PPL Options History — September 2013

In September 2013, PPL traded between $27.87 and $28.82. ATM implied volatility averaged 14.4%, placing in the 69.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.8% (HV 20d: 13.7%). Max pain ranged from $27.94 to $41.91. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-09-09: Highest Volume — 5,910 contracts
  • 2013-09-06: Largest IV drop — 11.9% change
  • 2013-09-05: Highest IV Rank — 82.8%
  • 2013-09-25: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.29$27.87$28.82$28.51$28.30
Max Pain$32.06$27.94$41.91$28.87$27.94
ATM IV14.4%13.3%16.2%15.4%15.0%
Expected Move4.7%4.1%5.1%4.4%5.1%
HV 20d13.7%11.3%16.5%11.9%15.9%
HV 60d14.0%12.9%14.8%14.8%13.8%
IV Rank69.1%59.9%82.8%76.5%73.4%
IV Percentile76.9%59.5%94.8%90.1%84.9%
Term Structure1.2%-1.1%3.2%0.1%1.8%
VWIV15.9%10.5%21.0%15.1%19.4%
Skew 25d1.7%-0.1%3.6%2.9%3.6%
Skew 10d3.1%-2.9%8.4%6.1%8.4%
Call IV 25d13.9%12.5%15.1%14.2%12.8%
Put IV 25d15.6%13.5%17.1%17.1%16.5%
Bid-Ask Spread %19.926.9981.7312.2123.44
Gamma HHI0.300.240.380.380.30
Net GEX2.7M853.5K5.2M3.5M2.6M
Net DEX-14.1M-30.2M-3.7M-17.3M-14.4M
Net VEX-283.1K-309.2K-264.6K-302.4K-264.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.025.970.140.33
Total Volume961.651365,910558357
Total OI68,275.456,97875,09369,69358,103

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$28.51$28.8715.4%4.4%11.9%76.5%15.1%2.9%0.1%3.5M-17.3M-302.4K0.1412.21N/AN/A4906854,29615,397
2013-09-04$28.61$28.8715.1%4.3%11.6%74.6%15.7%-0.1%0.4%3.7M-19.4M-301.4K0.729.84N/AN/A1,20486354,40115,458
2013-09-05$28.39$28.8716.2%4.6%11.4%82.8%13.4%2.6%-1.1%2.6M-11.0M-283.0K0.0810.78N/AN/A9527653,62316,277
2013-09-06$28.01$28.8714.2%4.3%12.0%67.3%15.1%1.8%0.8%2.1M-8.3M-286.1K0.2713.45N/AN/A1072954,19816,281
2013-09-09$28.19$28.8715.3%4.5%12.4%76.1%15.9%1.3%0.5%2.5M-11.7M-290.3K0.0210.24N/AN/A5,8199154,22416,281
2013-09-10$28.26$28.8714.0%4.4%12.5%65.6%14.0%2.4%0.8%3.0M-13.2M-291.7K0.309.58N/AN/A63618856,83616,303
2013-09-11$28.09$28.8713.5%4.2%12.4%61.3%14.8%2.0%1.2%2.3M-9.7M-284.4K5.9711.25N/AN/A2071,23857,07916,202
2013-09-12$27.89$28.8714.4%4.1%12.4%68.8%14.5%1.4%1.3%1.6M-3.7M-274.2K1.046.99N/AN/A788257,11817,263
2013-09-13$27.94$28.8714.6%4.2%11.8%70.5%14.9%1.9%1.3%1.6M-4.8M-273.8K0.1310.19N/AN/A5777357,11717,241
2013-09-16$27.87$0.0014.9%5.0%11.3%72.8%10.5%1.1%1.0%1.6M-4.2M-272.6K1.3681.73N/AN/A13518457,45217,270
2013-09-17$28.14$41.9114.9%5.1%11.9%72.6%16.8%1.0%1.0%2.1M-10.6M-281.6K0.5425.52N/AN/A40922157,48917,299
2013-09-18$28.82$41.9114.2%5.0%14.6%67.0%21.0%1.2%0.8%5.2M-30.2M-309.2K0.4932.39N/AN/A1,17557057,75617,337
2013-09-19$28.58$41.9114.0%5.0%14.2%65.5%0.0%1.6%0.9%3.7M-20.6M-290.5K0.3322.40N/AN/A37112257,19117,445
2013-09-20$28.04$41.9113.9%5.0%15.6%64.6%16.5%1.8%2.2%853.5K-7.3M-266.6K3.0313.90N/AN/A7221857,34117,366
2013-09-23$28.53$32.6013.3%4.9%16.4%59.9%14.4%1.9%1.5%3.3M-21.2M-282.9K0.4926.54N/AN/A47023241,96915,009
2013-09-24$28.65$32.6013.6%5.0%16.2%62.4%0.0%0.9%1.0%3.5M-24.4M-284.5K0.3112.72N/AN/A43913442,14315,137
2013-09-25$28.40$32.6013.9%5.1%16.5%64.4%17.3%0.5%2.8%3.0M-18.3M-275.8K0.1219.79N/AN/A6617942,37415,215
2013-09-26$28.38$27.9414.4%5.1%16.0%69.0%0.0%2.7%2.1%2.9M-17.6M-277.5K0.3321.31N/AN/A2528442,65015,273
2013-09-27$28.26$27.9414.1%5.0%15.9%66.1%20.5%2.0%3.2%2.6M-14.2M-268.2K0.4224.12N/AN/A1917942,77415,320
2013-09-30$28.30$27.9415.0%5.1%15.9%73.4%19.4%3.6%1.8%2.6M-14.4M-264.6K0.3323.44N/AN/A2688942,78315,320