PPL Options History — July 2013

In July 2013, PPL traded between $27.34 and $29.59. ATM implied volatility averaged 14.4%, placing in the 73.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 2.2% (HV 20d: 16.5%). 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 13 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2013-07-29: Highest Volume — 13,131 contracts
  • 2013-07-05: Largest IV spike — 20.4% change
  • 2013-07-31: Highest IV Rank — 98.1%
  • 2013-07-31: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.67$27.34$29.59$27.85$29.59
Max Pain$27.98$27.94$28.87$27.94$28.87
ATM IV14.4%12.7%17.2%14.6%17.2%
Expected Move4.2%3.6%4.9%4.2%4.9%
HV 20d16.5%12.7%19.5%18.4%12.7%
HV 60d15.8%15.4%16.1%15.6%15.4%
IV Rank73.5%59.0%98.1%75.5%98.1%
IV Percentile81.3%57.1%99.6%87.7%99.6%
Term Structure0.2%-2.4%2.7%1.1%-2.4%
VWIV15.1%12.2%20.0%14.6%20.0%
Skew 25d3.3%1.2%6.7%5.4%6.7%
Skew 10d5.5%-3.0%12.0%2.9%2.4%
Call IV 25d13.0%9.9%16.0%10.6%12.3%
Put IV 25d16.3%14.5%19.9%16.0%19.0%
Bid-Ask Spread %14.166.7066.568.9231.02
Gamma HHI0.360.250.580.300.48
Net GEX3.6M1.6M7.2M2.4M7.2M
Net DEX-30.6M-76.5M-2.1M-11.6M-76.5M
Net VEX-273.8K-345.8K-236.2K-259.5K-345.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.022.200.162.20
Total Volume2,150.90928113,1311,1331,557
Total OI54,277.45543,37067,66454,57767,664

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$27.85$27.9414.6%4.2%18.4%75.5%14.6%5.4%1.1%2.4M-11.6M-259.5K0.168.92N/AN/A98115239,58814,989
2013-07-02$27.71$27.9413.6%3.9%18.5%67.2%13.7%1.2%2.7%2.1M-9.3M-257.4K0.3511.50N/AN/A47816940,42815,048
2013-07-03$27.56$27.9413.6%3.9%18.3%66.5%13.4%2.7%2.5%1.9M-6.2M-249.9K0.048.56N/AN/A3391340,77115,117
2013-07-05$27.34$27.9416.3%4.9%18.6%90.4%16.5%3.1%-0.6%1.6M-2.1M-236.2K0.8310.10N/AN/A15412740,83415,128
2013-07-08$27.80$27.9414.1%4.5%19.5%70.9%15.3%3.2%-1.0%2.3M-9.7M-249.1K0.069.21N/AN/A8885340,84915,097
2013-07-09$27.85$27.9414.3%4.3%19.3%73.1%16.5%2.9%0.4%2.4M-11.6M-253.9K0.709.28N/AN/A24317041,13615,067
2013-07-10$27.94$27.9413.2%4.5%19.2%63.5%14.8%3.1%-0.2%2.6M-12.8M-253.1K0.3010.04N/AN/A3079141,23815,079
2013-07-11$28.32$27.9415.0%4.3%18.0%79.3%15.8%5.0%0.4%3.7M-22.4M-261.5K0.088.67N/AN/A4383441,49615,054
2013-07-12$28.36$27.9415.8%4.5%17.1%85.7%14.5%5.6%-0.4%3.7M-23.3M-262.3K0.066.70N/AN/A7454341,55915,038
2013-07-15$28.77$27.9414.8%4.2%17.6%76.9%14.8%2.4%-0.1%5.2M-34.5M-265.4K0.2912.53N/AN/A1,12232341,28515,069
2013-07-16$28.74$27.9414.6%4.2%17.6%75.3%14.9%2.2%0.0%5.3M-33.7M-260.4K0.0616.84N/AN/A3,06418142,02915,026
2013-07-17$28.95$27.9414.2%4.1%17.4%71.8%14.4%2.3%0.1%6.1M-40.9M-274.0K0.3110.31N/AN/A2748543,09115,102
2013-07-18$29.39$27.9413.0%3.7%16.8%62.0%14.1%1.7%0.5%5.5M-53.4M-268.5K0.3914.19N/AN/A81331642,85114,961
2013-07-19$29.39$27.9412.7%3.6%14.6%59.4%14.2%1.7%0.0%4.9M-53.1M-265.1K0.1213.35N/AN/A4,95358342,99415,149
2013-07-22$29.38$27.9412.9%3.7%14.2%61.2%13.3%3.8%0.8%2.8M-36.1M-286.4K0.5310.34N/AN/A1,16361432,04611,324
2013-07-23$29.44$27.9412.7%3.6%14.2%59.0%15.7%5.0%0.7%2.9M-36.8M-288.1K0.7766.56N/AN/A77559432,99811,819
2013-07-24$29.02$27.9414.4%4.1%15.1%73.6%14.5%2.7%-0.0%2.7M-29.6M-285.9K0.3410.09N/AN/A1,27543933,38812,282
2013-07-25$29.12$27.9414.1%4.0%15.0%70.8%13.7%1.8%1.1%2.9M-31.2M-288.2K0.6615.30N/AN/A31220534,14412,504
2013-07-26$29.18$27.9413.7%3.9%14.9%67.5%12.2%2.6%1.0%2.9M-32.8M-290.3K0.4111.54N/AN/A70228934,20712,702
2013-07-29$29.52$27.9414.4%4.1%14.1%74.0%16.9%4.4%-0.1%3.1M-38.8M-295.6K0.028.86N/AN/A12,88624534,72812,963
2013-07-30$29.55$27.9416.9%4.8%13.0%95.3%19.0%3.9%-1.9%5.9M-66.7M-326.0K0.207.59N/AN/A7,6001,52547,11713,145
2013-07-31$29.59$28.8717.2%4.9%12.7%98.1%20.0%6.7%-2.4%7.2M-76.5M-345.8K2.2031.02N/AN/A4871,07053,64714,017