PPL Options History — May 2012

In May 2012, PPL traded between $25.23 and $25.82. ATM implied volatility averaged 14.2%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.8% (HV 20d: 11.4%). Max pain ranged from $25.15 to $25.15. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-05-29: Highest Volume — 2,924 contracts
  • 2012-05-30: Largest IV spike — 44.1% change
  • 2012-05-17: Highest IV Rank — 27.6%
  • 2012-05-17: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.50$25.23$25.82$25.69$25.49
Max Pain$25.15$25.15$25.15$25.15$25.15
ATM IV14.2%9.2%16.7%11.8%16.0%
Expected Move4.2%3.1%4.8%3.4%4.6%
HV 20d11.4%10.3%13.2%13.2%11.6%
HV 60d12.1%11.4%13.3%13.2%11.9%
IV Rank19.0%1.5%27.6%10.5%25.3%
IV Percentile35.5%0.4%62.3%10.3%54.8%
Term Structure-0.4%-3.5%6.1%-0.8%-0.4%
VWIV14.5%11.7%18.5%11.9%14.3%
Skew 25d3.7%-1.5%10.9%1.4%3.9%
Skew 10d2.8%-1.4%8.4%8.4%3.8%
Call IV 25d11.2%6.1%14.9%11.2%8.9%
Put IV 25d14.8%10.1%18.1%12.5%12.8%
Bid-Ask Spread %44.6714.4084.7849.3814.40
Gamma HHI0.280.220.340.280.30
Net GEX1.3M950.9K2.0M1.4M1.4M
Net DEX-3.5M-8.2M-46.0K-4.1M-3.5M
Net VEX-154.5K-177.2K-137.8K-137.8K-166.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.142.460.411.21
Total Volume1,098.0452642,9241,4711,152
Total OI41,54236,32446,29936,32446,299

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$25.69$25.1511.8%3.4%13.2%10.5%11.9%1.4%-0.8%1.4M-4.1M-137.8K0.4149.38N/AN/A1,04742426,3329,992
2012-05-02$25.58$25.1513.9%4.0%13.2%17.7%13.7%1.2%1.1%1.4M-3.5M-141.8K1.0046.28N/AN/A62162127,17110,183
2012-05-03$25.38$25.1514.4%4.1%13.1%19.7%14.4%-1.5%-0.3%1.2M-1.7M-138.6K0.3156.40N/AN/A1,33841727,63810,789
2012-05-04$25.47$25.1512.3%4.0%12.8%12.3%13.1%3.3%-0.7%1.4M-3.2M-142.9K0.3441.29N/AN/A38113128,50010,915
2012-05-07$25.49$25.1513.8%4.2%12.8%17.4%14.5%3.6%-1.3%1.4M-2.9M-142.8K2.0338.90N/AN/A18938428,50310,943
2012-05-08$25.69$25.159.2%3.5%10.3%1.5%13.9%4.0%0.0%1.7M-5.3M-145.0K0.2015.05N/AN/A1,10021528,57211,142
2012-05-09$25.57$25.1513.2%4.3%10.5%15.3%13.0%4.1%-2.1%1.5M-4.7M-152.2K0.1837.90N/AN/A61511429,32311,245
2012-05-10$25.82$25.1513.3%3.8%11.0%15.6%14.2%4.5%-0.9%2.0M-8.2M-154.7K0.5836.06N/AN/A1,23471229,46711,327
2012-05-11$25.63$25.1513.3%3.8%10.3%15.6%13.1%2.8%-0.8%1.6M-5.4M-155.9K0.4441.94N/AN/A1838130,43411,836
2012-05-14$25.50$25.1515.5%4.4%10.4%23.4%14.4%3.3%-1.2%1.4M-3.4M-152.1K1.2044.46N/AN/A14417330,51111,892
2012-05-15$25.23$25.1515.7%4.5%10.9%24.2%15.9%0.9%-1.7%950.9K-46.0K-144.5K0.7057.63N/AN/A31421930,63811,994
2012-05-16$25.49$25.1516.2%4.7%11.2%26.0%11.7%10.9%-1.7%1.3M-3.7M-155.4K0.2242.70N/AN/A3517630,69612,137
2012-05-17$25.45$25.1516.7%4.8%11.2%27.6%15.7%2.7%-2.5%1.2M-3.3M-152.8K0.1469.28N/AN/A1,96726630,71612,190
2012-05-18$25.32$25.1516.2%4.6%10.9%25.9%15.9%3.3%-0.5%967.9K-2.4M-156.7K0.7953.40N/AN/A33626531,25312,336
2012-05-21$25.25$25.1515.3%4.4%10.9%22.6%15.0%6.5%-1.0%1.1M-1.4M-153.8K0.4539.30N/AN/A1,02145729,31310,921
2012-05-22$25.45$25.1516.1%4.6%10.9%25.6%14.7%2.5%-1.6%1.3M-2.7M-151.3K0.9549.28N/AN/A78174430,09811,189
2012-05-23$25.24$25.1516.3%4.7%11.0%26.4%17.2%0.7%-0.1%1.1M-1.7M-163.6K1.6530.72N/AN/A51484930,28511,724
2012-05-24$25.53$25.1516.1%4.6%11.1%25.5%12.5%9.1%-1.4%1.3M-3.0M-170.5K2.1426.07N/AN/A23850930,34812,391
2012-05-25$25.63$25.1510.9%3.1%11.2%7.5%15.4%5.7%6.1%1.4M-3.7M-171.3K0.3860.60N/AN/A30011430,44112,824
2012-05-29$25.72$25.1511.1%3.2%11.2%8.0%15.5%8.5%5.9%1.5M-5.6M-170.7K0.3646.96N/AN/A2,15277230,62712,870
2012-05-30$25.42$25.1516.0%4.6%11.6%25.2%18.5%-1.0%-3.5%1.4M-3.3M-177.2K2.4684.78N/AN/A18445232,46913,450
2012-05-31$25.49$25.1516.0%4.6%11.6%25.3%14.3%3.9%-0.4%1.4M-3.5M-166.5K1.2114.40N/AN/A52163132,57113,728