9%	947.0K	-2.0M	-140.8K	0.53	40.06	N/A	N/A	128	68	27,770	12,820
2011-08-15	$24.82	$24.22	22.1%	6.3%	33.9%	47.8%	23.9%	7.0%	-2.7%	1.1M	-8.7M	-145.1K	0.12	35.64	N/A	N/A	928	114	27,785	12,837
2011-08-16	$25.12	$24.22	23.1%	6.6%	34.3%	51.1%	23.7%	5.1%	-2.0%	1.0M	-13.7M	-149.2K	0.28	43.15	N/A	N/A	873	240	27,904	12,916
2011-08-17	$25.51	$24.22	21.5%	6.2%	34.7%	45.6%	21.7%	4.6%	-1.3%	1.5M	-19.6M	-150.8K	0.28	51.21	N/A	N/A	397	110	28,133	13,064
2011-08-18	$25.42	$24.22	27.7%	7.9%	34.4%	66.8%	27.4%	4.4%	-3.6%	1.3M	-18.4M	-153.1K	0.38	50.94	N/A	N/A	1,036	390	28,189	13,080
2011-08-19	$25.43	$25.15	27.6%	7.9%	34.4%	66.8%	27.7%	8.0%	-3.5%	1.1M	-19.7M	-156.4K	0.80	40.32	N/A	N/A	262	209	28,839	13,192
2011-08-22	$25.31	$25.15	26.3%	7.5%	34.0%	62.0%	23.1%	8.2%	-4.3%	1.3M	-14.9M	-150.5K	0.13	38.16	N/A	N/A	1,333	175	23,890	11,461
2011-08-23	$25.72	$25.15	20.3%	5.8%	34.5%	41.5%	20.8%	4.4%	0.6%	1.6M	-19.3M	-154.9K	0.29	52.70	N/A	N/A	502	144	24,969	11,557
2011-08-24	$26.16	$25.15	21.9%	6.3%	35.1%	47.2%	20.8%	7.9%	-1.2%	1.8M	-25.9M	-157.7K	0.14	31.90	N/A	N/A	1,254	172	25,248	11,656
2011-08-25	$25.91	$25.15	23.5%	6.7%	35.2%	52.5%	26.7%	7.9%	-1.5%	1.7M	-23.8M	-164.7K	0.07	39.23	N/A	N/A	956	67	26,370	11,778
2011-08-26	$25.89	$25.15	19.0%	5.4%	34.5%	37.1%	20.4%	8.5%	2.0%	1.8M	-22.6M	-161.3K	0.14	56.67	N/A	N/A	291	40	26,756	11,839
2011-08-29	$26.53	$25.15	22.8%	6.5%	35.6%	50.1%	21.5%	6.3%	-2.3%	2.1M	-32.0M	-159.2K	0.29	42.01	N/A	N/A	642	184	26,954	11,821
2011-08-30	$26.47	$25.15	21.3%	6.1%	34.8%	45.0%	21.8%	5.2%	-0.8%	2.2M	-32.6M	-158.9K	0.07	44.73	N/A	N/A	388	28	27,248	11,889
2011-08-31	$26.90	$25.15	21.2%	6.1%	35.2%	44.8%	19.9%	7.9%	1.7%	2.2M	-38.2M	-155.8K	0.26	49.46	N/A	N/A	1,127	296	27,453	11,901