PPL Options History — September 2012

In September 2012, PPL traded between $26.68 and $27.61. ATM implied volatility averaged 9.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.5% (HV 20d: 10.4%). Max pain ranged from $27.01 to $27.01. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-09-05: Highest Volume — 30,896 contracts
  • 2012-09-06: Largest IV spike — 65.7% change
  • 2012-09-13: Highest IV Rank — 23.6%
  • 2012-09-11: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.03$26.68$27.61$27.58$27.06
Max Pain$27.01$27.01$27.01$27.01$27.01
ATM IV9.9%6.5%11.2%9.3%9.6%
Expected Move2.9%1.9%3.2%2.7%2.8%
HV 20d10.4%8.5%12.8%12.8%12.1%
HV 60d11.4%10.7%11.7%10.9%11.7%
IV Rank16.9%0.0%23.6%10.5%15.8%
IV Percentile10.9%0.0%21.4%5.6%9.9%
Term Structure2.3%0.7%6.2%6.2%1.7%
VWIV10.5%8.1%14.4%14.3%9.6%
Skew 25d2.9%-1.8%8.6%7.8%0.3%
Skew 10d3.9%-1.9%10.5%5.4%1.1%
Call IV 25d8.0%4.5%10.0%5.5%7.2%
Put IV 25d10.9%7.4%13.4%13.4%7.6%
Bid-Ask Spread %52.6215.43110.7156.3433.40
Gamma HHI0.400.340.470.420.39
Net GEX4.7M3.7M6.3M5.8M5.1M
Net DEX-22.6M-48.2M-12.4M-45.6M-19.5M
Net VEX-230.0K-274.8K-199.1K-268.1K-209.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.031.740.030.63
Total Volume2,430.4218930,8965,861194
Total OI57,044.73753,06962,15460,63353,997

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$27.58$27.019.3%2.7%12.8%10.5%14.3%7.8%6.2%5.8M-45.6M-268.1K0.0356.34N/AN/A5,66719445,19815,435
2012-09-05$27.61$27.016.5%1.9%12.3%0.0%14.4%8.6%6.2%6.3M-48.2M-274.8K0.0355.25N/AN/A30,09280446,73615,418
2012-09-06$27.21$27.0110.8%3.1%11.1%21.6%10.8%3.5%0.7%5.0M-27.6M-257.5K0.4251.59N/AN/A38716141,16915,747
2012-09-07$27.23$27.0110.4%3.2%9.7%19.6%10.9%2.9%1.9%5.2M-28.0M-255.3K0.6725.46N/AN/A31120841,36815,843
2012-09-10$27.13$27.0110.3%3.0%8.5%18.9%10.6%-1.4%2.2%5.1M-26.0M-252.0K0.6033.44N/AN/A26816241,48215,875
2012-09-11$26.95$27.0110.5%3.2%8.7%19.9%10.7%4.7%1.2%4.1M-18.8M-231.4K0.5760.67N/AN/A1629241,52415,924
2012-09-12$26.83$27.0111.0%3.0%8.6%22.5%11.0%5.1%1.9%3.9M-16.5M-227.6K0.8028.29N/AN/A26721541,63415,921
2012-09-13$27.23$27.0111.2%3.2%10.4%23.6%9.8%2.7%1.6%5.4M-26.7M-248.0K0.2453.68N/AN/A68616741,66715,962
2012-09-14$27.08$27.0110.6%3.0%10.3%20.6%10.3%-1.8%1.7%4.8M-23.0M-234.4K0.3055.75N/AN/A95128641,54815,921
2012-09-17$26.98$27.0110.8%3.1%10.4%21.4%10.5%4.9%1.7%4.5M-20.8M-225.8K0.3615.43N/AN/A652442,15816,138
2012-09-18$26.85$27.0110.4%3.0%10.4%19.7%10.4%4.2%2.0%4.1M-15.8M-221.1K0.1171.35N/AN/A94910142,18816,137
2012-09-19$26.80$27.0110.1%2.9%10.2%18.0%10.4%3.8%1.5%4.1M-14.0M-211.6K1.74110.71N/AN/A27648142,75616,195
2012-09-20$26.73$27.019.9%2.8%10.2%16.9%8.1%2.6%2.2%3.8M-12.4M-208.1K0.8641.36N/AN/A12310642,95816,303
2012-09-21$26.76$27.019.3%2.7%9.9%14.1%9.7%3.5%2.8%3.7M-13.2M-207.0K0.1470.18N/AN/A1211740,01016,114
2012-09-24$27.08$27.019.2%2.6%10.5%13.7%9.2%1.5%2.5%5.0M-22.4M-215.5K0.2342.82N/AN/A82019138,74114,328
2012-09-25$26.99$27.019.5%2.7%10.6%15.0%9.4%0.6%1.9%4.9M-20.6M-216.2K0.4940.53N/AN/A1014939,26614,470
2012-09-26$26.89$27.019.6%2.7%10.6%15.3%9.6%-0.5%1.9%4.5M-17.7M-207.3K0.2072.47N/AN/A1132339,33414,495
2012-09-27$26.68$27.019.2%2.6%10.8%13.6%10.7%2.4%1.9%3.8M-12.9M-199.1K1.1481.12N/AN/A62971539,37914,511
2012-09-28$27.06$27.019.6%2.8%12.1%15.8%9.6%0.3%1.7%5.1M-19.5M-209.3K0.6333.40N/AN/A1197539,34414,653