PPL Options History — January 2012

In January 2012, PPL traded between $25.61 and $26.84. ATM implied volatility averaged 14.4%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.3% (HV 20d: 16.7%). Max pain ranged from $26.08 to $27.01. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2012-01-23: Highest Volume — 6,445 contracts
  • 2012-01-12: Largest IV spike — 63.3% change
  • 2012-01-12: Highest IV Rank — 23.5%
  • 2012-01-11: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.22$25.61$26.84$26.84$25.88
Max Pain$26.27$26.08$27.01$27.01$26.08
ATM IV14.4%10.1%16.5%14.4%14.2%
Expected Move4.3%3.9%4.8%4.1%4.1%
HV 20d16.7%13.9%17.8%17.8%16.6%
HV 60d17.9%17.6%18.2%18.0%17.9%
IV Rank16.5%0.0%23.5%21.3%14.9%
IV Percentile17.5%0.0%35.7%15.9%13.9%
Term Structure0.4%-0.7%2.4%1.7%0.0%
VWIV15.2%13.4%17.1%14.9%14.2%
Skew 25d3.9%-0.8%8.5%5.0%4.8%
Skew 10d4.5%-4.0%11.8%3.7%5.4%
Call IV 25d12.9%7.4%15.3%11.4%11.4%
Put IV 25d16.8%14.0%19.1%16.4%16.2%
Bid-Ask Spread %37.4622.3961.5954.9135.63
Gamma HHI0.310.190.480.360.29
Net GEX2.0M773.6K3.5M3.1M2.0M
Net DEX-7.7M-14.2M1.7M-13.8M-7.2M
Net VEX-115.7K-131.0K-92.8K-124.7K-123.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.010.850.280.01
Total Volume1,538.93016,4452,0032,208
Total OI35,412.0525,92740,92133,51134,362

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$26.84$27.0114.4%4.1%17.8%21.3%14.9%5.0%1.7%3.1M-13.8M-124.7K0.2854.91N/AN/A1,56943426,0297,482
2012-01-04$26.76$27.0114.8%4.3%17.7%22.8%15.1%3.8%0.6%2.9M-12.4M-124.5K0.0534.58N/AN/A9605026,9357,751
2012-01-05$26.80$27.0113.4%3.9%17.7%18.1%14.1%3.6%1.8%3.2M-13.2M-127.1K0.1661.59N/AN/A1,31521027,3297,768
2012-01-06$26.56$27.0114.1%4.4%16.9%13.9%17.1%4.0%-0.4%2.7M-10.5M-122.1K0.1837.82N/AN/A58710328,4017,918
2012-01-09$26.81$26.0813.8%4.2%16.8%12.8%16.6%3.8%0.8%3.4M-14.2M-124.2K0.0633.44N/AN/A3642128,6608,004
2012-01-10$26.78$26.0812.7%4.3%16.6%8.4%14.7%4.5%0.3%3.5M-13.4M-122.7K0.0738.42N/AN/A6444428,9908,021
2012-01-11$26.27$26.0810.1%4.8%17.7%0.0%16.7%2.9%0.1%1.8M-5.8M-106.7K0.2126.52N/AN/A1,07822329,3728,040
2012-01-12$26.08$26.0816.5%4.7%17.8%23.5%16.2%4.5%-0.1%1.4M-4.2M-105.4K0.4137.84N/AN/A1,07644330,1208,244
2012-01-13$26.16$26.0816.0%4.6%17.7%21.5%16.2%4.0%0.4%1.2M-5.1M-108.4K0.6046.21N/AN/A83550230,5598,478
2012-01-17$26.01$26.0816.2%4.7%17.0%22.5%16.2%2.9%-0.2%936.9K-3.6M-104.8K0.5927.82N/AN/A21912930,7928,743
2012-01-18$26.16$26.0815.3%4.4%17.0%18.9%15.2%3.2%0.6%1.0M-5.3M-108.1K0.5235.11N/AN/A87245330,8738,842
2012-01-19$25.89$26.0815.1%4.3%16.7%18.3%15.6%3.0%0.0%822.0K-1.7M-103.5K0.2749.02N/AN/A1,29934631,3959,169
2012-01-20$25.61$26.0816.1%4.6%16.3%21.9%15.2%-0.8%2.4%773.6K1.7M-92.8K0.8526.09N/AN/A49742231,5799,342
2012-01-23$25.91$26.0814.9%4.3%14.1%17.5%15.0%2.5%-0.2%1.0M-3.7M-98.3K0.1231.58N/AN/A5,75868720,6535,274
2012-01-24$25.74$26.0814.3%4.1%13.9%15.4%14.9%3.8%-0.7%1.5M-5.0M-107.9K0.4831.59N/AN/A1,37366623,8035,753
2012-01-25$26.29$26.0814.3%4.1%16.2%15.6%14.5%8.5%0.7%2.1M-12.0M-129.7K0.5330.11N/AN/A1,20764524,8986,323
2012-01-26$26.27$26.0813.5%3.9%16.0%12.5%13.4%3.3%1.0%2.1M-11.5M-131.0K0.4144.70N/AN/A91537125,3906,817
2012-01-27$25.89$26.0813.9%4.0%16.5%13.9%13.9%6.3%0.2%1.9M-8.4M-128.7K0.1643.75N/AN/A2604126,0926,896
2012-01-30$25.70$26.0814.4%4.1%16.4%15.8%14.7%4.0%-0.0%1.7M-5.2M-119.7K0.1122.39N/AN/A1,75319926,2076,937
2012-01-31$25.88$26.0814.2%4.1%16.6%14.9%14.2%4.8%0.0%2.0M-7.2M-123.5K0.0135.63N/AN/A2,1931527,3706,992