PPL Options History — June 2013

In June 2013, PPL traded between $26.50 and $28.18. ATM implied volatility averaged 15.4%, placing in the 82.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.4% (HV 20d: 14.0%). Max pain ranged from $27.94 to $28.87. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2013-06-28: Highest Volume — 4,107 contracts
  • 2013-06-28: Largest IV spike — 15.4% change
  • 2013-06-12: Highest IV Rank — 100.0%
  • 2013-06-05: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.27$26.50$28.18$27.63$28.18
Max Pain$28.13$27.94$28.87$28.87$27.94
ATM IV15.4%13.0%17.4%15.4%15.7%
Expected Move4.4%3.7%4.8%4.4%4.5%
HV 20d14.0%10.7%17.8%14.4%17.8%
HV 60d14.5%13.6%15.5%14.0%15.5%
IV Rank82.7%61.6%100.0%80.4%85.1%
IV Percentile93.4%69.0%100.0%95.6%95.6%
Term Structure0.5%-1.4%1.6%0.1%0.2%
VWIV15.1%12.6%16.9%15.7%14.6%
Skew 25d2.1%0.3%3.9%3.9%2.2%
Skew 10d1.5%-3.8%8.8%6.6%4.5%
Call IV 25d14.3%13.3%15.2%13.7%14.1%
Put IV 25d16.4%14.2%18.1%17.6%16.3%
Bid-Ask Spread %8.906.0312.809.5712.80
Gamma HHI0.230.180.310.250.31
Net GEX1.3M448.4K2.8M1.6M2.8M
Net DEX2.6M-18.7M13.9M1.9M-18.7M
Net VEX-221.4K-267.5K-184.9K-218.2K-267.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.131.721.720.27
Total Volume1,258.35514,1071,4374,107
Total OI54,403.0549,28257,52153,15652,218

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$27.63$28.8715.4%4.4%14.4%80.4%15.7%3.9%0.1%1.6M1.9M-218.2K1.729.57N/AN/A52890938,61414,542
2013-06-04$27.66$28.8715.1%4.3%12.8%77.5%15.3%0.9%-0.2%1.5M2.9M-226.0K0.239.03N/AN/A49511238,76915,183
2013-06-05$27.43$28.8716.9%4.8%11.3%92.6%16.3%2.9%-1.4%1.2M6.4M-221.8K0.999.77N/AN/A54454139,07915,250
2013-06-06$27.38$28.8716.5%4.7%10.9%96.1%16.0%0.3%-0.8%1.5M2.3M-228.6K0.969.39N/AN/A62559739,29915,551
2013-06-07$27.28$27.9415.5%4.4%10.9%86.5%15.0%2.0%0.5%1.4M3.4M-228.5K0.5711.77N/AN/A63135939,68115,456
2013-06-10$27.13$27.9414.4%4.2%10.7%76.7%14.3%1.8%0.9%1.2M6.2M-219.4K0.917.25N/AN/A32929739,80515,511
2013-06-11$26.99$27.9415.5%4.3%10.7%87.1%14.7%2.6%0.8%857.7K8.7M-211.8K0.4611.46N/AN/A74734139,73715,509
2013-06-12$26.50$27.9417.4%4.7%11.2%100.0%16.7%2.8%0.3%514.3K13.9M-184.9K0.1410.21N/AN/A1,55521039,86715,724
2013-06-13$27.00$27.9414.9%4.3%13.8%78.3%16.9%2.2%1.1%941.4K7.0M-206.8K0.267.06N/AN/A1,21030940,53715,758
2013-06-14$27.13$27.9415.0%4.3%14.2%78.9%15.0%1.1%1.1%1.2M5.3M-218.6K0.166.03N/AN/A6069940,58115,919
2013-06-17$27.13$27.9415.7%4.5%13.7%84.8%15.6%2.5%0.5%1.1M5.5M-216.3K0.496.15N/AN/A37018140,49116,004
2013-06-18$27.44$27.9415.3%4.4%14.7%81.5%14.2%2.2%0.8%1.5M562.7K-225.3K0.137.31N/AN/A77810440,61216,084
2013-06-19$27.06$27.9414.7%4.2%15.0%76.7%13.9%2.7%1.0%904.1K7.1M-208.1K0.1511.43N/AN/A2,00930641,08116,070
2013-06-20$26.56$27.9415.7%4.5%15.1%85.3%16.2%2.9%0.3%654.1K13.2M-194.5K0.316.07N/AN/A47014641,39516,126
2013-06-21$26.99$27.9415.7%4.5%16.7%85.1%16.1%2.8%0.6%448.4K7.9M-211.2K0.418.92N/AN/A44018041,10416,204
2013-06-24$27.09$27.9416.5%4.7%16.5%92.1%15.4%3.0%0.5%1.0M786.5K-217.3K0.3410.07N/AN/A76626435,32613,956
2013-06-25$27.48$27.9415.2%4.4%16.5%81.0%14.3%1.6%1.2%1.4M-5.1M-233.8K0.137.70N/AN/A89311435,65413,897
2013-06-26$27.67$27.9413.0%3.7%16.7%61.6%13.0%1.0%1.6%1.9M-8.4M-243.1K0.216.92N/AN/A1,05022236,39313,937
2013-06-27$27.65$27.9413.6%3.9%16.7%67.1%12.6%1.1%1.4%1.9M-8.0M-245.6K0.539.17N/AN/A1,12359937,00614,131
2013-06-28$28.18$27.9415.7%4.5%17.8%85.1%14.6%2.2%0.2%2.8M-18.7M-267.5K0.2712.80N/AN/A3,23787037,67914,539