PPL Options History — September 2011

In September 2011, PPL traded between $26.03 and $27.26. ATM implied volatility averaged 21.2%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.8% (HV 20d: 19.3%). Max pain ranged from $25.15 to $25.15. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2011-09-06: Highest Volume — 19,276 contracts
  • 2011-09-22: Largest IV spike — 23.3% change
  • 2011-09-12: Highest IV Rank — 56.7%
  • 2011-09-23: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.59$26.03$27.26$26.75$26.58
Max Pain$25.15$25.15$25.15$25.15$25.15
ATM IV21.2%17.6%24.7%18.3%22.1%
Expected Move5.9%5.0%7.0%5.2%6.3%
HV 20d19.3%15.3%32.0%31.8%15.6%
HV 60d22.9%22.5%23.4%22.5%23.4%
IV Rank44.6%32.2%56.7%34.6%47.9%
IV Percentile83.2%55.2%96.4%63.1%89.3%
Term Structure1.2%-1.2%2.9%1.7%1.4%
VWIV21.6%17.7%26.7%18.5%26.7%
Skew 25d5.9%4.0%9.3%6.7%5.7%
Skew 10d13.4%6.2%22.3%9.1%14.0%
Call IV 25d18.1%13.4%21.6%15.3%21.5%
Put IV 25d24.0%19.3%27.3%22.0%27.1%
Bid-Ask Spread %46.9018.1081.4681.4646.55
Gamma HHI0.270.230.310.270.30
Net GEX2.2M1.1M3.8M2.4M3.5M
Net DEX-33.1M-46.3M-20.6M-38.0M-40.5M
Net VEX-153.3K-186.2K-131.4K-159.7K-184.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.005.110.310.52
Total Volume2,108.14312319,276291123
Total OI40,185.23835,57151,88140,21751,881

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$26.75$25.1518.3%5.2%31.8%34.6%18.5%6.7%1.7%2.4M-38.0M-159.7K0.3181.46N/AN/A2226928,20212,015
2011-09-02$26.58$25.1519.0%5.4%32.0%37.0%19.2%6.3%2.9%2.5M-35.3M-158.7K1.5845.99N/AN/A10817228,33412,064
2011-09-06$26.69$25.1520.3%5.7%25.7%41.5%23.6%4.9%2.2%2.5M-35.5M-153.9K0.0772.08N/AN/A18,0201,25628,37312,035
2011-09-07$26.37$25.1522.0%5.9%23.0%47.5%20.2%5.9%0.8%1.6M-25.8M-149.5K1.9718.10N/AN/A37173323,96313,085
2011-09-08$26.39$25.1522.1%5.9%19.4%47.9%22.2%5.2%0.3%1.4M-25.5M-150.7K0.4826.37N/AN/A57027624,03013,716
2011-09-09$26.03$25.1524.0%6.4%19.3%54.2%22.4%9.3%-0.1%1.2M-20.6M-154.5K0.1433.33N/AN/A5447624,54813,759
2011-09-12$26.06$25.1524.7%6.4%18.8%56.7%23.8%4.0%0.7%1.2M-21.4M-151.5K1.2848.64N/AN/A17422324,90313,760
2011-09-13$26.06$25.1522.4%6.3%17.1%48.8%21.4%6.5%0.6%1.1M-21.5M-152.7K1.3138.33N/AN/A9312225,00513,873
2011-09-14$26.26$25.1523.2%6.3%16.9%51.4%23.8%5.5%0.5%1.2M-25.5M-150.4K2.8938.48N/AN/A11432925,07113,850
2011-09-15$26.51$25.1520.3%5.8%16.4%41.7%21.1%4.1%1.3%1.6M-30.0M-144.0K3.7346.64N/AN/A17465025,11113,915
2011-09-16$26.82$25.1517.7%5.1%16.6%32.7%19.1%5.4%2.5%2.7M-35.3M-140.9K1.0023.78N/AN/A32132025,23913,762
2011-09-19$26.71$25.1517.6%5.0%16.8%32.2%18.1%4.3%2.9%2.2M-33.1M-140.6K0.8248.20N/AN/A34928724,58210,989
2011-09-20$27.26$25.1518.8%5.4%17.7%36.6%18.4%5.9%0.5%2.1M-41.5M-131.4K0.2545.56N/AN/A1,13228224,85311,145
2011-09-21$26.99$25.1518.5%5.3%17.7%35.5%17.7%4.7%2.0%2.2M-37.6M-140.1K0.2559.98N/AN/A61615625,28611,328
2011-09-22$26.53$25.1522.8%6.5%18.1%50.3%23.8%6.1%1.6%2.1M-30.4M-146.3K0.1868.60N/AN/A1,03318125,78811,451
2011-09-23$26.54$25.1524.4%7.0%17.7%55.8%23.6%6.6%0.9%2.2M-31.4M-149.9K1.0347.65N/AN/A72374726,71511,527
2011-09-26$26.84$25.1521.4%6.1%18.1%45.2%20.5%8.2%1.8%2.2M-35.1M-148.1K0.1526.64N/AN/A4426727,06812,045
2011-09-27$26.90$25.1519.7%5.7%16.0%39.6%20.1%5.3%1.0%2.5M-38.0M-141.3K0.0062.12N/AN/A11,5283527,17612,067
2011-09-28$26.72$25.1523.0%6.6%16.2%50.7%25.2%6.4%-1.2%3.7M-45.5M-186.2K1.6755.87N/AN/A19432438,38112,071
2011-09-29$26.87$25.1522.2%6.4%15.3%48.3%24.6%7.1%0.4%3.8M-46.3M-183.7K5.1150.51N/AN/A18393238,53112,393
2011-09-30$26.58$25.1522.1%6.3%15.6%47.9%26.7%5.7%1.4%3.5M-40.5M-184.9K0.5246.55N/AN/A814238,66913,212