PPL Options History — March 2012

In March 2012, PPL traded between $25.77 and $26.61. ATM implied volatility averaged 11.4%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 1.0% (HV 20d: 12.3%). Max pain ranged from $25.15 to $26.08. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2012-03-06: Highest Volume — 20,496 contracts
  • 2012-03-05: Largest IV drop — 40.9% change
  • 2012-03-02: Highest IV Rank — 17.6%
  • 2012-03-02: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.19$25.77$26.61$26.61$26.32
Max Pain$25.99$25.15$26.08$25.15$26.08
ATM IV11.4%8.8%14.9%14.3%11.2%
Expected Move3.5%2.9%4.3%4.1%3.2%
HV 20d12.3%9.5%15.7%15.1%12.1%
HV 60d15.1%14.0%16.0%16.0%14.2%
IV Rank8.7%0.0%17.6%15.3%8.3%
IV Percentile5.6%0.0%27.0%18.3%6.7%
Term Structure1.9%-0.8%3.0%0.4%2.4%
VWIV12.0%9.9%15.1%13.8%11.2%
Skew 25d2.7%-1.8%5.9%0.2%3.2%
Skew 10d3.9%-2.5%11.1%-0.2%1.4%
Call IV 25d10.1%6.4%12.9%12.7%6.4%
Put IV 25d12.8%9.0%15.7%12.9%9.6%
Bid-Ask Spread %40.8122.1081.4651.7244.62
Gamma HHI0.310.270.340.330.34
Net GEX3.3M2.2M4.4M4.2M3.8M
Net DEX-15.1M-26.8M-3.5M-26.8M-15.7M
Net VEX-180.0K-201.5K-150.8K-201.5K-176.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.016.530.270.14
Total Volume2,073.09127020,496270955
Total OI49,134.63646,67151,55250,89149,082

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$26.61$25.1514.3%4.1%15.1%15.3%13.8%0.2%0.4%4.2M-26.8M-201.5K0.2751.72N/AN/A2135739,89810,993
2012-03-02$26.51$25.1514.9%4.3%14.6%17.6%15.1%5.9%-0.8%4.2M-25.4M-200.8K0.0624.45N/AN/A1,82511339,99710,996
2012-03-05$26.60$26.088.8%3.8%14.6%0.0%13.5%3.7%1.7%4.4M-26.7M-196.7K0.2237.45N/AN/A52311640,23511,084
2012-03-06$26.31$26.0812.4%4.0%15.2%12.6%13.6%2.5%1.7%4.0M-22.2M-191.6K0.0134.86N/AN/A20,20229440,41011,142
2012-03-07$26.03$26.0812.1%3.9%15.5%11.6%13.7%3.1%1.5%3.0M-13.3M-188.6K0.2831.10N/AN/A1,68347237,65411,278
2012-03-08$26.15$26.0811.9%3.9%15.6%11.0%12.9%3.4%1.7%3.2M-15.5M-190.2K0.1153.59N/AN/A3023237,80911,233
2012-03-09$26.32$26.0813.0%3.8%15.7%14.6%11.7%3.2%1.5%3.5M-18.8M-198.7K0.1738.26N/AN/A89314937,77611,243
2012-03-12$26.55$26.089.3%3.2%12.9%1.9%12.4%4.0%2.5%4.0M-24.2M-192.5K2.4238.24N/AN/A33581237,63911,316
2012-03-13$26.43$26.089.6%3.7%11.0%2.7%11.0%3.3%1.7%4.0M-21.9M-190.5K0.1027.79N/AN/A6376437,82811,131
2012-03-14$26.17$26.0811.6%3.6%11.6%9.8%12.5%1.8%2.4%3.6M-16.1M-182.4K6.5370.63N/AN/A1841,19837,98911,150
2012-03-15$26.25$26.0812.8%3.7%11.6%14.0%12.7%2.5%1.4%3.4M-16.4M-182.4K0.1437.81N/AN/A2,05329737,93812,090
2012-03-16$26.37$26.0811.8%3.4%10.4%10.5%11.8%2.3%2.5%3.8M-20.3M-187.2K0.6647.42N/AN/A56837538,61412,264
2012-03-19$26.16$26.0812.2%3.5%10.6%11.9%12.4%-1.7%2.2%3.2M-14.3M-180.2K0.5135.76N/AN/A1,16259536,56510,640
2012-03-20$25.90$26.0810.8%3.1%10.9%6.9%11.1%4.3%2.5%2.5M-7.3M-158.5K0.9828.65N/AN/A1,4131,38235,72010,951
2012-03-21$25.81$26.0810.7%3.1%10.3%6.5%10.9%3.6%2.3%2.4M-6.4M-166.2K1.0045.75N/AN/A42742635,81711,717
2012-03-22$25.77$26.0810.6%3.1%10.2%6.4%11.4%3.0%3.0%2.3M-4.3M-164.9K2.6233.62N/AN/A21656636,05111,998
2012-03-23$25.77$26.0810.4%3.0%9.5%5.5%10.8%2.9%2.3%2.2M-3.5M-162.2K0.7535.87N/AN/A63047536,13812,144
2012-03-26$25.84$26.0810.2%2.9%9.6%4.7%9.9%3.7%2.5%2.2M-3.6M-150.8K0.7681.46N/AN/A51239035,94412,067
2012-03-27$26.23$26.0810.4%3.0%11.3%5.4%10.7%-1.8%2.7%3.4M-13.8M-172.4K0.1840.71N/AN/A2,07638236,19712,280
2012-03-28$26.00$26.0810.4%3.0%11.6%5.5%10.4%4.0%2.5%2.8M-7.5M-163.8K0.9536.05N/AN/A16315636,60112,349
2012-03-29$26.09$26.0811.1%3.2%11.6%8.1%11.1%1.2%1.8%3.1M-9.3M-161.0K1.7922.10N/AN/A10218336,60612,388
2012-03-30$26.32$26.0811.2%3.2%12.1%8.3%11.2%3.2%2.4%3.8M-15.7M-176.7K0.1444.62N/AN/A83512036,63412,448