PPL Options History — October 2013

In October 2013, PPL traded between $27.54 and $28.79. ATM implied volatility averaged 14.8%, placing in the 72.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.5% (HV 20d: 16.3%). Max pain ranged from $27.94 to $27.94. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.01.

Notable Days

  • 2013-10-21: Highest Volume — 7,042 contracts
  • 2013-10-31: Largest IV drop — 20.5% change
  • 2013-10-14: Highest IV Rank — 88.6%
  • 2013-10-11: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.31$27.54$28.79$28.55$28.53
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV14.8%11.3%16.9%13.6%11.3%
Expected Move5.0%4.8%5.2%5.2%4.9%
HV 20d16.3%14.8%18.4%16.2%14.8%
HV 60d14.0%13.2%14.6%13.5%14.4%
IV Rank72.1%43.5%88.6%62.5%43.5%
IV Percentile74.9%17.5%97.6%62.7%17.5%
Term Structure-0.0%-1.6%2.1%2.1%1.3%
VWIV17.7%9.2%22.0%17.8%16.6%
Skew 25d3.8%1.7%5.9%3.8%2.1%
Skew 10d6.1%2.6%12.0%3.6%3.4%
Call IV 25d12.8%9.5%16.7%11.5%10.5%
Put IV 25d16.6%12.6%19.0%15.4%12.6%
Bid-Ask Spread %20.7813.0233.7323.9713.02
Gamma HHI0.290.260.360.330.29
Net GEX2.1M-698.6K3.6M3.5M3.1M
Net DEX-14.7M-28.0M5.0M-21.6M-22.9M
Net VEX-257.6K-291.7K-216.3K-279.0K-283.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.094.880.300.55
Total Volume1,253.6961247,042492830
Total OI55,987.60942,65460,84058,27353,433

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$28.55$27.9413.6%5.2%16.2%62.5%17.8%3.8%2.1%3.5M-21.6M-279.0K0.3023.97N/AN/A37811442,94215,331
2013-10-02$28.58$27.9413.8%5.1%16.2%63.6%0.0%4.1%1.9%3.6M-22.6M-279.6K0.0922.36N/AN/A1981843,26215,432
2013-10-03$28.17$27.9416.4%5.1%16.8%84.6%17.4%4.6%0.9%2.4M-12.1M-260.0K0.5323.12N/AN/A1005343,33215,433
2013-10-04$28.06$27.9415.2%5.1%16.1%74.9%20.6%2.8%-1.1%2.0M-9.6M-252.5K0.4524.41N/AN/A2179743,34215,463
2013-10-07$27.92$27.9416.6%5.0%16.0%86.1%17.6%2.9%-1.3%1.6M-6.8M-243.2K3.4625.16N/AN/A13245643,36315,558
2013-10-08$27.97$27.9416.2%5.2%16.0%83.0%0.0%1.7%-1.3%1.5M-7.2M-246.5K1.7825.61N/AN/A10819343,41115,831
2013-10-09$27.94$27.9416.4%5.2%15.9%84.4%0.0%2.3%-1.3%1.3M-5.7M-240.1K4.8825.36N/AN/A17082843,35815,918
2013-10-10$28.44$27.9415.1%5.1%16.8%74.3%0.0%2.8%-0.5%2.6M-15.4M-255.3K1.1824.69N/AN/A31437043,43016,499
2013-10-11$28.41$27.9416.3%5.2%16.8%83.9%18.7%3.1%-0.5%2.6M-14.9M-255.6K0.6123.82N/AN/A774743,54216,670
2013-10-14$28.09$27.9416.9%5.0%17.3%88.6%18.8%4.0%-1.0%484.3K-6.1M-236.8K0.7226.15N/AN/A28820743,58216,656
2013-10-15$27.54$27.9416.8%5.1%18.4%87.7%17.9%2.6%-1.6%-111.3K5.0M-216.3K0.2214.97N/AN/A91620343,61016,758
2013-10-16$27.75$27.9414.8%5.1%16.2%71.5%17.9%3.8%0.4%-698.6K3.0M-217.4K0.3615.03N/AN/A1,54855143,49416,874
2013-10-17$28.38$27.9415.3%5.2%18.2%76.3%0.0%4.7%-0.3%1.7M-13.8M-236.4K3.0818.19N/AN/A4271,31443,57016,797
2013-10-18$28.22$27.9415.4%5.1%17.0%76.5%17.5%3.7%-0.9%-171.5K-9.5M-231.5K0.1316.84N/AN/A2,92636943,45617,384
2013-10-21$28.21$27.9415.6%5.1%15.7%78.0%9.2%3.3%0.1%1.8M-11.3M-232.4K0.1533.73N/AN/A6,13490830,80611,848
2013-10-22$28.47$27.9413.5%5.0%16.0%61.2%17.5%5.5%0.4%2.6M-20.5M-263.1K0.6015.61N/AN/A1,17771134,99212,286
2013-10-23$28.55$27.9414.4%5.0%15.7%68.4%17.5%5.4%-0.3%2.8M-21.9M-267.9K0.2615.12N/AN/A2,54667036,16012,506
2013-10-24$28.50$27.9413.6%4.9%15.8%62.5%16.1%5.6%0.6%2.9M-22.2M-285.0K0.2521.86N/AN/A59214938,33813,073
2013-10-25$28.68$27.9413.1%5.0%15.8%58.1%0.0%5.2%1.3%3.1M-25.1M-286.8K0.4217.03N/AN/A43918538,75013,196
2013-10-28$28.67$27.9413.3%5.0%15.8%60.1%22.0%4.8%0.4%3.2M-24.6M-284.1K1.2718.30N/AN/A33242038,99513,315
2013-10-29$28.79$27.9413.6%4.8%15.6%61.9%0.0%5.9%0.1%3.4M-28.0M-291.7K0.4915.81N/AN/A1356739,20813,606
2013-10-30$28.66$27.9414.1%4.8%15.7%66.7%20.8%3.5%-0.5%3.2M-24.7M-280.2K1.4917.85N/AN/A36955239,25113,654
2013-10-31$28.53$27.9411.3%4.9%14.8%43.5%16.6%2.1%1.3%3.1M-22.9M-283.7K0.5513.02N/AN/A53629439,43014,003