PPL Options History — November 2012

In November 2012, PPL traded between $26.03 and $27.41. ATM implied volatility averaged 12.9%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.3% (HV 20d: 14.1%). 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 9 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2012-11-19: Highest Volume — 2,206 contracts
  • 2012-11-09: Largest IV drop — 40.4% change
  • 2012-11-07: Highest IV Rank — 71.9%
  • 2012-11-07: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.64$26.03$27.41$27.41$27.34
Max Pain$27.01$27.01$27.01$27.01$27.01
ATM IV12.9%7.9%17.0%13.0%12.0%
Expected Move3.8%3.0%4.3%3.7%3.4%
HV 20d14.1%9.9%17.0%9.9%17.0%
HV 60d12.1%10.6%13.2%11.6%13.2%
IV Rank44.5%9.8%71.9%42.3%46.1%
IV Percentile50.8%1.2%94.0%51.2%38.9%
Term Structure0.1%-1.3%5.7%0.5%-0.6%
VWIV13.6%9.2%21.7%13.4%9.2%
Skew 25d3.5%-0.9%8.0%-0.9%1.7%
Skew 10d2.6%-0.6%6.7%1.6%-0.5%
Call IV 25d10.5%6.8%13.7%13.7%8.1%
Put IV 25d14.0%9.8%16.7%12.8%9.8%
Bid-Ask Spread %52.4532.82113.5470.9652.84
Gamma HHI0.350.260.510.510.37
Net GEX2.6M1.1M5.3M5.3M4.1M
Net DEX-6.4M-25.0M4.8M-25.0M-19.0M
Net VEX-162.1K-210.1K-131.8K-210.1K-178.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.106.730.710.99
Total Volume894.0951632,2065701,924
Total OI47,795.8143,30949,69348,25247,238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$27.41$27.0113.0%3.7%9.9%42.3%13.4%-0.9%0.5%5.3M-25.0M-210.1K0.7170.96N/AN/A33323736,79711,455
2012-11-02$27.19$27.0113.6%3.9%10.1%46.3%13.2%0.1%-0.2%4.8M-22.7M-189.1K1.1144.51N/AN/A778636,89111,578
2012-11-05$26.81$27.0115.7%3.9%11.0%62.9%14.0%1.5%-1.1%3.5M-11.6M-181.7K0.1946.00N/AN/A1,09421236,87911,650
2012-11-06$26.83$27.0114.8%3.9%10.7%57.3%14.3%6.6%-0.6%3.3M-10.0M-181.3K0.1035.58N/AN/A6706736,69411,822
2012-11-07$26.36$27.0117.0%4.3%12.1%71.9%14.4%4.4%-1.3%2.2M-3.0M-163.0K1.4140.60N/AN/A55177737,12611,833
2012-11-08$26.76$27.0113.3%3.8%13.4%46.8%12.5%5.5%-0.3%3.0M-9.1M-180.1K0.2050.80N/AN/A79615937,32212,276
2012-11-09$26.71$27.017.9%3.7%13.4%9.8%12.6%4.5%0.2%2.6M-5.1M-163.3K0.6448.53N/AN/A1187537,33112,362
2012-11-12$26.32$27.019.7%4.1%14.0%21.7%13.6%1.4%-0.1%1.9M-371.4K-153.3K0.9543.66N/AN/A13713037,07212,365
2012-11-13$26.38$27.0111.4%4.0%14.1%33.9%13.4%2.0%-0.4%2.0M-1.6M-156.1K0.4836.96N/AN/A58528337,07312,309
2012-11-14$26.06$27.0114.7%3.8%14.5%56.6%13.4%1.5%0.5%1.5M2.5M-137.1K0.8444.24N/AN/A23920137,18912,392
2012-11-15$26.03$27.0114.2%4.1%14.4%52.6%15.0%3.8%-0.3%1.2M4.0M-134.0K0.1651.85N/AN/A1,75027536,93412,554
2012-11-16$26.58$27.0110.3%3.0%16.0%26.2%14.3%8.0%5.7%2.2M-3.8M-157.8K0.5952.73N/AN/A67139636,59112,710
2012-11-19$26.42$27.0113.1%3.8%15.4%45.5%12.7%3.0%0.3%1.8M-1.0M-138.2K0.1443.21N/AN/A1,93926731,24512,064
2012-11-20$26.39$27.0113.1%3.8%15.0%45.4%13.4%1.2%0.4%2.0M-1.5M-148.0K6.7338.41N/AN/A10772332,79312,153
2012-11-21$26.29$27.0112.8%3.7%15.0%43.4%13.2%6.3%0.1%1.5M1.5M-143.6K0.7549.49N/AN/A71253132,87612,869
2012-11-23$26.15$27.0113.1%3.8%14.9%45.3%13.5%5.5%0.5%1.1M4.8M-131.8K3.28113.54N/AN/A16453932,70113,327
2012-11-26$26.49$27.0114.3%4.1%15.8%53.4%21.7%7.3%-0.8%1.9M-2.0M-150.8K1.0458.96N/AN/A21222032,81013,635
2012-11-27$26.83$27.0112.4%3.6%16.4%40.6%13.1%2.4%-0.3%2.8M-9.5M-170.9K1.1532.82N/AN/A33338332,98713,711
2012-11-28$26.95$27.0112.0%3.4%16.5%45.8%12.7%3.9%0.7%3.0M-10.1M-167.5K2.1348.25N/AN/A14230233,19913,815
2012-11-29$27.07$27.0111.3%3.2%16.6%40.0%11.7%3.6%-0.2%3.3M-11.8M-168.8K0.8797.44N/AN/A19216733,22613,858
2012-11-30$27.34$27.0112.0%3.4%17.0%46.1%9.2%1.7%-0.6%4.1M-19.0M-178.0K0.9952.84N/AN/A96895633,36913,869