PPL Options History — December 2011

In December 2011, PPL traded between $26.41 and $27.76. ATM implied volatility averaged 14.1%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 5.1% (HV 20d: 19.2%). Max pain ranged from $24.22 to $27.01. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2011-12-06: Highest Volume — 122,959 contracts
  • 2011-12-15: Largest IV spike — 36.0% change
  • 2011-12-08: Highest IV Rank — 35.3%
  • 2011-12-08: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.26$26.41$27.76$27.74$27.40
Max Pain$26.74$24.22$27.01$27.01$27.01
ATM IV14.1%10.9%18.5%16.4%13.7%
Expected Move4.1%3.1%5.0%4.7%3.9%
HV 20d19.2%16.1%21.5%20.8%16.3%
HV 60d18.3%17.7%18.8%18.4%17.8%
IV Rank20.5%9.3%35.3%28.0%19.0%
IV Percentile17.5%1.6%64.7%32.1%11.5%
Term Structure2.4%-0.1%3.4%-0.1%3.1%
VWIV15.4%11.0%33.6%16.3%13.5%
Skew 25d3.5%-0.2%5.7%1.4%-0.2%
Skew 10d6.8%-0.6%15.1%2.2%0.9%
Call IV 25d12.6%9.1%15.4%14.0%12.4%
Put IV 25d16.1%12.1%19.8%15.4%12.2%
Bid-Ask Spread %34.5212.5560.3944.2112.55
Gamma HHI0.350.310.390.320.38
Net GEX2.9M2.0M4.0M2.5M3.9M
Net DEX-21.5M-38.7M-8.4M-31.0M-24.1M
Net VEX-129.1K-148.3K-105.3K-124.2K-145.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.001.150.030.29
Total Volume6,962.19107122,9595,859107
Total OI30,940.09528,26735,10129,90833,511

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$27.74$27.0116.4%4.7%20.8%28.0%16.3%1.4%-0.1%2.5M-31.0M-124.2K0.0344.21N/AN/A5,71214723,6636,245
2011-12-02$27.64$27.0113.9%4.0%19.5%19.8%14.3%2.0%1.8%2.7M-35.5M-135.1K0.0247.01N/AN/A1,9163126,3506,309
2011-12-05$27.75$24.2214.3%4.1%19.2%21.0%14.5%5.0%2.2%3.2M-38.4M-140.3K0.0426.38N/AN/A2,3319028,1466,338
2011-12-06$27.74$24.2215.7%4.2%19.1%25.9%33.6%4.9%3.1%3.1M-38.7M-146.2K0.0026.26N/AN/A122,47848128,7216,380
2011-12-07$27.25$27.0116.5%4.7%19.7%28.5%17.8%4.5%2.2%2.4M-17.1M-128.0K0.8425.44N/AN/A29024521,5136,754
2011-12-08$26.92$27.0118.5%5.0%19.8%35.3%17.4%4.4%1.4%2.0M-13.6M-122.8K0.4517.39N/AN/A2129421,5996,843
2011-12-09$27.08$27.0114.3%4.7%19.9%21.0%16.9%5.1%2.0%2.3M-14.9M-124.0K0.9430.20N/AN/A17616521,8096,882
2011-12-12$26.86$27.0116.0%4.7%19.4%26.7%16.2%4.4%2.2%2.0M-12.1M-116.9K0.0839.40N/AN/A1,0498121,8726,949
2011-12-13$26.87$27.0115.9%4.3%19.1%26.4%15.5%3.7%3.0%2.3M-13.4M-120.6K0.6822.76N/AN/A15210322,7327,010
2011-12-14$26.67$27.0111.0%4.3%19.2%9.6%16.3%3.2%2.9%2.1M-11.5M-114.1K1.0929.49N/AN/A13715022,8326,924
2011-12-15$27.02$27.0114.9%4.3%19.3%23.1%14.8%3.3%3.3%2.5M-15.1M-122.2K0.0852.83N/AN/A3903222,9216,964
2011-12-16$26.77$27.0114.6%4.2%19.4%22.0%15.9%3.6%2.2%2.4M-12.1M-115.0K0.0624.87N/AN/A9525623,1306,996
2011-12-19$26.41$27.0115.2%4.4%19.3%24.2%15.1%1.8%2.5%2.1M-8.4M-105.3K1.1550.13N/AN/A63272922,9096,393
2011-12-20$26.74$27.0113.2%3.8%19.8%17.1%11.0%5.0%3.0%2.5M-10.6M-113.1K0.0519.94N/AN/A3601922,9276,932
2011-12-21$27.39$27.0112.4%3.6%21.5%14.5%12.3%3.0%3.4%3.2M-20.1M-130.1K0.0439.15N/AN/A1,6606423,0596,939
2011-12-22$27.51$27.0111.6%3.3%19.6%11.6%11.9%3.2%2.9%3.7M-23.9M-138.0K0.1654.30N/AN/A91914324,0396,954
2011-12-23$27.62$27.0110.9%3.1%19.6%9.3%11.0%2.8%2.8%4.0M-25.7M-138.8K0.2760.39N/AN/A56915424,6717,091
2011-12-27$27.76$27.0112.0%3.4%18.7%13.1%11.9%5.7%3.1%4.0M-28.3M-138.5K0.4454.94N/AN/A1,33658824,7287,213
2011-12-28$27.65$27.0112.8%3.7%18.7%15.7%13.6%3.8%2.2%3.9M-27.7M-145.3K0.2530.02N/AN/A76218925,6307,338
2011-12-29$27.71$27.0113.3%3.8%16.1%17.5%14.2%3.9%1.3%4.0M-28.8M-148.3K0.0117.17N/AN/A500526,0597,467
2011-12-30$27.40$27.0113.7%3.9%16.3%19.0%13.5%-0.2%3.1%3.9M-24.1M-145.2K0.2912.55N/AN/A832426,0447,467