PPL Options History — June 2012

In June 2012, PPL traded between $25.57 and $26.08. ATM implied volatility averaged 10.9%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.3% (HV 20d: 9.6%). Max pain ranged from $25.15 to $25.15. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2012-06-05: Highest Volume — 3,257 contracts
2012-06-05: Largest IV spike — 56.2% change
2012-06-01: Highest IV Rank — 31.4%
2012-06-01: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.77	$25.57	$26.08	$25.59	$25.90
Max Pain	$25.15	$25.15	$25.15	$25.15	$25.15
ATM IV	10.9%	7.2%	17.8%	17.8%	8.6%
Expected Move	3.4%	2.5%	5.1%	5.1%	2.5%
HV 20d	9.6%	7.6%	11.3%	11.3%	7.6%
HV 60d	11.3%	10.8%	11.8%	11.8%	10.8%
IV Rank	11.4%	0.0%	31.4%	31.4%	4.6%
IV Percentile	12.8%	0.0%	71.0%	71.0%	1.2%
Term Structure	2.3%	-1.6%	3.5%	-1.6%	3.3%
VWIV	11.9%	6.3%	15.2%	13.5%	6.3%
Skew 25d	3.4%	-0.8%	6.4%	3.2%	-0.8%
Skew 10d	5.6%	-0.1%	23.8%	2.8%	0.9%
Call IV 25d	10.4%	8.0%	13.7%	10.4%	8.1%
Put IV 25d	13.8%	7.3%	17.8%	13.6%	7.3%
Bid-Ask Spread %	45.01	18.18	83.62	52.89	69.23
Gamma HHI	0.36	0.28	0.54	0.29	0.54
Net GEX	2.4M	1.5M	3.9M	1.5M	3.9M
Net DEX	-10.9M	-17.4M	-4.8M	-4.8M	-14.8M
Net VEX	-189.1K	-200.6K	-173.3K	-186.2K	-178.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.10	4.11	4.11	0.81
Total Volume	990.952	182	3,257	757	1,383
Total OI	50,288.905	46,692	53,408	46,692	53,376

Daily Data (21 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
2012-06-01	$25.59	$25.15	17.8%	5.1%	11.3%	31.4%	13.5%	3.2%	-1.6%	1.5M	-4.8M	-186.2K	4.11	52.89	N/A	N/A	148	609	32,797	13,895
2012-06-04	$25.66	$25.15	9.8%	3.9%	11.2%	3.6%	15.2%	4.0%	2.1%	1.5M	-5.0M	-184.7K	0.37	56.29	N/A	N/A	458	167	32,876	14,459
2012-06-05	$25.71	$25.15	15.3%	3.8%	11.3%	22.9%	13.4%	4.7%	2.6%	1.7M	-7.1M	-181.7K	0.23	42.14	N/A	N/A	2,648	609	33,114	14,481
2012-06-06	$25.67	$25.15	8.5%	3.6%	10.9%	0.0%	14.6%	3.8%	2.5%	1.8M	-8.9M	-193.9K	0.38	44.55	N/A	N/A	646	244	32,882	14,791
2012-06-07	$25.75	$25.15	7.2%	3.6%	10.9%	0.0%	12.7%	2.9%	1.7%	2.2M	-12.3M	-199.8K	0.77	18.18	N/A	N/A	747	577	33,362	15,002
2012-06-08	$25.97	$25.15	10.9%	3.5%	10.7%	12.2%	13.6%	6.4%	2.3%	2.5M	-15.9M	-199.4K	0.25	55.59	N/A	N/A	674	170	33,978	15,398
2012-06-11	$25.74	$25.15	8.9%	3.7%	10.8%	5.6%	12.2%	3.2%	2.7%	2.2M	-11.9M	-199.5K	2.09	39.25	N/A	N/A	478	998	34,255	15,428
2012-06-12	$25.72	$25.15	8.2%	3.6%	10.7%	3.0%	12.3%	4.8%	2.9%	1.9M	-9.3M	-197.5K	0.66	49.65	N/A	N/A	123	82	34,343	16,026
2012-06-13	$25.70	$25.15	10.7%	3.7%	9.9%	11.4%	13.2%	3.2%	2.8%	2.0M	-10.1M	-200.2K	0.36	53.79	N/A	N/A	169	61	34,383	16,030
2012-06-14	$25.83	$25.15	13.0%	3.7%	9.4%	19.1%	12.8%	5.1%	2.4%	2.4M	-11.6M	-190.0K	0.39	30.98	N/A	N/A	470	183	34,522	16,041
2012-06-15	$25.90	$25.15	11.7%	3.4%	9.3%	14.9%	11.5%	5.2%	3.5%	2.8M	-12.4M	-200.6K	0.22	30.61	N/A	N/A	149	33	34,751	16,127
2012-06-18	$25.95	$25.15	10.6%	3.0%	9.1%	11.0%	11.0%	6.0%	2.4%	2.3M	-13.7M	-196.3K	0.47	31.25	N/A	N/A	1,045	489	33,942	15,064
2012-06-19	$26.08	$25.15	10.6%	3.0%	9.1%	11.1%	10.9%	2.1%	1.4%	2.8M	-17.4M	-193.9K	0.38	51.03	N/A	N/A	1,010	384	34,813	14,979
2012-06-20	$25.82	$25.15	10.1%	2.9%	9.6%	9.5%	10.2%	3.9%	2.3%	2.5M	-11.2M	-187.9K	0.26	40.58	N/A	N/A	2,001	522	35,589	15,131
2012-06-21	$25.73	$25.15	10.9%	3.1%	9.2%	12.0%	11.0%	3.9%	1.8%	2.6M	-11.8M	-191.5K	0.70	44.28	N/A	N/A	530	373	37,010	15,325
2012-06-22	$25.60	$25.15	12.4%	3.5%	8.6%	17.0%	12.2%	1.0%	2.4%	2.5M	-9.4M	-186.0K	0.48	33.89	N/A	N/A	166	79	36,945	15,087
2012-06-25	$25.57	$25.15	12.9%	3.7%	8.5%	18.7%	11.7%	1.5%	2.2%	2.4M	-7.4M	-179.4K	0.77	34.61	N/A	N/A	130	100	36,968	15,120
2012-06-26	$25.60	$25.15	11.8%	3.4%	8.4%	15.3%	11.4%	1.4%	3.2%	2.4M	-8.9M	-173.8K	0.31	36.85	N/A	N/A	252	78	36,995	15,175
2012-06-27	$25.80	$25.15	10.6%	3.0%	7.7%	11.0%	10.6%	2.4%	2.2%	2.9M	-11.6M	-173.3K	0.10	83.62	N/A	N/A	1,300	133	36,956	15,243
2012-06-28	$25.86	$25.15	8.9%	2.6%	7.6%	5.6%	9.1%	2.9%	2.6%	3.5M	-14.0M	-177.2K	1.87	46.01	N/A	N/A	136	256	38,074	15,334
2012-06-29	$25.90	$25.15	8.6%	2.5%	7.6%	4.6%	6.3%	-0.8%	3.3%	3.9M	-14.8M	-178.7K	0.81	69.23	N/A	N/A	766	617	38,128	15,248