PPL Options History — December 2013

In December 2013, PPL traded between $27.24 and $28.73. ATM implied volatility averaged 14.5%, placing in the 69.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.5% (HV 20d: 14.0%). Max pain ranged from $26.08 to $27.94. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2013-12-05: Highest Volume — 4,809 contracts
  • 2013-12-11: Largest IV spike — 20.2% change
  • 2013-12-11: Highest IV Rank — 89.4%
  • 2013-12-09: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.78$27.24$28.73$28.33$28.03
Max Pain$27.05$26.08$27.94$27.94$27.94
ATM IV14.5%13.0%17.0%15.8%13.6%
Expected Move4.9%3.8%5.1%5.0%5.0%
HV 20d14.0%12.4%15.1%12.9%14.0%
HV 60d14.3%13.5%15.3%14.4%13.7%
IV Rank69.5%57.2%89.4%79.6%61.9%
IV Percentile67.1%36.9%98.8%90.9%46.8%
Term Structure0.7%-1.8%2.2%-1.8%0.9%
VWIV18.0%16.7%20.1%17.1%17.7%
Skew 25d3.3%0.8%6.6%2.3%5.6%
Skew 10d3.7%-1.6%9.1%2.7%6.5%
Call IV 25d12.3%9.1%15.3%14.2%9.1%
Put IV 25d15.6%14.2%17.5%16.5%14.7%
Bid-Ask Spread %40.0012.9349.0812.9341.94
Gamma HHI0.250.210.290.270.28
Net GEX2.6M1.7M3.9M3.3M3.4M
Net DEX-12.5M-27.8M-1.6M-19.2M-20.3M
Net VEX-305.4K-334.5K-285.0K-315.3K-309.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.043.100.220.11
Total Volume1,013.7141484,8098721,905
Total OI66,978.38163,23468,79064,72666,237

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$28.33$27.9415.8%5.0%12.9%79.6%17.1%2.3%-1.8%3.3M-19.2M-315.3K0.2212.93N/AN/A71216047,29817,428
2013-12-03$28.63$27.9413.5%5.1%13.4%61.7%18.1%5.4%1.0%3.9M-26.0M-319.6K1.5038.78N/AN/A33650547,69617,458
2013-12-04$28.73$27.9413.6%5.1%12.4%62.2%18.7%4.1%2.2%3.9M-27.8M-323.6K0.1745.60N/AN/A2,11135447,60617,852
2013-12-05$28.21$26.0814.9%5.0%13.7%72.7%18.3%6.1%0.3%3.0M-17.6M-316.3K0.0438.75N/AN/A4,64416548,90217,963
2013-12-06$27.92$26.0814.4%5.0%14.2%68.6%20.1%0.8%1.5%2.8M-15.8M-329.7K0.3838.26N/AN/A58922350,04218,052
2013-12-09$28.00$26.0815.4%5.1%14.1%77.0%17.8%1.2%1.0%3.0M-18.4M-334.5K0.4736.64N/AN/A36417150,40918,216
2013-12-10$27.61$26.0814.1%5.0%14.9%66.5%0.0%1.5%0.5%2.3M-10.2M-317.0K0.5641.24N/AN/A61834950,43418,304
2013-12-11$27.30$26.0817.0%5.0%15.1%89.4%16.8%1.1%0.4%1.9M-4.1M-304.1K0.3439.81N/AN/A58819950,65018,140
2013-12-12$27.26$26.0815.4%5.0%14.9%77.0%19.6%1.0%0.5%1.8M-6.4M-308.1K0.6339.72N/AN/A34821950,62217,808
2013-12-13$27.24$26.0815.7%4.9%13.2%79.2%18.4%1.3%0.6%1.7M-2.7M-291.6K0.7939.43N/AN/A25920450,74717,741
2013-12-16$27.39$26.0816.0%5.0%13.0%81.4%0.0%4.9%0.6%1.8M-5.0M-296.5K0.3938.37N/AN/A1064250,79617,907
2013-12-17$27.28$26.0815.6%4.9%13.0%78.3%17.4%1.3%0.3%1.7M-2.4M-287.0K1.0540.32N/AN/A20922050,81517,907
2013-12-18$27.64$26.0813.7%4.9%14.0%63.4%17.1%4.7%1.5%2.0M-6.5M-285.0K3.1045.59N/AN/A27886250,95017,723
2013-12-19$27.32$27.9414.8%4.9%14.2%72.0%0.0%2.7%1.4%1.7M-1.6M-287.4K0.2042.02N/AN/A1362850,46818,000
2013-12-20$27.64$27.9413.0%5.0%14.8%57.2%0.0%1.9%2.0%2.2M-7.5M-296.6K0.6239.05N/AN/A22013750,53417,990
2013-12-23$27.72$27.9413.8%4.9%14.7%63.6%18.6%4.3%0.3%2.6M-13.0M-294.4K0.4049.08N/AN/A1,11945147,30215,932
2013-12-24$27.81$27.9413.4%3.8%14.8%60.8%16.7%6.6%0.9%3.0M-15.2M-306.7K0.3545.83N/AN/A54819348,18116,279
2013-12-26$27.71$27.9413.8%5.0%14.4%63.8%0.0%3.5%0.2%2.9M-12.8M-293.0K1.4944.75N/AN/A27140448,58016,471
2013-12-27$27.80$27.9413.8%4.9%14.4%64.1%0.0%3.8%0.5%3.0M-13.8M-297.3K0.1140.44N/AN/A3974348,64516,744
2013-12-30$27.90$27.9413.2%4.9%14.2%58.8%16.9%6.3%0.9%3.2M-15.3M-299.5K1.6841.53N/AN/A22437748,94116,776
2013-12-31$28.03$27.9413.6%5.0%14.0%61.9%17.7%5.6%0.9%3.4M-20.3M-309.9K0.1141.94N/AN/A1,71019549,12917,108