PPL Options History — August 2013

In August 2013, PPL traded between $28.30 and $29.81. ATM implied volatility averaged 14.3%, placing in the 69.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.8% (HV 20d: 11.5%). Max pain ranged from $28.87 to $28.87. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-08-08: Highest Volume — 25,635 contracts
  • 2013-08-13: Largest IV spike — 38.5% change
  • 2013-08-13: Highest IV Rank — 100.0%
  • 2013-08-21: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.05$28.30$29.81$29.79$28.59
Max Pain$28.87$28.87$28.87$28.87$28.87
ATM IV14.3%12.6%18.3%13.6%14.6%
Expected Move4.2%3.7%4.7%3.9%4.2%
HV 20d11.5%10.7%12.3%12.3%12.0%
HV 60d14.9%14.5%15.3%15.2%14.8%
IV Rank69.6%58.3%100.0%66.5%70.4%
IV Percentile78.0%54.4%100.0%71.4%84.1%
Term Structure0.0%-1.5%1.8%1.8%0.5%
VWIV14.9%12.6%17.4%17.4%15.7%
Skew 25d3.7%0.7%7.0%7.0%3.2%
Skew 10d5.9%-2.2%14.7%14.7%6.2%
Call IV 25d12.4%9.6%14.1%9.9%12.7%
Put IV 25d16.0%12.7%17.0%16.9%15.9%
Bid-Ask Spread %12.816.7819.4510.918.80
Gamma HHI0.440.380.610.390.40
Net GEX6.5M3.3M16.4M5.8M3.9M
Net DEX-45.8M-102.4M-13.8M-72.5M-19.9M
Net VEX-313.4K-370.0K-273.3K-329.8K-310.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.013.070.720.15
Total Volume2,244.04531425,6355921,264
Total OI68,390.77360,91782,27663,07669,676

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$29.79$28.8713.6%3.9%12.3%66.5%17.4%7.0%1.8%5.8M-72.5M-329.8K0.7210.91N/AN/A34524748,44114,635
2013-08-02$29.74$28.8713.0%3.7%11.7%61.7%15.1%5.5%0.8%6.1M-73.0M-322.8K0.4912.21N/AN/A36718148,43114,678
2013-08-05$29.81$28.8712.9%4.1%10.7%61.3%15.5%4.2%0.1%6.0M-76.0M-313.5K0.4616.62N/AN/A57126548,51514,697
2013-08-06$29.49$28.8713.0%4.1%11.8%61.4%14.6%3.9%-0.3%7.3M-65.5M-316.7K0.6919.45N/AN/A77953848,83614,800
2013-08-07$29.68$28.8713.4%4.1%11.9%65.2%17.2%3.8%-0.6%6.4M-72.6M-316.8K0.6513.54N/AN/A33021649,41515,185
2013-08-08$29.67$28.8712.6%4.1%11.3%58.3%13.8%3.3%-0.3%6.7M-73.1M-316.0K0.019.80N/AN/A25,42321249,47915,283
2013-08-09$29.71$28.8713.1%4.1%11.3%62.3%14.6%3.1%-1.2%10.4M-102.4M-370.0K0.4410.04N/AN/A1,17151466,79115,485
2013-08-12$29.55$28.8713.2%4.1%10.7%63.7%15.0%3.6%0.6%9.4M-80.8M-354.7K0.147.72N/AN/A3885460,79815,918
2013-08-13$29.30$28.8718.3%4.5%11.2%100.0%15.5%5.1%-1.5%10.7M-69.9M-350.0K1.4211.55N/AN/A13118661,77515,908
2013-08-14$29.14$28.8716.6%4.4%11.2%86.0%16.3%4.3%-1.1%12.0M-61.4M-336.8K3.0713.03N/AN/A20763761,84315,814
2013-08-15$28.76$28.8714.6%4.2%10.7%70.2%15.5%2.5%-0.3%16.4M-40.3M-316.7K1.7516.14N/AN/A11420061,26515,930
2013-08-16$28.45$28.8715.3%4.4%11.2%75.7%14.1%2.4%-0.8%5.9M-17.7M-284.9K0.076.78N/AN/A2,08814561,28115,862
2013-08-19$28.45$28.8714.4%4.1%11.2%69.0%14.1%3.4%0.7%3.7M-17.1M-277.7K0.3010.51N/AN/A2,08862147,48113,436
2013-08-20$28.64$28.8714.1%4.0%11.5%66.4%13.5%2.7%0.6%4.1M-20.3M-290.6K0.2614.87N/AN/A63716448,71313,867
2013-08-21$28.30$28.8716.4%4.7%11.2%85.0%15.3%3.0%-0.7%3.3M-13.8M-274.6K0.8514.51N/AN/A55947849,13613,985
2013-08-22$28.46$28.8713.9%4.0%11.4%64.4%13.8%3.9%0.9%3.5M-16.2M-285.4K0.0511.47N/AN/A7013249,28414,187
2013-08-23$28.76$28.8714.2%4.1%12.1%67.0%14.3%5.2%0.1%4.4M-22.0M-292.7K1.1716.84N/AN/A17520549,48114,210
2013-08-26$28.53$28.8714.1%4.0%11.4%66.3%14.7%4.5%0.6%3.7M-16.1M-273.3K0.1518.62N/AN/A3,82357949,55014,327
2013-08-27$28.64$28.8715.1%4.3%11.6%74.2%14.8%4.2%-0.5%4.3M-22.4M-306.1K0.1218.04N/AN/A1,66619652,84314,795
2013-08-28$28.91$28.8714.5%4.2%12.2%69.8%13.9%1.1%1.1%5.4M-30.9M-339.4K0.618.33N/AN/A29518054,25014,887
2013-08-29$28.70$28.8714.2%4.1%12.0%67.5%12.6%0.7%0.3%4.4M-23.2M-315.5K1.4712.02N/AN/A16123654,36115,063
2013-08-30$28.59$28.8714.6%4.2%12.0%70.4%15.7%3.2%0.5%3.9M-19.9M-310.4K0.158.80N/AN/A1,10016454,41915,257