PPL Options History — January 2013

In January 2013, PPL traded between $26.74 and $28.21. ATM implied volatility averaged 11.8%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 1.6% (HV 20d: 13.4%). 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 15 of 21 days. Put/call ratio averaged 0.67.

Notable Days

2013-01-17: Highest Volume — 8,569 contracts
2013-01-25: Largest IV drop — 17.2% change
2013-01-31: Highest IV Rank — 57.7%
2013-01-08: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.26	$26.74	$28.21	$27.09	$28.21
Max Pain	$27.01	$27.01	$27.01	$27.01	$27.01
ATM IV	11.8%	10.5%	13.0%	11.9%	13.0%
Expected Move	3.5%	3.0%	3.8%	3.4%	3.7%
HV 20d	13.4%	10.9%	15.0%	15.0%	10.9%
HV 60d	14.1%	13.9%	14.4%	14.1%	14.4%
IV Rank	47.1%	35.9%	57.7%	47.9%	57.7%
IV Percentile	41.5%	20.6%	67.9%	40.1%	67.9%
Term Structure	0.1%	-1.7%	2.0%	1.6%	0.2%
VWIV	12.6%	11.2%	14.3%	11.6%	13.1%
Skew 25d	2.8%	-2.6%	6.4%	1.7%	1.9%
Skew 10d	1.6%	-4.4%	6.9%	2.3%	-1.1%
Call IV 25d	10.4%	6.4%	12.8%	8.5%	9.9%
Put IV 25d	13.2%	10.2%	15.5%	10.2%	11.8%
Bid-Ask Spread %	70.93	26.08	112.63	51.86	105.73
Gamma HHI	0.52	0.37	0.74	0.37	0.65
Net GEX	5.0M	2.8M	11.5M	5.4M	3.5M
Net DEX	-17.5M	-34.9M	-2.5M	-18.0M	-34.9M
Net VEX	-190.2K	-218.9K	-160.1K	-199.7K	-218.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.11	3.89	0.46	0.59
Total Volume	1,421.333	180	8,569	549	2,386
Total OI	52,725.81	35,703	64,524	59,093	43,163

Daily Data (21 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
2013-01-02	$27.09	$27.01	11.9%	3.4%	15.0%	47.9%	11.6%	1.7%	1.6%	5.4M	-18.0M	-199.7K	0.46	51.86	N/A	N/A	377	172	41,923	17,170
2013-01-03	$27.20	$27.01	11.8%	3.4%	15.0%	47.1%	12.3%	-2.6%	2.0%	6.2M	-23.3M	-203.5K	0.40	36.74	N/A	N/A	375	149	42,212	17,189
2013-01-04	$27.21	$27.01	11.1%	3.7%	14.2%	41.1%	14.3%	3.1%	0.1%	6.0M	-21.1M	-195.5K	0.60	32.35	N/A	N/A	636	381	42,490	17,266
2013-01-07	$26.94	$27.01	11.8%	3.7%	14.0%	47.2%	13.9%	2.4%	0.0%	5.0M	-13.8M	-188.3K	0.75	43.30	N/A	N/A	293	219	42,525	17,416
2013-01-08	$26.82	$27.01	11.8%	3.8%	14.1%	46.6%	13.2%	2.1%	-0.2%	4.3M	-8.8M	-181.8K	0.73	84.93	N/A	N/A	104	76	42,605	17,531
2013-01-09	$26.97	$27.01	10.9%	3.6%	14.2%	39.1%	13.7%	3.0%	0.1%	5.2M	-12.2M	-175.6K	0.49	37.00	N/A	N/A	145	71	42,661	17,560
2013-01-10	$27.01	$27.01	12.5%	3.6%	14.3%	53.5%	12.5%	2.6%	0.3%	5.7M	-14.7M	-181.7K	0.20	37.24	N/A	N/A	491	100	42,741	17,581
2013-01-11	$26.96	$27.01	12.4%	3.5%	14.2%	52.0%	12.8%	3.1%	0.0%	5.6M	-12.6M	-174.2K	0.74	48.14	N/A	N/A	130	96	42,956	17,649
2013-01-14	$26.96	$27.01	12.5%	3.6%	14.2%	53.4%	12.6%	6.4%	0.3%	6.6M	-12.9M	-170.2K	0.87	26.08	N/A	N/A	155	134	43,046	17,712
2013-01-15	$26.93	$27.01	12.4%	3.5%	13.7%	51.9%	12.6%	6.2%	0.5%	8.6M	-11.5M	-168.1K	0.21	108.79	N/A	N/A	773	164	43,159	17,839
2013-01-16	$26.74	$27.01	12.2%	3.5%	12.4%	50.2%	12.3%	4.1%	-0.1%	5.0M	-2.5M	-160.1K	0.75	110.77	N/A	N/A	338	253	43,600	17,769
2013-01-17	$27.00	$27.01	11.3%	3.2%	12.8%	42.5%	11.2%	5.3%	0.4%	11.5M	-14.0M	-161.6K	0.12	112.63	N/A	N/A	7,680	889	43,395	17,678
2013-01-18	$27.36	$27.01	11.3%	3.3%	13.2%	42.9%	11.5%	6.2%	0.3%	4.3M	-28.6M	-187.0K	0.11	97.05	N/A	N/A	1,331	142	46,090	18,434
2013-01-22	$27.57	$27.01	10.8%	3.1%	13.4%	38.1%	11.3%	2.5%	-0.7%	3.0M	-19.1M	-191.1K	0.13	84.17	N/A	N/A	1,598	205	24,984	10,719
2013-01-23	$27.37	$27.01	12.0%	3.4%	13.4%	48.4%	11.5%	0.8%	0.2%	2.8M	-15.3M	-191.1K	1.38	65.16	N/A	N/A	486	670	25,745	10,873
2013-01-24	$27.49	$27.01	12.7%	3.7%	13.5%	55.3%	12.4%	0.6%	-1.7%	2.9M	-16.8M	-199.5K	0.97	112.16	N/A	N/A	2,654	2,567	26,004	11,332
2013-01-25	$27.57	$27.01	10.5%	3.0%	12.8%	35.9%	12.4%	2.6%	0.0%	3.0M	-18.6M	-209.3K	0.23	50.79	N/A	N/A	454	103	27,815	13,358
2013-01-28	$27.57	$27.01	11.4%	3.3%	12.7%	43.1%	13.8%	2.7%	-0.5%	3.1M	-19.4M	-207.1K	0.21	96.67	N/A	N/A	436	92	27,917	13,357
2013-01-29	$27.82	$27.01	11.1%	3.2%	11.8%	40.6%	11.4%	1.7%	0.1%	3.5M	-26.2M	-210.5K	0.28	101.98	N/A	N/A	603	167	28,254	13,424
2013-01-30	$27.76	$27.01	12.6%	3.6%	10.9%	54.0%	14.0%	3.6%	-1.1%	3.3M	-23.9M	-218.8K	3.89	46.03	N/A	N/A	359	1,394	28,602	13,498
2013-01-31	$28.21	$27.01	13.0%	3.7%	10.9%	57.7%	13.1%	1.9%	0.2%	3.5M	-34.9M	-218.9K	0.59	105.73	N/A	N/A	1,501	885	28,764	14,399