PPL Options History — December 2012

In December 2012, PPL traded between $26.25 and $27.43. ATM implied volatility averaged 12.1%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 2.3% (HV 20d: 14.4%). Max pain ranged from $27.01 to $27.01. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.52.

Notable Days

2012-12-13: Highest Volume — 7,051 contracts
2012-12-31: Largest IV drop — 12.7% change
2012-12-28: Highest IV Rank — 68.4%
2012-12-28: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.97	$26.25	$27.43	$27.08	$26.67
Max Pain	$27.01	$27.01	$27.01	$27.01	$27.01
ATM IV	12.1%	10.9%	14.2%	12.2%	12.4%
Expected Move	3.5%	3.2%	4.1%	3.5%	3.6%
HV 20d	14.4%	12.9%	17.0%	17.0%	14.1%
HV 60d	13.4%	13.0%	13.8%	13.3%	13.8%
IV Rank	48.6%	39.0%	68.4%	47.5%	52.4%
IV Percentile	43.7%	27.4%	77.4%	41.7%	49.2%
Term Structure	1.1%	-1.6%	3.3%	-1.2%	1.4%
VWIV	13.4%	11.0%	25.9%	12.8%	12.6%
Skew 25d	1.4%	-2.8%	5.2%	-2.3%	3.1%
Skew 10d	1.3%	-2.1%	4.3%	2.9%	3.2%
Call IV 25d	10.8%	7.6%	13.2%	10.1%	11.5%
Put IV 25d	12.1%	7.8%	14.7%	7.8%	14.7%
Bid-Ask Spread %	55.04	12.37	107.03	34.29	12.37
Gamma HHI	0.35	0.29	0.45	0.34	0.35
Net GEX	4.0M	1.9M	5.8M	3.5M	3.2M
Net DEX	-15.0M	-28.9M	600.8K	-13.5M	-3.9M
Net VEX	-190.2K	-230.4K	-135.6K	-171.2K	-135.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.03	1.95	0.60	0.86
Total Volume	1,208.6	108	7,051	3,261	465
Total OI	53,909	49,014	58,946	49,019	58,946

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-12-03	$27.08	$27.01	12.2%	3.5%	17.0%	47.5%	12.8%	-2.3%	-1.2%	3.5M	-13.5M	-171.2K	0.60	34.29	N/A	N/A	2,037	1,224	34,306	14,713
2012-12-04	$26.97	$27.01	12.4%	3.6%	16.3%	49.6%	21.4%	4.3%	0.5%	3.2M	-10.8M	-171.1K	0.03	72.37	N/A	N/A	1,169	34	35,181	14,843
2012-12-05	$27.34	$27.01	12.9%	3.7%	17.0%	53.3%	25.9%	0.6%	-1.6%	4.2M	-19.4M	-183.8K	0.03	76.83	N/A	N/A	2,098	73	35,362	14,874
2012-12-06	$27.01	$27.01	11.3%	3.3%	16.2%	40.5%	11.4%	0.1%	0.5%	3.7M	-16.9M	-189.2K	0.10	73.64	N/A	N/A	237	25	34,143	14,871
2012-12-07	$26.99	$27.01	11.2%	3.3%	15.4%	39.0%	13.5%	2.4%	1.5%	3.8M	-16.1M	-187.0K	0.17	58.43	N/A	N/A	351	60	34,332	14,855
2012-12-10	$27.01	$27.01	11.9%	3.4%	15.3%	45.2%	11.9%	2.5%	1.5%	3.9M	-15.7M	-180.6K	0.22	47.71	N/A	N/A	89	19	34,664	14,858
2012-12-11	$26.99	$27.01	11.8%	3.4%	14.2%	44.2%	11.7%	1.9%	1.3%	3.9M	-15.6M	-180.0K	1.95	38.18	N/A	N/A	70	136	34,736	14,850
2012-12-12	$27.07	$27.01	10.9%	3.4%	14.3%	39.3%	11.3%	5.2%	1.2%	4.2M	-17.9M	-174.9K	0.47	75.86	N/A	N/A	339	161	34,801	14,889
2012-12-13	$27.10	$27.01	11.5%	3.3%	13.4%	44.0%	11.2%	2.1%	1.6%	4.4M	-18.4M	-176.0K	0.44	107.03	N/A	N/A	4,903	2,148	34,761	15,035
2012-12-14	$26.82	$27.01	11.5%	3.3%	14.1%	44.5%	11.5%	1.5%	1.7%	3.6M	-11.8M	-206.0K	0.04	48.11	N/A	N/A	2,239	79	39,588	17,129
2012-12-17	$27.26	$27.01	11.0%	3.2%	13.3%	40.2%	11.0%	1.2%	2.6%	5.4M	-26.3M	-213.4K	0.34	52.79	N/A	N/A	391	131	39,894	17,186
2012-12-18	$27.43	$27.01	11.9%	3.4%	13.2%	47.9%	11.3%	-0.6%	1.7%	5.8M	-28.9M	-230.4K	0.08	68.26	N/A	N/A	592	48	40,240	17,135
2012-12-19	$27.14	$27.01	11.7%	3.3%	13.8%	45.9%	12.6%	-2.8%	1.2%	5.0M	-21.3M	-218.8K	0.42	68.97	N/A	N/A	184	76	40,500	17,126
2012-12-20	$27.11	$27.01	12.0%	3.4%	13.7%	48.4%	11.6%	-1.9%	1.1%	4.7M	-19.4M	-217.7K	0.52	37.39	N/A	N/A	223	117	40,499	17,107
2012-12-21	$26.94	$27.01	12.6%	3.6%	13.8%	54.2%	13.9%	1.6%	1.3%	4.0M	-16.4M	-212.7K	1.04	55.64	N/A	N/A	352	367	40,703	17,125
2012-12-24	$26.94	$27.01	12.9%	3.7%	13.2%	56.7%	12.9%	4.7%	1.6%	4.3M	-14.2M	-202.2K	0.55	24.61	N/A	N/A	327	179	40,461	15,659
2012-12-26	$26.66	$27.01	12.6%	3.6%	12.9%	54.2%	13.6%	3.5%	0.3%	3.5M	-8.6M	-190.3K	0.95	62.14	N/A	N/A	711	677	40,774	15,837
2012-12-27	$26.56	$27.01	12.9%	3.7%	12.9%	56.8%	12.3%	1.4%	1.0%	2.9M	-4.5M	-185.2K	1.05	47.50	N/A	N/A	641	674	41,201	16,361
2012-12-28	$26.25	$27.01	14.2%	4.1%	13.3%	68.4%	13.8%	-1.1%	3.3%	1.9M	600.8K	-178.7K	0.54	38.61	N/A	N/A	342	184	41,675	16,960
2012-12-31	$26.67	$27.01	12.4%	3.6%	14.1%	52.4%	12.6%	3.1%	1.4%	3.2M	-3.9M	-135.6K	0.86	12.37	N/A	N/A	250	215	41,884	17,062