PPL Options History — March 2013

In March 2013, PPL traded between $28.03 and $29.16. ATM implied volatility averaged 9.5%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 2.7% (HV 20d: 12.3%). Max pain ranged from $27.01 to $27.94. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-03-05: Highest Volume — 85,968 contracts
  • 2013-03-05: Largest IV spike — 66.5% change
  • 2013-03-05: Highest IV Rank — 55.6%
  • 2013-03-11: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.44$28.03$29.16$28.71$29.16
Max Pain$27.85$27.01$27.94$27.94$27.94
ATM IV9.5%6.4%12.6%10.5%8.7%
Expected Move2.9%2.5%3.2%3.0%2.5%
HV 20d12.3%8.6%14.5%8.6%14.5%
HV 60d12.0%11.5%12.3%11.7%11.9%
IV Rank28.9%1.4%55.6%36.9%21.8%
IV Percentile18.1%0.4%63.9%21.8%7.1%
Term Structure1.1%0.5%2.2%0.6%1.8%
VWIV11.1%7.5%17.4%13.5%8.3%
Skew 25d2.9%-1.9%6.1%4.5%1.9%
Skew 10d3.3%-2.1%8.0%1.7%1.5%
Call IV 25d8.0%5.5%10.5%9.0%6.2%
Put IV 25d10.9%8.2%13.4%13.4%8.2%
Bid-Ask Spread %13.965.4653.6442.919.81
Gamma HHI0.340.280.490.380.49
Net GEX1.3M89.5K3.6M3.6M2.9M
Net DEX-19.6M-51.9M-8.0M-42.1M-35.6M
Net VEX-217.7K-233.3K-198.8K-223.1K-222.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.012.031.410.28
Total Volume5,479.8514285,9687862,634
Total OI45,365.1541,59752,17051,56146,627

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$28.71$27.9410.5%3.0%8.6%36.9%13.5%4.5%0.6%3.6M-42.1M-223.1K1.4142.91N/AN/A32646032,24319,318
2013-03-04$28.92$27.017.6%2.8%8.9%11.9%14.1%5.6%1.5%3.5M-47.2M-215.7K0.0412.97N/AN/A7,03525732,41119,552
2013-03-05$29.16$27.0112.6%2.7%8.6%55.6%17.4%6.1%2.2%3.4M-51.9M-224.7K0.0127.44N/AN/A85,28168732,54619,624
2013-03-06$28.66$27.949.7%2.7%11.0%30.2%11.6%3.3%1.3%1.2M-19.3M-198.8K0.8153.64N/AN/A1,22799821,69319,904
2013-03-07$28.43$27.946.7%2.8%11.4%3.9%10.4%0.7%1.2%747.3K-14.9M-209.1K0.4410.39N/AN/A26811922,13720,448
2013-03-08$28.54$27.946.4%2.7%11.5%1.4%11.2%3.5%0.9%1.1M-17.5M-201.9K1.1411.18N/AN/A28132122,23120,506
2013-03-11$28.19$27.9410.1%3.2%12.3%33.5%11.1%2.9%0.7%178.8K-9.6M-206.9K1.258.44N/AN/A24030122,44620,714
2013-03-12$28.31$27.947.5%3.1%12.4%11.2%9.2%2.7%0.6%600.8K-12.1M-202.4K0.968.54N/AN/A1,1201,07622,50620,886
2013-03-13$28.44$27.9410.1%2.6%12.4%34.0%9.5%1.3%1.4%934.5K-15.1M-233.3K0.379.24N/AN/A1967223,60121,799
2013-03-14$28.14$27.9410.2%2.9%13.0%34.2%9.9%2.2%1.1%89.5K-10.7M-216.0K0.065.46N/AN/A134823,55721,818
2013-03-15$28.40$27.9410.6%3.0%13.4%38.2%10.8%3.3%0.7%945.2K-13.7M-228.4K2.0310.77N/AN/A24048723,56721,793
2013-03-18$28.10$27.9410.5%3.0%13.8%37.5%12.0%1.9%0.5%452.2K-10.3M-212.6K0.925.66N/AN/A25623523,42619,697
2013-03-19$28.09$27.9410.7%3.1%13.8%39.0%11.9%5.9%0.6%391.4K-9.2M-211.0K0.579.69N/AN/A24313723,56319,825
2013-03-20$28.18$27.9410.1%2.9%13.9%33.6%7.5%3.5%1.3%619.5K-12.6M-224.2K0.106.52N/AN/A97710123,74419,892
2013-03-21$28.09$27.9410.3%3.0%13.9%35.5%12.7%5.1%1.1%446.2K-10.3M-226.3K0.998.44N/AN/A17817724,59719,928
2013-03-22$28.03$27.9410.7%3.1%13.1%38.6%10.8%1.3%1.2%170.3K-8.0M-223.5K0.596.73N/AN/A47328124,63720,010
2013-03-25$28.05$27.9410.4%3.0%12.1%36.0%10.7%-1.9%1.1%323.6K-8.8M-218.2K0.587.06N/AN/A24314024,73520,176
2013-03-26$28.49$27.948.9%2.6%13.3%23.5%10.1%1.9%0.6%1.5M-19.4M-224.7K0.2813.27N/AN/A1,14532524,85120,274
2013-03-27$28.66$27.948.6%2.5%13.2%20.8%9.1%2.4%1.8%2.1M-23.9M-230.0K0.6911.05N/AN/A54237625,60320,418
2013-03-28$29.16$27.948.7%2.5%14.5%21.8%8.3%1.9%1.8%2.9M-35.6M-222.8K0.289.81N/AN/A2,05957526,01620,611