PPL Options History — April 2013

In April 2013, PPL traded between $28.76 and $31.09. ATM implied volatility averaged 11.5%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 1.7% (HV 20d: 13.2%). Max pain ranged from $27.94 to $28.87. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2013-04-10: Highest Volume — 3,447 contracts
  • 2013-04-09: Largest IV spike — 77.7% change
  • 2013-04-30: Highest IV Rank — 67.4%
  • 2013-04-30: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.85$28.76$31.09$29.11$31.09
Max Pain$28.32$27.94$28.87$27.94$28.87
ATM IV11.5%5.8%13.9%10.3%13.9%
Expected Move3.5%2.6%4.0%2.9%4.0%
HV 20d13.2%11.8%14.6%14.6%11.8%
HV 60d12.0%11.5%12.3%11.5%11.9%
IV Rank47.4%0.0%67.4%35.1%67.4%
IV Percentile49.0%0.0%86.5%22.6%86.5%
Term Structure-0.1%-1.3%2.3%1.0%-0.7%
VWIV12.1%9.1%14.0%10.2%13.1%
Skew 25d2.9%0.1%5.0%3.1%2.6%
Skew 10d4.6%-0.6%10.9%2.3%6.4%
Call IV 25d10.0%6.1%13.1%6.1%12.5%
Put IV 25d12.8%8.1%15.1%9.2%15.1%
Bid-Ask Spread %10.906.1926.5813.8910.23
Gamma HHI0.320.240.460.410.24
Net GEX3.2M2.7M3.6M3.2M3.1M
Net DEX-48.7M-62.1M-28.3M-37.4M-62.1M
Net VEX-256.5K-277.2K-213.9K-213.9K-258.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.095.545.540.61
Total Volume1,164.3642643,4471,383514
Total OI49,739.04539,85655,76048,64744,427

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$29.11$27.9410.3%2.9%14.6%35.1%10.2%3.1%1.0%3.2M-37.4M-213.9K5.5413.89N/AN/A2121,17127,60421,043
2013-04-02$29.02$27.949.7%2.8%14.4%30.4%9.7%1.5%1.5%3.2M-35.1M-217.4K0.1526.58N/AN/A1,39320927,65521,581
2013-04-03$28.76$27.949.2%2.6%14.4%26.0%9.1%0.1%2.3%2.7M-28.3M-244.8K0.1513.19N/AN/A1,33220228,15521,569
2013-04-04$29.14$27.949.4%2.7%13.8%28.0%9.3%2.9%2.1%3.1M-36.6M-246.9K0.426.83N/AN/A1867828,62621,658
2013-04-05$29.28$27.9410.1%3.4%13.4%33.9%10.4%4.0%-0.1%3.1M-40.4M-238.2K0.099.19N/AN/A1,86816028,73621,711
2013-04-08$29.50$27.945.8%2.9%13.6%0.0%10.8%4.6%0.6%3.4M-46.2M-243.1K0.218.00N/AN/A50910730,38321,759
2013-04-09$29.32$27.9410.3%3.9%12.9%37.8%12.2%4.5%-1.3%3.3M-43.5M-246.7K0.258.57N/AN/A92722830,53421,832
2013-04-10$29.49$27.9410.0%3.5%12.9%34.8%12.5%1.7%-0.2%3.2M-46.8M-246.7K0.1112.82N/AN/A3,11733030,77122,041
2013-04-11$29.71$27.9411.9%3.4%13.1%51.2%11.8%5.0%0.1%3.2M-52.3M-271.3K0.169.07N/AN/A2744432,66822,135
2013-04-12$29.80$27.9411.5%3.3%12.2%47.7%11.6%2.5%0.5%3.1M-53.2M-277.2K0.1612.03N/AN/A77312332,82322,154
2013-04-15$29.34$27.9413.6%3.9%13.5%64.7%12.8%1.0%-0.6%3.6M-46.3M-271.8K0.358.22N/AN/A34011833,37622,207
2013-04-16$29.67$27.9412.2%3.5%13.1%53.1%12.6%5.0%-0.2%3.4M-51.8M-268.8K0.148.41N/AN/A78911233,33622,279
2013-04-17$29.65$27.9413.0%3.7%13.2%60.0%14.0%2.5%-0.5%3.3M-51.4M-270.3K0.5012.34N/AN/A49324733,47322,287
2013-04-18$29.86$28.8713.3%3.8%13.3%62.2%13.1%2.2%-0.9%3.1M-54.3M-266.6K0.2711.08N/AN/A48613133,08222,453
2013-04-19$30.34$28.8712.3%3.5%13.8%54.2%13.4%4.0%-0.6%2.9M-61.5M-261.9K0.2612.51N/AN/A1,11729033,18222,567
2013-04-22$30.31$28.8712.5%3.6%13.7%56.2%13.4%3.6%-0.4%3.0M-48.4M-260.3K1.0211.02N/AN/A1,5641,59429,06110,795
2013-04-23$30.46$28.8712.4%3.6%13.7%55.5%13.4%3.1%-0.1%3.2M-51.0M-268.8K0.377.32N/AN/A49918530,21711,992
2013-04-24$30.55$28.8712.8%3.7%13.0%58.3%12.9%3.7%-1.3%3.1M-52.9M-267.5K0.2510.40N/AN/A1,04026330,40012,103
2013-04-25$30.58$28.8712.6%3.6%13.0%57.1%12.8%1.6%-0.6%3.4M-53.6M-269.1K0.316.19N/AN/A49915631,14312,283
2013-04-26$30.76$28.8713.1%3.8%11.9%61.0%13.1%1.9%-1.0%3.3M-57.0M-269.1K0.5812.48N/AN/A62536531,42012,422
2013-04-29$31.02$28.8713.9%4.0%12.0%67.2%13.7%1.6%-1.3%3.2M-61.2M-263.0K0.399.48N/AN/A68226431,66012,656
2013-04-30$31.09$28.8713.9%4.0%11.8%67.4%13.1%2.6%-0.7%3.1M-62.1M-258.9K0.6110.23N/AN/A32019431,60912,818