PPL Options History — October 2011

In October 2011, PPL traded between $25.57 and $27.66. ATM implied volatility averaged 19.7%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.4% (HV 20d: 18.3%). Max pain ranged from $25.15 to $27.01. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2011-10-21: Highest Volume — 5,575 contracts
  • 2011-10-31: Largest IV spike — 29.6% change
  • 2011-10-03: Highest IV Rank — 62.4%
  • 2011-10-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.67$25.57$27.66$25.86$27.36
Max Pain$26.12$25.15$27.01$25.15$27.01
ATM IV19.7%15.2%26.4%26.4%19.7%
Expected Move5.8%4.4%7.6%7.6%5.6%
HV 20d18.3%15.5%19.9%18.3%15.5%
HV 60d24.2%22.8%24.5%24.0%22.9%
IV Rank39.5%24.0%62.4%62.4%39.4%
IV Percentile68.6%20.6%97.6%97.6%77.0%
Term Structure0.3%-1.4%1.9%-1.4%1.3%
VWIV19.9%16.4%26.6%26.0%17.8%
Skew 25d5.9%4.2%7.3%6.1%7.2%
Skew 10d12.2%4.1%19.7%19.7%8.9%
Call IV 25d17.4%11.7%23.7%23.7%14.8%
Put IV 25d23.4%18.9%29.8%29.8%22.0%
Bid-Ask Spread %43.0323.0385.5740.5585.57
Gamma HHI0.370.250.600.270.57
Net GEX4.3M2.6M5.8M2.9M4.6M
Net DEX-36.5M-64.3M-16.9M-27.3M-35.1M
Net VEX-150.8K-170.6K-140.8K-170.6K-142.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.010.940.140.31
Total Volume1,066.2382115,575282211
Total OI49,013.57135,89955,66451,96237,661

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$25.86$25.1526.4%7.6%18.3%62.4%26.0%6.1%-1.4%2.9M-27.3M-170.6K0.1440.55N/AN/A2483438,74113,221
2011-10-04$25.75$25.1525.1%7.2%18.2%57.9%25.9%7.3%1.0%2.8M-21.2M-160.5K0.9431.11N/AN/A58955238,70613,235
2011-10-05$25.57$25.1525.7%7.4%17.9%60.1%22.4%5.5%0.2%2.6M-16.9M-152.3K0.1438.54N/AN/A97313238,69713,414
2011-10-06$26.01$25.1521.3%6.1%19.1%44.9%21.2%4.3%1.9%3.3M-25.5M-159.7K0.0728.30N/AN/A8155438,86813,526
2011-10-07$26.17$27.0120.8%6.6%18.6%43.4%26.6%6.7%-0.1%3.8M-30.4M-159.7K0.2226.70N/AN/A56912339,35213,568
2011-10-10$26.68$27.0117.8%5.7%19.8%32.8%20.7%6.5%0.6%4.6M-41.9M-160.6K0.4038.39N/AN/A38115239,60513,625
2011-10-11$26.58$27.0116.7%5.7%19.8%29.1%20.1%5.5%-0.1%4.5M-40.2M-157.5K0.2141.65N/AN/A62412939,70213,716
2011-10-12$26.39$26.0818.6%5.9%19.9%35.7%18.2%5.7%-0.2%4.5M-35.8M-149.5K0.1781.70N/AN/A93215739,73713,779
2011-10-13$26.47$26.0820.4%5.9%19.6%42.0%18.2%6.2%-0.4%4.8M-36.6M-147.2K0.2443.38N/AN/A51812640,06913,913
2011-10-14$26.56$26.0817.2%4.9%19.2%30.8%17.0%5.0%0.4%5.1M-41.1M-146.2K0.9140.97N/AN/A67561240,33213,998
2011-10-17$26.54$26.0820.7%5.9%19.1%42.9%18.4%5.5%-0.8%5.1M-39.8M-142.3K0.1641.01N/AN/A1,00616040,76614,386
2011-10-18$26.73$26.0817.9%5.1%17.7%33.3%23.0%5.4%0.5%5.5M-45.1M-143.7K0.2123.03N/AN/A64113340,97214,520
2011-10-19$26.83$26.0818.8%5.4%17.5%36.4%19.0%6.0%-0.8%5.5M-48.7M-144.1K0.4930.19N/AN/A74236340,82514,522
2011-10-20$26.93$26.0819.2%5.5%16.3%37.8%19.0%6.1%-1.0%5.8M-52.0M-145.8K0.1835.78N/AN/A56710240,78814,776
2011-10-21$27.40$26.0819.1%5.5%17.4%37.6%16.8%7.2%-0.3%4.5M-64.3M-148.6K0.0143.99N/AN/A5,5314440,81914,845
2011-10-24$27.17$26.0818.4%5.3%17.3%35.2%16.7%4.2%0.1%3.9M-31.2M-146.1K0.0930.92N/AN/A1,49813629,7886,111
2011-10-25$26.82$26.0818.0%5.2%17.9%33.8%18.8%4.2%1.0%3.4M-25.8M-140.8K0.5545.11N/AN/A38020830,4736,221
2011-10-26$27.22$26.0818.6%5.3%18.5%35.8%17.7%6.6%1.6%4.2M-31.9M-147.5K0.1747.59N/AN/A2784730,6986,350
2011-10-27$27.39$26.0818.3%5.2%18.5%34.6%16.4%6.1%1.3%4.6M-36.0M-151.2K0.9066.66N/AN/A38134230,8796,377
2011-10-28$27.66$27.0115.2%4.4%18.2%24.0%18.3%7.2%1.2%5.1M-40.2M-150.3K0.0942.50N/AN/A1,12310331,0406,664
2011-10-31$27.36$27.0119.7%5.6%15.5%39.4%17.8%7.2%1.3%4.6M-35.1M-142.9K0.3185.57N/AN/A1615030,9376,724