PPL Options History — August 2012

In August 2012, PPL traded between $26.54 and $27.88. ATM implied volatility averaged 12.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 1.2% (HV 20d: 13.2%). Max pain ranged from $26.08 to $27.01. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2012-08-16: Highest Volume — 7,563 contracts
  • 2012-08-14: Largest IV drop — 30.1% change
  • 2012-08-07: Highest IV Rank — 30.0%
  • 2012-08-07: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.27$26.54$27.88$26.89$27.32
Max Pain$26.69$26.08$27.01$26.08$27.01
ATM IV12.0%8.0%16.3%14.4%12.5%
Expected Move3.5%3.1%4.2%4.1%3.6%
HV 20d13.2%10.8%14.6%10.8%12.5%
HV 60d10.8%10.1%11.2%10.2%10.8%
IV Rank21.4%3.4%30.0%23.7%27.6%
IV Percentile25.1%0.8%65.9%46.8%30.2%
Term Structure-0.3%-1.2%0.7%-0.4%-1.2%
VWIV12.4%10.7%15.0%14.3%12.4%
Skew 25d2.8%-5.2%6.4%-5.2%2.4%
Skew 10d3.3%-5.4%7.9%-5.4%5.3%
Call IV 25d9.4%7.6%15.3%15.3%8.0%
Put IV 25d12.2%8.6%16.0%10.2%10.3%
Bid-Ask Spread %62.8733.29108.8740.8660.70
Gamma HHI0.400.310.480.330.39
Net GEX4.9M4.2M5.5M4.3M5.2M
Net DEX-41.3M-63.0M-28.2M-36.8M-35.6M
Net VEX-253.1K-280.5K-232.0K-248.8K-259.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.044.740.230.08
Total Volume1,244.0432427,563435808
Total OI57,577.95754,87760,61955,52360,047

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$26.89$26.0814.4%4.1%10.8%23.7%14.3%-5.2%-0.4%4.3M-36.8M-248.8K0.2340.86N/AN/A3538242,57912,944
2012-08-02$26.63$26.0812.7%3.6%10.9%18.2%13.2%3.4%0.3%4.2M-30.0M-238.9K0.3846.57N/AN/A71427442,72712,942
2012-08-03$26.71$26.0813.3%3.8%10.9%20.1%13.3%2.2%-1.0%4.5M-32.2M-237.5K4.7467.36N/AN/A14669343,24513,030
2012-08-06$26.77$26.0814.8%3.9%10.8%24.9%13.9%6.4%-0.4%4.4M-34.2M-242.7K0.5135.98N/AN/A58029843,01213,472
2012-08-07$26.54$26.0816.3%4.2%11.3%30.0%12.4%5.5%-0.7%4.4M-28.3M-235.5K1.4333.79N/AN/A25436543,25913,650
2012-08-08$27.13$27.0111.5%3.5%13.4%15.6%13.7%6.3%-0.0%5.0M-42.8M-248.6K0.9583.20N/AN/A1,0821,02743,19613,753
2012-08-09$27.53$27.019.3%3.2%14.0%7.7%15.0%3.9%0.7%5.3M-52.9M-263.9K1.0138.10N/AN/A96096843,70614,518
2012-08-10$27.87$26.089.8%3.1%14.1%12.4%13.3%4.5%0.7%5.5M-63.0M-264.8K0.2956.65N/AN/A1,43741744,20915,345
2012-08-13$27.88$26.0811.4%3.2%14.1%20.2%12.6%2.9%0.0%5.3M-61.8M-280.5K1.00106.42N/AN/A30730644,41415,549
2012-08-14$27.70$26.088.0%3.3%14.3%3.4%12.3%1.0%0.3%4.9M-58.6M-265.5K1.0052.21N/AN/A22522744,57315,823
2012-08-15$27.66$27.019.6%3.2%14.4%11.5%11.4%0.8%0.0%5.3M-55.4M-273.2K0.0898.06N/AN/A7856244,66115,958
2012-08-16$27.48$27.0112.3%3.5%14.5%24.9%10.7%-0.1%-0.3%5.1M-50.0M-263.8K0.04100.31N/AN/A7,30126243,97315,879
2012-08-17$27.39$27.0112.1%3.5%14.6%23.9%11.9%2.1%-0.9%5.1M-45.3M-255.8K0.33102.62N/AN/A95931643,46816,111
2012-08-20$27.47$27.0112.4%3.6%14.4%25.3%11.0%2.7%-0.8%4.9M-40.4M-256.4K0.2450.01N/AN/A48111640,38814,489
2012-08-21$27.30$27.0111.8%3.4%14.2%23.9%11.3%-2.3%-0.4%4.9M-38.6M-232.0K0.2652.95N/AN/A2686940,69114,551
2012-08-22$27.28$27.0111.6%3.3%14.2%22.8%11.8%5.1%0.1%4.9M-35.1M-248.7K1.2352.22N/AN/A42852740,87114,604
2012-08-23$27.08$27.0111.6%3.3%14.2%23.0%11.6%4.8%-0.2%4.4M-28.2M-243.7K0.4069.84N/AN/A31412541,25514,955
2012-08-24$27.27$27.0112.1%3.5%13.6%25.4%12.3%5.3%-0.6%4.7M-33.7M-248.5K0.2761.72N/AN/A46812841,30815,006
2012-08-27$27.27$27.0112.3%3.5%13.6%26.6%12.3%6.0%-0.3%4.8M-34.6M-251.4K2.87108.87N/AN/A8825241,58315,101
2012-08-28$27.29$27.0112.1%3.5%13.0%25.6%12.1%5.4%-0.4%4.9M-35.6M-247.1K0.6737.34N/AN/A1459741,63315,179
2012-08-29$27.38$27.0112.3%3.5%13.1%26.4%10.7%1.5%-0.3%4.9M-38.2M-251.6K0.0456.99N/AN/A3,24014341,62115,274
2012-08-30$27.35$27.0112.7%3.6%12.5%28.3%12.7%0.9%-0.9%5.2M-38.5M-262.6K0.3333.29N/AN/A38712944,34815,393
2012-08-31$27.32$27.0112.5%3.6%12.5%27.6%12.4%2.4%-1.2%5.2M-35.6M-259.7K0.0860.70N/AN/A7466244,57515,472