PPL Options History — February 2012

In February 2012, PPL traded between $25.60 and $26.87. ATM implied volatility averaged 14.8%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 1.6% (HV 20d: 16.4%). Max pain ranged from $25.15 to $26.08. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2012-02-28: Highest Volume — 3,737 contracts
2012-02-29: Largest IV spike — 19.5% change
2012-02-06: Highest IV Rank — 24.6%
2012-02-06: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.22	$25.60	$26.87	$25.95	$26.59
Max Pain	$25.24	$25.15	$26.08	$26.08	$25.15
ATM IV	14.8%	12.5%	16.8%	14.7%	15.0%
Expected Move	4.2%	3.4%	4.7%	4.2%	4.3%
HV 20d	16.4%	14.0%	18.3%	15.3%	15.1%
HV 60d	17.3%	16.0%	18.1%	17.4%	16.0%
IV Rank	17.3%	8.9%	24.6%	16.9%	17.9%
IV Percentile	23.2%	5.6%	46.4%	20.6%	27.0%
Term Structure	-0.3%	-1.7%	1.0%	-0.2%	-0.0%
VWIV	15.5%	13.5%	20.3%	14.8%	16.8%
Skew 25d	4.4%	-0.1%	7.2%	5.9%	0.3%
Skew 10d	4.9%	-0.6%	12.6%	7.2%	-0.6%
Call IV 25d	11.7%	10.4%	14.8%	11.1%	12.4%
Put IV 25d	16.1%	12.7%	17.9%	17.0%	12.7%
Bid-Ask Spread %	40.75	16.40	108.89	21.19	61.73
Gamma HHI	0.33	0.29	0.45	0.29	0.33
Net GEX	3.0M	1.9M	4.1M	2.2M	4.1M
Net DEX	-16.3M	-28.6M	-3.8M	-8.9M	-26.2M
Net VEX	-159.6K	-202.7K	-128.8K	-129.6K	-202.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.01	1.96	0.01	0.28
Total Volume	1,952.15	606	3,737	2,293	905
Total OI	41,954.7	35,082	50,522	35,082	50,522

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-02-01	$25.95	$26.08	14.7%	4.2%	15.3%	16.9%	14.8%	5.9%	-0.2%	2.2M	-8.9M	-129.6K	0.01	21.19	N/A	N/A	2,264	29	28,087	6,995
2012-02-02	$25.67	$26.08	14.2%	4.1%	15.7%	15.1%	14.0%	3.1%	-0.0%	2.1M	-6.8M	-130.7K	1.42	18.45	N/A	N/A	778	1,109	29,583	7,003
2012-02-03	$25.65	$25.15	14.4%	3.4%	15.6%	16.0%	14.3%	7.2%	1.0%	2.0M	-5.1M	-133.0K	0.58	36.48	N/A	N/A	862	496	29,916	7,929
2012-02-06	$25.60	$25.15	16.8%	4.7%	15.4%	24.6%	16.7%	5.7%	-1.7%	1.9M	-3.8M	-128.8K	1.96	43.34	N/A	N/A	256	501	30,471	8,255
2012-02-07	$25.82	$25.15	15.9%	4.3%	15.4%	21.2%	14.3%	6.4%	0.2%	2.2M	-6.9M	-136.8K	0.48	30.61	N/A	N/A	446	216	30,565	8,656
2012-02-08	$25.87	$25.15	15.6%	4.5%	15.4%	20.2%	14.6%	6.5%	-1.0%	2.4M	-8.1M	-138.9K	0.62	27.18	N/A	N/A	374	232	30,874	8,847
2012-02-09	$25.81	$25.15	15.2%	4.4%	14.0%	18.8%	14.3%	6.9%	-0.4%	2.3M	-6.5M	-137.2K	0.29	48.35	N/A	N/A	715	204	30,957	9,046
2012-02-10	$26.50	$25.15	15.2%	4.4%	16.8%	18.8%	13.5%	3.9%	-0.8%	3.3M	-20.7M	-157.9K	0.27	108.89	N/A	N/A	2,345	644	31,296	9,040
2012-02-13	$26.00	$25.15	16.5%	4.7%	18.1%	23.4%	18.9%	-0.1%	-1.2%	3.2M	-11.0M	-147.4K	0.27	31.67	N/A	N/A	2,338	628	32,247	9,177
2012-02-14	$25.94	$25.15	14.3%	4.1%	18.1%	15.4%	20.3%	5.6%	-0.5%	3.4M	-10.2M	-144.5K	0.05	27.34	N/A	N/A	1,243	62	33,378	9,179
2012-02-15	$26.03	$25.15	15.1%	4.3%	18.0%	18.3%	14.0%	6.8%	-0.7%	4.1M	-14.3M	-152.7K	0.05	70.54	N/A	N/A	1,636	79	34,029	9,163
2012-02-16	$26.42	$25.15	15.9%	4.6%	18.3%	21.3%	15.9%	3.5%	-1.2%	3.7M	-25.5M	-167.0K	0.40	39.37	N/A	N/A	2,304	933	34,900	9,175
2012-02-17	$26.52	$25.15	15.6%	4.5%	17.8%	20.1%	15.6%	4.5%	-1.2%	3.2M	-26.5M	-172.7K	0.09	16.40	N/A	N/A	1,251	116	35,458	10,002
2012-02-21	$26.34	$25.15	14.5%	4.1%	17.6%	16.0%	15.0%	4.3%	-0.9%	2.8M	-15.8M	-161.8K	0.22	16.73	N/A	N/A	1,994	432	31,875	8,492
2012-02-22	$26.59	$25.15	14.0%	4.0%	17.7%	14.2%	14.6%	5.5%	0.2%	3.2M	-22.7M	-177.5K	0.95	33.22	N/A	N/A	1,150	1,089	33,297	8,742
2012-02-23	$26.65	$25.15	13.7%	3.9%	16.1%	13.2%	15.3%	3.9%	0.3%	3.2M	-23.5M	-186.5K	0.33	37.36	N/A	N/A	2,788	913	34,068	9,728
2012-02-24	$26.87	$25.15	13.0%	3.7%	16.3%	10.4%	16.2%	3.1%	-0.0%	3.4M	-28.6M	-197.3K	0.36	43.85	N/A	N/A	571	206	35,045	9,783
2012-02-27	$26.76	$25.15	14.1%	4.0%	15.4%	14.6%	15.2%	3.5%	0.3%	3.4M	-27.1M	-193.7K	0.02	47.56	N/A	N/A	3,137	60	35,344	9,908
2012-02-28	$26.71	$25.15	12.5%	3.6%	15.1%	8.9%	15.6%	2.1%	0.9%	4.1M	-27.9M	-195.5K	0.52	54.66	N/A	N/A	2,455	1,282	38,102	9,960
2012-02-29	$26.59	$25.15	15.0%	4.3%	15.1%	17.9%	16.8%	0.3%	-0.0%	4.1M	-26.2M	-202.7K	0.28	61.73	N/A	N/A	709	196	39,649	10,873