PPL Options History — October 2012

In October 2012, PPL traded between $26.82 and $28.08. ATM implied volatility averaged 11.4%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.1% (HV 20d: 11.3%). Max pain ranged from $27.01 to $27.01. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2012-10-19: Highest Volume — 7,157 contracts
  • 2012-10-11: Largest IV spike — 18.1% change
  • 2012-10-24: Highest IV Rank — 49.4%
  • 2012-10-24: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.42$26.82$28.08$26.82$27.54
Max Pain$27.01$27.01$27.01$27.01$27.01
ATM IV11.4%9.4%14.1%10.0%11.6%
Expected Move3.4%2.7%4.0%2.9%3.3%
HV 20d11.3%9.8%12.5%12.5%9.8%
HV 60d11.8%11.6%12.0%11.9%11.6%
IV Rank30.9%15.1%49.4%17.5%33.4%
IV Percentile30.1%8.3%64.3%12.3%32.1%
Term Structure0.4%-1.4%2.8%1.8%0.5%
VWIV11.8%9.2%13.6%10.0%11.6%
Skew 25d1.7%-1.2%4.1%-1.2%2.0%
Skew 10d2.2%-1.2%12.9%0.8%2.6%
Call IV 25d10.2%6.2%13.2%8.9%11.2%
Put IV 25d12.0%7.5%14.0%7.7%13.2%
Bid-Ask Spread %64.7231.65111.80109.6566.80
Gamma HHI0.480.360.770.360.51
Net GEX6.4M4.2M12.5M4.2M5.4M
Net DEX-31.5M-62.4M-15.3M-15.3M-29.1M
Net VEX-214.2K-226.0K-193.0K-198.1K-217.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.041.940.640.23
Total Volume1,176.0951947,1571,196624
Total OI53,14644,02358,44354,04747,779

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$26.82$27.0110.0%2.9%12.5%17.5%10.0%-1.2%1.8%4.2M-15.3M-198.1K0.64109.65N/AN/A72846839,33414,713
2012-10-02$26.97$27.019.7%2.8%12.1%16.0%9.7%-0.7%1.9%4.8M-17.7M-198.1K0.2180.76N/AN/A1613339,84614,822
2012-10-03$27.19$27.019.4%2.7%12.5%15.1%9.2%1.9%2.7%5.6M-24.8M-214.0K0.7842.07N/AN/A1118640,00414,851
2012-10-04$27.35$27.019.5%2.7%11.6%15.4%9.5%3.3%2.8%6.4M-30.3M-218.1K0.0695.76N/AN/A8935440,06214,882
2012-10-05$27.12$27.019.9%3.6%11.9%21.8%12.3%1.7%0.4%5.4M-25.1M-193.0K0.2248.14N/AN/A67215040,45114,928
2012-10-08$27.23$27.019.4%3.6%12.0%18.9%12.4%3.6%-0.1%5.8M-27.2M-209.5K0.4346.64N/AN/A1556740,76014,992
2012-10-09$27.31$27.019.5%3.6%11.7%19.8%12.0%2.2%0.0%5.9M-29.5M-209.7K0.0432.97N/AN/A6122440,82815,033
2012-10-10$27.29$27.0111.2%3.7%11.6%30.4%12.9%2.6%-0.3%6.2M-29.3M-209.6K0.0742.90N/AN/A4763340,92415,042
2012-10-11$27.45$27.0113.2%3.8%10.5%43.5%12.9%3.4%-0.3%6.6M-35.6M-216.6K0.4431.65N/AN/A32014141,07615,074
2012-10-12$27.42$27.0111.9%3.4%10.3%35.0%11.7%-0.3%1.3%6.7M-34.3M-211.1K0.1646.29N/AN/A3846041,14515,077
2012-10-15$27.43$27.0112.5%3.6%10.2%39.0%12.2%0.6%0.4%6.8M-33.7M-211.7K1.94101.59N/AN/A48293541,25915,079
2012-10-16$27.49$27.0111.7%3.4%9.9%33.9%12.1%0.4%-1.4%7.3M-35.3M-211.9K0.93111.80N/AN/A48745341,47515,843
2012-10-17$27.81$27.0111.4%3.3%10.5%31.8%11.5%4.0%-0.1%12.2M-50.3M-221.5K0.2937.97N/AN/A1,00429441,51416,019
2012-10-18$28.08$27.0111.5%3.3%10.7%32.5%11.4%4.1%0.2%12.5M-62.4M-216.2K0.0447.99N/AN/A2,26410241,42816,026
2012-10-19$27.74$27.0112.4%3.6%11.9%38.4%12.4%3.2%-0.5%9.3M-44.0M-224.2K0.0444.89N/AN/A6,86928842,39216,051
2012-10-22$27.70$27.0112.5%3.6%11.4%38.9%12.6%2.8%-1.1%4.5M-30.2M-221.7K0.0849.46N/AN/A1,73613233,21810,805
2012-10-23$27.53$27.0112.5%3.6%11.6%39.3%12.6%0.5%-0.4%4.7M-29.0M-225.5K1.00105.08N/AN/A21321334,63210,842
2012-10-24$27.36$27.0114.1%4.0%11.8%49.4%13.6%-0.9%0.2%4.2M-25.5M-223.0K0.7084.18N/AN/A31422034,72510,994
2012-10-25$27.52$27.0112.2%3.5%11.4%36.8%12.4%1.5%0.0%4.6M-26.8M-226.0K1.0792.85N/AN/A12813634,84111,137
2012-10-26$27.47$27.0113.2%3.8%10.4%43.3%12.1%1.3%0.8%4.7M-26.1M-221.5K0.0639.67N/AN/A2,05811834,91411,249
2012-10-31$27.54$27.0111.6%3.3%9.8%33.4%11.6%2.0%0.5%5.4M-29.1M-217.5K0.2366.80N/AN/A50711736,43211,347