PPL Options History — February 2013

In February 2013, PPL traded between $28.06 and $28.71. ATM implied volatility averaged 12.6%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.7% (HV 20d: 9.9%). Max pain ranged from $27.01 to $27.94. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.81.

Notable Days

  • 2013-02-06: Highest Volume — 4,784 contracts
  • 2013-02-25: Largest IV spike — 59.5% change
  • 2013-02-06: Highest IV Rank — 86.1%
  • 2013-02-26: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.35$28.06$28.71$28.29$28.71
Max Pain$27.40$27.01$27.94$27.01$27.94
ATM IV12.6%6.2%16.2%14.1%6.2%
Expected Move3.5%1.8%4.2%3.7%1.8%
HV 20d9.9%7.8%11.5%10.9%10.2%
HV 60d12.6%11.8%14.2%14.1%11.9%
IV Rank54.0%0.0%86.1%67.9%0.0%
IV Percentile60.6%0.0%96.4%81.0%0.0%
Term Structure-0.5%-2.7%4.5%-1.9%4.5%
VWIV13.9%11.6%21.7%13.0%15.5%
Skew 25d4.6%-0.2%8.6%3.3%7.9%
Skew 10d4.2%0.0%10.7%2.7%3.7%
Call IV 25d8.7%5.1%12.2%10.6%6.2%
Put IV 25d13.2%9.4%16.1%13.9%14.0%
Bid-Ask Spread %18.749.1438.5518.1818.20
Gamma HHI0.430.350.650.650.38
Net GEX2.8M1.3M3.6M3.6M3.5M
Net DEX-34.7M-43.3M-28.4M-37.0M-43.3M
Net VEX-231.6K-247.4K-220.3K-221.5K-223.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.076.250.320.70
Total Volume1,398.5261994,7841,935562
Total OI50,869.31644,31256,43844,31251,317

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$28.29$27.0114.1%3.7%10.9%67.9%13.0%3.3%-1.9%3.6M-37.0M-221.5K0.3218.18N/AN/A1,47046529,37214,940
2013-02-04$28.06$27.0115.8%4.1%11.5%82.6%14.3%2.1%-2.7%3.3M-32.1M-227.5K5.7310.04N/AN/A6823,90929,87015,105
2013-02-05$28.09$27.0115.1%3.8%10.6%76.0%13.1%3.7%-2.0%2.8M-30.0M-239.9K0.2417.45N/AN/A3277929,99118,896
2013-02-06$28.19$27.0116.2%4.0%10.3%86.1%13.8%8.1%-1.8%2.8M-30.9M-239.6K6.2510.89N/AN/A6604,12429,99018,942
2013-02-07$28.22$27.0113.8%4.0%10.3%65.0%0.0%4.5%-2.2%1.6M-28.4M-247.4K2.729.14N/AN/A22360830,33822,467
2013-02-08$28.23$27.0114.0%4.0%10.3%66.8%14.2%4.5%-2.1%1.3M-29.4M-241.6K0.6719.19N/AN/A62642030,46622,817
2013-02-11$28.31$27.0114.2%4.1%10.2%68.0%13.9%3.0%-2.0%1.6M-31.9M-243.1K0.2213.50N/AN/A3718130,74822,972
2013-02-12$28.43$27.0112.7%3.6%10.2%55.2%13.4%3.8%-0.9%2.0M-37.2M-225.3K0.0714.39N/AN/A3,23122530,86022,968
2013-02-13$28.38$27.0113.5%3.9%10.2%62.4%13.5%4.7%-1.7%2.0M-36.3M-246.3K0.9926.83N/AN/A50749933,13522,998
2013-02-14$28.44$27.019.3%2.7%9.5%24.7%12.3%8.5%4.2%2.3M-41.6M-229.0K2.7718.51N/AN/A6417833,03823,336
2013-02-15$28.32$27.0111.5%3.3%9.5%44.6%11.6%3.9%-0.8%2.2M-39.8M-224.7K0.4416.45N/AN/A61126633,03223,406
2013-02-19$28.38$27.9412.3%3.5%8.6%51.7%12.2%3.8%-0.9%3.1M-31.4M-222.5K0.3938.55N/AN/A60423629,72817,502
2013-02-20$28.39$27.9413.1%3.8%8.3%58.9%12.8%-0.2%-1.7%3.0M-31.6M-237.8K0.1923.13N/AN/A1,75532730,21017,716
2013-02-21$28.33$27.9412.7%3.6%7.8%55.0%21.7%3.1%-1.5%3.4M-32.7M-224.8K2.2111.89N/AN/A6213731,50717,799
2013-02-22$28.68$27.948.8%2.5%8.6%20.7%13.3%7.3%4.3%3.5M-40.6M-222.0K0.2015.98N/AN/A60611831,54917,905
2013-02-25$28.27$27.9414.1%4.0%10.4%67.4%12.9%2.0%-2.4%3.2M-31.0M-237.6K4.6920.57N/AN/A2211,03731,94417,947
2013-02-26$28.41$27.9414.6%4.2%10.5%72.0%14.1%4.5%-2.5%3.3M-33.7M-226.0K4.8430.32N/AN/A12158732,07618,563
2013-02-27$28.60$27.946.7%1.9%10.3%1.6%14.8%8.6%4.0%3.6M-39.8M-220.3K0.7022.85N/AN/A33723632,07418,993
2013-02-28$28.71$27.946.2%1.8%10.2%0.0%15.5%7.9%4.5%3.5M-43.3M-223.0K0.7018.20N/AN/A33123132,19619,121