PPL Options History — November 2011

In November 2011, PPL traded between $26.46 and $28.17. ATM implied volatility averaged 18.0%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.2% (HV 20d: 17.7%). Max pain ranged from $27.01 to $27.01. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2011-11-03: Highest Volume — 2,169 contracts
  • 2011-11-09: Largest IV spike — 24.6% change
  • 2011-11-01: Highest IV Rank — 46.9%
  • 2011-11-01: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.48$26.46$28.17$27.03$27.96
Max Pain$27.01$27.01$27.01$27.01$27.01
ATM IV18.0%14.2%21.9%21.9%16.6%
Expected Move5.3%4.8%6.3%6.3%4.8%
HV 20d17.7%16.2%21.0%16.2%21.0%
HV 60d17.9%17.0%20.8%20.8%18.5%
IV Rank33.6%20.8%46.9%46.9%29.0%
IV Percentile56.0%15.1%86.5%86.5%37.3%
Term Structure-0.2%-2.1%2.1%-1.7%-0.1%
VWIV18.4%15.7%23.2%23.2%15.7%
Skew 25d5.9%3.8%8.8%6.4%4.0%
Skew 10d8.9%-0.4%16.1%3.2%3.2%
Call IV 25d15.0%11.1%18.8%18.8%12.7%
Put IV 25d20.9%16.6%25.2%25.2%16.6%
Bid-Ask Spread %39.1124.1579.3740.6929.54
Gamma HHI0.510.250.760.530.32
Net GEX4.8M1.5M9.7M3.9M2.4M
Net DEX-34.9M-58.4M-15.7M-28.3M-31.9M
Net VEX-132.7K-151.8K-112.8K-140.5K-122.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.022.611.450.12
Total Volume771.3331292,1697941,719
Total OI36,710.38126,62842,89138,20629,026

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$27.03$27.0121.9%6.3%16.2%46.9%23.2%6.4%-1.7%3.9M-28.3M-140.5K1.4540.69N/AN/A32447031,4326,774
2011-11-02$27.40$27.0120.3%5.8%16.2%41.7%20.4%5.7%0.9%4.5M-35.5M-144.9K0.1927.97N/AN/A1,10820731,5707,128
2011-11-03$27.94$27.0117.0%4.9%16.5%30.1%17.9%7.8%0.8%5.5M-48.2M-150.5K0.0579.37N/AN/A2,05611332,3397,243
2011-11-04$27.63$27.0114.8%4.8%17.2%22.6%17.2%6.0%1.2%6.0M-40.5M-151.8K0.3926.87N/AN/A33012833,3677,334
2011-11-07$27.80$27.0115.7%5.1%16.2%25.9%16.7%5.3%0.1%6.7M-44.4M-149.9K0.5232.47N/AN/A19310033,4637,404
2011-11-08$28.04$27.0114.2%5.3%16.2%20.8%15.9%4.5%-0.4%7.3M-52.5M-145.8K0.1326.52N/AN/A6378633,5287,417
2011-11-09$27.74$27.0117.8%5.0%16.6%32.8%18.2%6.3%-0.4%6.3M-44.0M-147.4K2.6131.81N/AN/A13234533,8627,445
2011-11-10$27.85$27.0118.2%5.2%16.6%34.4%18.6%6.0%0.1%7.3M-46.8M-147.1K0.9724.15N/AN/A767433,8807,440
2011-11-11$28.17$27.0118.4%5.3%16.9%35.1%18.9%5.8%-0.6%8.1M-58.4M-135.1K0.0346.69N/AN/A1,2373933,9037,511
2011-11-14$27.81$27.0118.1%5.2%17.7%34.1%20.2%5.0%-0.9%9.4M-47.0M-138.5K0.0537.45N/AN/A8964834,8717,532
2011-11-15$27.82$27.0117.7%5.1%17.6%32.6%17.4%6.1%-0.3%9.7M-47.0M-138.1K0.0228.71N/AN/A133335,1377,548
2011-11-16$27.41$27.0119.1%5.5%18.6%37.6%19.2%6.6%-1.6%6.4M-32.2M-129.4K0.0835.11N/AN/A3822935,1807,551
2011-11-17$27.20$27.0119.8%5.7%18.8%39.8%21.2%6.0%-1.3%2.9M-25.4M-121.7K0.5239.96N/AN/A31716335,1607,554
2011-11-18$27.50$27.0116.6%4.8%18.2%28.9%18.9%6.0%1.1%4.2M-29.6M-125.6K0.4141.57N/AN/A1556335,2857,606
2011-11-21$27.29$27.0119.1%5.5%18.1%37.4%18.2%6.4%-1.5%1.9M-23.0M-119.7K0.3047.88N/AN/A60117920,8495,779
2011-11-22$27.09$27.0117.8%5.1%17.7%33.1%18.9%5.3%-0.5%1.8M-21.3M-117.3K0.2052.68N/AN/A85816921,1825,913
2011-11-23$26.46$27.0121.1%6.0%18.8%44.2%18.6%3.8%-2.1%1.5M-15.7M-114.4K0.4034.13N/AN/A36014521,6246,031
2011-11-25$26.61$27.0117.6%5.0%18.8%32.4%17.0%8.8%2.1%1.6M-16.4M-112.8K0.1735.79N/AN/A1111821,7016,093
2011-11-28$27.09$27.0118.6%5.3%19.6%35.6%18.1%3.9%-0.4%1.9M-21.1M-115.9K0.0646.68N/AN/A1,2607921,7786,069
2011-11-29$27.22$27.0117.3%5.0%19.3%31.5%17.0%7.6%0.5%2.1M-23.4M-118.6K0.2955.17N/AN/A66219322,2806,129
2011-11-30$27.96$27.0116.6%4.8%21.0%29.0%15.7%4.0%-0.1%2.4M-31.9M-122.6K0.1229.54N/AN/A1,53518422,7156,311