PPL Options History — July 2012

In July 2012, PPL traded between $25.91 and $27.20. ATM implied volatility averaged 11.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.1% (HV 20d: 9.5%). Max pain ranged from $25.15 to $26.08. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2012-07-17: Highest Volume — 12,485 contracts
  • 2012-07-12: Largest IV spike — 40.6% change
  • 2012-07-31: Highest IV Rank — 22.6%
  • 2012-07-31: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.56$25.91$27.20$26.24$26.92
Max Pain$25.95$25.15$26.08$25.15$26.08
ATM IV11.6%7.8%14.0%8.4%14.0%
Expected Move3.5%2.2%4.0%2.4%4.0%
HV 20d9.5%8.6%10.8%8.7%10.8%
HV 60d10.0%9.6%10.9%10.9%10.2%
IV Rank14.4%1.9%22.6%3.9%22.6%
IV Percentile19.8%0.4%40.9%0.8%40.9%
Term Structure0.8%-0.7%3.8%3.7%-0.7%
VWIV12.4%7.8%14.6%8.4%14.4%
Skew 25d6.3%-0.6%34.2%1.4%0.9%
Skew 10d9.4%-0.9%65.8%1.7%-0.9%
Call IV 25d9.2%6.1%14.7%6.7%14.7%
Put IV 25d15.6%7.4%41.1%8.1%15.6%
Bid-Ask Spread %57.8328.84118.8455.1354.92
Gamma HHI0.440.300.650.490.33
Net GEX5.3M3.7M12.2M5.0M4.4M
Net DEX-33.3M-59.9M-14.5M-24.8M-38.4M
Net VEX-205.3K-258.6K-141.7K-176.8K-251.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.012.710.260.44
Total Volume1,994.95223312,485575661
Total OI56,852.1950,66669,75353,71554,875

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$26.24$25.158.4%2.4%8.7%3.9%8.4%1.4%3.7%5.0M-24.8M-176.8K0.2655.13N/AN/A45611938,21915,496
2012-07-03$26.19$25.157.8%2.2%8.8%1.9%7.8%34.2%3.8%5.3M-24.3M-173.8K1.0149.30N/AN/A11611738,42215,550
2012-07-05$25.96$25.158.3%2.4%9.4%3.5%8.3%-0.6%3.2%4.7M-16.8M-156.7K2.71118.84N/AN/A12032638,51115,615
2012-07-06$26.00$26.088.6%3.3%9.4%4.6%12.3%6.9%0.6%4.6M-16.3M-147.8K0.6431.59N/AN/A50031938,52215,859
2012-07-09$25.91$26.089.9%3.6%9.0%8.7%12.8%4.5%-0.7%4.3M-14.5M-162.4K0.3028.95N/AN/A3189738,83815,988
2012-07-10$26.07$26.088.9%3.4%8.6%5.4%12.0%6.2%0.5%5.2M-18.3M-141.7K1.0528.84N/AN/A50953739,05716,072
2012-07-11$26.28$26.089.7%3.4%9.0%8.0%11.8%7.4%1.1%5.4M-26.5M-172.6K0.2344.72N/AN/A85519939,04616,473
2012-07-12$26.21$26.0813.6%3.9%9.1%21.1%13.7%4.9%-0.4%5.4M-24.9M-170.7K0.45103.68N/AN/A2139739,47116,623
2012-07-13$26.52$26.0813.2%3.8%9.8%19.6%13.1%4.4%0.2%5.0M-34.4M-170.6K0.2439.86N/AN/A58114239,50716,707
2012-07-16$26.64$26.0812.3%3.5%9.8%17.0%11.9%2.9%0.5%5.0M-35.8M-179.1K0.0155.61N/AN/A9,76112139,67616,830
2012-07-17$26.79$26.0812.3%3.5%9.9%16.8%14.6%4.9%1.4%5.9M-45.7M-194.8K0.0297.42N/AN/A12,29519045,06116,788
2012-07-18$26.79$26.0811.8%3.4%9.9%15.2%12.2%5.1%1.1%6.7M-50.2M-238.2K0.22111.79N/AN/A1,87240452,86516,822
2012-07-19$26.95$26.0812.8%3.7%9.0%18.3%12.7%5.3%1.1%6.8M-56.3M-245.7K0.1037.69N/AN/A1,22412152,63516,996
2012-07-20$27.04$26.0812.6%3.6%8.8%17.7%12.4%7.1%-0.2%12.2M-59.9M-247.5K0.1963.95N/AN/A1,25524352,69617,057
2012-07-23$26.88$26.0813.3%3.8%8.9%20.0%13.3%6.3%0.2%3.9M-34.9M-241.0K0.3644.46N/AN/A64823538,52712,139
2012-07-24$26.67$26.0813.3%3.8%9.5%20.0%14.4%5.6%-0.1%3.7M-30.7M-240.1K0.3344.59N/AN/A1,27942539,03512,282
2012-07-25$26.57$26.0812.9%3.7%9.8%18.8%13.9%5.1%0.4%3.7M-28.9M-240.6K0.0846.95N/AN/A2,63322139,71912,622
2012-07-26$26.82$26.0813.0%3.7%9.9%19.1%13.8%6.3%0.3%4.1M-34.2M-244.5K0.6546.78N/AN/A43728541,29712,608
2012-07-27$27.17$26.0813.4%3.8%10.6%20.3%13.1%7.0%0.2%4.5M-41.7M-257.2K1.3046.29N/AN/A44057141,83712,670
2012-07-30$27.20$26.0813.4%3.8%10.7%20.4%13.7%7.3%0.3%4.7M-42.3M-258.6K0.6863.13N/AN/A56838442,08512,798
2012-07-31$26.92$26.0814.0%4.0%10.8%22.6%14.4%0.9%-0.7%4.4M-38.4M-251.9K0.4454.92N/AN/A46020141,89612,979