PPL Options History — November 2013

In November 2013, PPL traded between $28.13 and $28.95. ATM implied volatility averaged 12.9%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.0% (HV 20d: 12.9%). Max pain ranged from $27.94 to $27.94. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2013-11-20: Highest Volume — 7,260 contracts
  • 2013-11-11: Largest IV spike — 76.1% change
  • 2013-11-26: Highest IV Rank — 78.1%
  • 2013-11-27: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.51$28.13$28.95$28.62$28.60
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV12.9%7.3%15.6%11.0%13.3%
Expected Move4.9%4.6%5.0%4.9%5.0%
HV 20d12.9%11.1%15.8%14.7%12.5%
HV 60d14.5%14.3%14.7%14.4%14.6%
IV Rank56.7%12.2%78.1%41.3%60.1%
IV Percentile47.7%2.0%89.3%15.5%48.8%
Term Structure-0.3%-1.7%2.3%2.3%0.9%
VWIV16.5%14.6%18.5%17.1%16.4%
Skew 25d3.1%1.4%5.2%2.2%1.4%
Skew 10d5.5%-0.7%11.8%3.8%2.3%
Call IV 25d12.3%10.0%13.8%10.0%11.6%
Put IV 25d15.4%12.3%16.9%12.3%13.0%
Bid-Ask Spread %20.5013.3844.8819.8127.41
Gamma HHI0.300.270.350.290.28
Net GEX3.4M2.2M5.7M3.2M3.7M
Net DEX-21.7M-33.4M-12.3M-22.8M-24.9M
Net VEX-286.3K-326.5K-256.5K-277.4K-325.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.052.682.380.17
Total Volume1,3573547,260671957
Total OI57,675.9553,76064,31553,76064,315

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$28.62$27.9411.0%4.9%14.7%41.3%17.1%2.2%2.3%3.2M-22.8M-277.4K2.3819.81N/AN/A19947239,60914,151
2013-11-04$28.72$27.9411.3%4.9%14.6%43.7%0.0%2.9%0.5%3.3M-25.1M-284.9K0.1726.08N/AN/A4658139,66614,527
2013-11-05$28.31$27.9413.7%4.9%15.5%63.0%0.0%2.1%-0.9%2.8M-16.6M-267.6K0.0744.88N/AN/A1,0007439,80014,550
2013-11-06$28.58$27.9412.7%4.8%15.8%55.3%17.0%3.1%0.3%3.3M-21.3M-270.8K0.1816.69N/AN/A5229240,38914,543
2013-11-07$28.56$27.9411.7%4.8%14.6%47.0%0.0%2.9%-0.4%3.3M-21.5M-272.7K0.4415.34N/AN/A33914940,60014,566
2013-11-08$28.42$27.947.3%4.8%14.7%12.2%16.0%3.6%-0.5%2.9M-17.5M-262.4K1.1821.24N/AN/A31437140,56614,552
2013-11-11$28.39$27.9412.9%4.9%14.1%57.0%15.8%3.8%-1.3%2.9M-17.8M-265.2K0.1714.63N/AN/A1,20221040,61614,785
2013-11-12$28.13$27.9414.4%4.9%12.5%68.5%15.6%3.9%-0.7%2.2M-12.3M-256.5K0.2918.96N/AN/A60417541,67014,886
2013-11-13$28.25$27.949.6%4.8%12.3%30.3%16.4%3.3%-1.7%2.5M-15.6M-264.5K1.2813.51N/AN/A24831842,15314,977
2013-11-14$28.72$27.9413.5%4.8%11.1%61.1%16.6%2.8%-0.1%4.4M-26.0M-278.3K0.9815.75N/AN/A28728241,71215,059
2013-11-15$28.95$27.9413.5%4.6%11.1%61.8%18.5%2.2%-1.0%5.7M-33.4M-286.6K0.7517.15N/AN/A46534741,81315,209
2013-11-18$28.78$27.9413.0%4.8%11.4%57.1%18.3%2.8%0.1%3.5M-25.6M-275.2K0.7624.94N/AN/A84464440,54313,889
2013-11-19$28.58$27.9412.9%4.8%11.3%56.3%16.5%5.2%0.9%3.3M-21.7M-276.6K1.7714.61N/AN/A26847641,25714,266
2013-11-20$28.31$27.9414.8%4.9%11.8%71.6%16.9%1.6%-1.1%2.9M-16.5M-268.5K0.4031.55N/AN/A5,1852,07541,37014,502
2013-11-21$28.47$27.9414.2%4.9%12.0%67.1%15.3%2.7%-0.1%3.5M-23.1M-315.1K0.7418.03N/AN/A1,08179744,73716,112
2013-11-22$28.59$27.9414.2%4.8%11.8%67.0%15.7%3.5%-0.8%3.8M-27.8M-326.5K2.6815.04N/AN/A32186045,46616,549
2013-11-25$28.61$27.9413.3%4.9%11.8%60.1%14.6%4.5%0.1%3.8M-26.1M-323.1K0.0514.80N/AN/A3,64518745,53817,125
2013-11-26$28.30$27.9415.6%4.9%12.3%78.1%16.9%2.9%-1.1%3.2M-18.5M-311.8K0.2513.38N/AN/A2827246,36417,287
2013-11-27$28.41$27.9415.3%5.0%12.4%76.0%16.9%4.0%-1.2%3.4M-20.1M-316.4K0.2426.13N/AN/A99323746,47017,330
2013-11-29$28.60$27.9413.3%5.0%12.5%60.1%16.4%1.4%0.9%3.7M-24.9M-325.4K0.1727.41N/AN/A81813946,90617,409