PPL Options History — May 2013

In May 2013, PPL traded between $27.66 and $30.98. ATM implied volatility averaged 13.6%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.5% (HV 20d: 14.1%). Max pain ranged from $28.87 to $29.80. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2013-05-22: Highest Volume — 3,960 contracts
  • 2013-05-06: Largest IV spike — 25.0% change
  • 2013-05-28: Highest IV Rank — 91.8%
  • 2013-05-28: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.42$27.66$30.98$30.98$27.66
Max Pain$29.55$28.87$29.80$28.87$28.87
ATM IV13.6%10.3%16.8%14.5%15.8%
Expected Move3.9%3.0%4.8%4.1%4.5%
HV 20d14.1%11.2%15.8%11.2%14.3%
HV 60d13.6%11.8%14.6%11.8%14.1%
IV Rank65.1%37.8%91.8%72.3%83.4%
IV Percentile78.0%25.8%99.2%90.9%96.8%
Term Structure-0.5%-2.2%0.8%-1.3%-0.1%
VWIV13.4%10.3%16.6%14.4%15.0%
Skew 25d3.1%1.6%5.6%3.5%4.0%
Skew 10d4.1%-1.2%9.4%4.7%7.6%
Call IV 25d12.1%8.6%14.7%12.5%13.1%
Put IV 25d15.2%11.6%18.0%16.0%17.1%
Bid-Ask Spread %11.156.2818.4718.4712.18
Gamma HHI0.270.240.300.240.26
Net GEX3.4M1.6M4.5M3.2M1.6M
Net DEX-31.6M-59.9M829.1K-59.9M829.1K
Net VEX-270.2K-291.0K-222.2K-263.3K-222.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.021.530.240.90
Total Volume1,768.5453143,9603,241643
Total OI49,978.13644,82752,93544,82752,935

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$30.98$28.8714.5%4.1%11.2%72.3%14.4%3.5%-1.3%3.2M-59.9M-263.3K0.2418.47N/AN/A2,61962231,84512,982
2013-05-02$30.68$28.8711.1%3.2%11.5%44.3%11.2%4.6%0.8%4.0M-57.0M-282.0K0.7215.44N/AN/A1,03574434,23713,399
2013-05-03$30.48$28.8710.3%3.0%11.9%37.8%10.3%2.2%0.7%4.2M-53.7M-284.4K0.3910.31N/AN/A63124434,45413,561
2013-05-06$29.79$29.8012.9%3.9%14.7%59.4%12.7%3.6%-1.3%3.7M-38.2M-282.3K0.2310.68N/AN/A3,20573734,66813,659
2013-05-07$30.18$29.8012.1%3.8%15.1%52.3%11.5%3.7%-0.9%4.5M-47.3M-287.9K0.0413.94N/AN/A2,30910036,30214,121
2013-05-08$29.80$29.8013.6%3.7%15.8%64.9%12.8%2.9%-0.8%3.7M-37.1M-280.6K0.2312.75N/AN/A69315935,16714,129
2013-05-09$29.63$29.8013.1%3.8%15.8%61.2%12.8%3.8%-0.8%3.5M-33.4M-279.9K0.298.43N/AN/A2437134,70814,274
2013-05-10$29.66$29.8012.0%3.5%15.7%51.5%14.2%5.6%-0.1%3.6M-33.8M-277.2K0.358.52N/AN/A1,06537634,87914,289
2013-05-13$29.55$29.8014.0%3.7%14.7%68.0%13.1%3.5%0.8%3.5M-32.0M-280.6K0.179.30N/AN/A1,25321835,48314,503
2013-05-14$29.69$29.8013.5%3.9%14.3%64.2%12.9%3.1%-1.2%3.8M-36.4M-281.7K0.038.00N/AN/A1,6734736,12914,593
2013-05-15$29.81$29.8012.9%3.8%14.3%59.2%13.4%2.0%-0.8%4.2M-41.7M-289.2K0.0213.49N/AN/A6871437,52114,635
2013-05-16$29.75$29.8012.7%3.6%14.1%57.4%13.0%2.9%-0.2%4.2M-38.9M-284.1K0.2012.68N/AN/A50510337,45714,522
2013-05-17$29.94$29.8013.5%3.9%13.1%64.4%13.5%1.8%-0.5%4.4M-45.1M-288.7K0.0714.50N/AN/A2,74420237,55014,474
2013-05-20$29.63$29.8014.1%4.0%13.5%68.9%15.3%2.8%-0.3%3.8M-36.4M-287.6K0.129.34N/AN/A2,01024635,94312,658
2013-05-21$29.64$29.8013.3%3.8%13.4%62.4%12.9%2.5%-0.1%4.1M-37.8M-291.0K0.6011.78N/AN/A77846737,25012,884
2013-05-22$29.12$29.8013.7%3.9%14.4%66.2%13.2%1.6%-1.6%3.6M-24.9M-277.3K0.0811.24N/AN/A3,68327737,42912,953
2013-05-23$28.87$29.8014.3%4.1%14.5%71.1%14.2%2.3%-0.5%3.2M-19.8M-267.1K0.1910.48N/AN/A71914036,82613,063
2013-05-24$28.49$29.8014.3%4.1%14.6%71.2%14.2%2.7%0.4%2.7M-13.3M-254.0K0.4411.88N/AN/A48521337,00213,090
2013-05-28$28.00$29.8016.8%4.8%14.6%91.8%16.6%3.3%-2.2%2.0M-3.3M-222.7K0.328.55N/AN/A2,20071237,16813,178
2013-05-29$27.98$28.8715.4%4.4%14.4%80.5%16.3%3.2%-0.4%2.0M-4.3M-232.2K1.537.09N/AN/A7161,09337,70913,588
2013-05-30$27.85$28.8715.3%4.4%14.4%79.2%12.2%3.0%-0.6%1.8M-1.3M-227.8K0.196.28N/AN/A1,87635137,91514,387
2013-05-31$27.66$28.8715.8%4.5%14.3%83.4%15.0%4.0%-0.1%1.6M829.1K-222.2K0.9012.18N/AN/A33930438,51914,416