PPL Options History — April 2012

In April 2012, PPL traded between $24.93 and $26.27. ATM implied volatility averaged 13.2%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.4% (HV 20d: 12.8%). Max pain ranged from $26.08 to $26.08. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2012-04-23: Highest Volume — 4,080 contracts
  • 2012-04-09: Largest IV spike — 18.3% change
  • 2012-04-12: Highest IV Rank — 21.1%
  • 2012-04-10: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.43$24.93$26.27$26.27$25.47
Max Pain$26.08$26.08$26.08$26.08$26.08
ATM IV13.2%10.2%14.8%10.2%13.6%
Expected Move3.8%2.9%4.6%2.9%3.9%
HV 20d12.8%11.3%14.0%12.0%12.7%
HV 60d13.8%13.1%14.4%14.2%13.1%
IV Rank15.3%4.9%21.1%4.9%16.8%
IV Percentile19.4%2.0%33.3%2.0%20.6%
Term Structure0.7%-0.5%2.5%2.5%0.8%
VWIV12.9%9.3%16.3%10.5%13.6%
Skew 25d2.9%-3.3%7.5%-2.6%5.3%
Skew 10d6.0%-4.3%32.5%-4.3%1.7%
Call IV 25d11.2%6.0%14.2%11.9%6.5%
Put IV 25d14.1%7.2%17.8%9.3%11.8%
Bid-Ask Spread %46.1726.81106.6242.7241.28
Gamma HHI0.250.180.330.330.26
Net GEX1.1M-200.7K3.9M3.9M1.1M
Net DEX2.0M-15.7M11.0M-15.7M-1.5M
Net VEX-130.5K-167.5K-109.5K-165.8K-134.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.071.500.780.40
Total Volume787.152004,080623200
Total OI46,227.3531,02251,93149,77536,226

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$26.27$26.0810.2%2.9%12.0%4.9%10.5%-2.6%2.5%3.9M-15.7M-165.8K0.7842.72N/AN/A34927437,29112,484
2012-04-03$26.24$26.0810.7%3.1%11.4%6.8%10.7%1.7%2.4%3.6M-13.0M-167.5K0.2349.92N/AN/A59813537,40712,615
2012-04-04$25.98$26.0810.7%3.1%11.3%6.6%10.6%-1.5%1.9%2.9M-7.4M-156.1K0.5544.89N/AN/A31517337,71812,559
2012-04-05$25.73$26.0810.6%3.0%11.6%6.4%10.6%-3.3%1.9%2.1M-982.6K-146.5K0.8642.30N/AN/A19917137,86712,654
2012-04-09$25.76$26.0812.6%3.8%11.3%13.2%14.1%7.5%0.5%2.2M-2.6M-148.0K1.0859.33N/AN/A17719137,92512,791
2012-04-10$25.20$26.0813.9%4.6%12.9%17.9%16.3%3.6%-0.2%653.4K7.8M-120.3K0.6335.72N/AN/A1,08168437,97912,831
2012-04-11$25.21$26.0813.2%4.4%12.9%15.3%15.4%2.9%-0.5%590.1K7.2M-128.0K0.8053.50N/AN/A29223338,13313,153
2012-04-12$25.24$26.0814.8%4.3%12.7%21.1%13.8%4.0%-0.2%395.6K8.0M-120.0K0.3743.68N/AN/A30411438,24713,161
2012-04-13$24.93$26.0814.2%4.1%13.1%19.0%14.0%3.3%0.7%-14.0K11.0M-113.8K0.40106.62N/AN/A43717538,40713,235
2012-04-16$25.08$26.0814.2%4.1%13.2%19.1%14.5%4.0%0.9%102.9K9.0M-120.5K0.5450.57N/AN/A23812938,54713,334
2012-04-17$25.23$26.0814.4%4.1%13.3%19.7%13.6%3.6%0.6%120.3K8.5M-117.9K0.1728.31N/AN/A2884838,61213,319
2012-04-18$25.05$26.0814.3%4.1%13.1%19.2%13.7%3.5%0.0%-200.7K10.0M-113.9K0.2832.87N/AN/A2968238,60013,297
2012-04-19$25.05$26.0814.5%4.2%13.1%20.0%14.1%2.7%-0.3%-115.1K10.7M-110.1K1.5054.17N/AN/A9013538,61513,314
2012-04-20$25.29$26.0813.8%4.0%13.7%17.5%13.3%3.1%0.2%-54.5K7.0M-114.2K0.6729.37N/AN/A28018738,61513,027
2012-04-23$25.20$26.0813.9%4.0%13.7%17.7%13.7%2.3%1.2%552.9K2.8M-109.5K0.1939.44N/AN/A3,42565521,8969,126
2012-04-24$25.40$26.0814.0%4.0%14.0%18.2%11.4%3.9%0.4%874.5K233.2K-127.8K0.0753.81N/AN/A1,0827824,6899,721
2012-04-25$25.23$26.0813.0%3.7%12.8%14.6%11.1%7.3%0.4%909.8K693.0K-131.0K0.3441.49N/AN/A1,02734625,6359,722
2012-04-26$25.50$26.0813.0%3.7%13.3%14.8%9.3%6.5%1.0%1.1M-995.9K-129.3K0.4026.81N/AN/A50720326,0069,910
2012-04-27$25.44$26.0813.7%3.9%13.2%17.1%13.5%0.8%0.3%1.1M-1.1M-135.2K0.3046.50N/AN/A41912625,9819,898
2012-04-30$25.47$26.0813.6%3.9%12.7%16.8%13.6%5.3%0.8%1.1M-1.5M-134.4K0.4041.28N/AN/A1435726,2609,966