PPL Options History — January 2014

In January 2014, PPL traded between $27.56 and $28.47. ATM implied volatility averaged 13.7%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.3% (HV 20d: 13.3%). Max pain ranged from $27.94 to $27.94. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2014-01-21: Highest Volume — 7,857 contracts
  • 2014-01-31: Largest IV spike — 20.5% change
  • 2014-01-31: Highest IV Rank — 89.4%
  • 2014-01-14: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.89$27.56$28.47$27.62$28.47
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV13.7%12.4%17.0%13.5%17.0%
Expected Move4.8%4.5%5.4%4.9%4.7%
HV 20d13.3%11.9%14.2%14.2%13.2%
HV 60d13.4%12.7%14.0%14.0%13.5%
IV Rank62.8%53.1%89.4%61.4%89.4%
IV Percentile47.4%22.6%98.4%44.4%98.4%
Term Structure0.7%-0.5%1.9%0.8%-0.5%
VWIV16.9%12.1%20.4%17.0%16.4%
Skew 25d3.3%1.8%6.2%3.2%4.6%
Skew 10d8.3%2.8%11.6%2.8%9.3%
Call IV 25d12.6%10.4%14.1%11.7%11.8%
Put IV 25d15.9%14.5%17.1%14.9%16.4%
Bid-Ask Spread %47.7933.7983.9539.2447.08
Gamma HHI0.300.230.450.300.24
Net GEX3.1M1.7M4.4M2.8M3.4M
Net DEX-14.9M-28.9M449.8K-10.4M-28.9M
Net VEX-298.1K-327.7K-266.4K-290.0K-327.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.043.693.690.73
Total Volume1,363.2383387,8571,9372,047
Total OI62,100.33343,77571,55167,23154,292

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$27.62$27.9413.5%4.9%14.2%61.4%17.0%3.2%0.8%2.8M-10.4M-290.0K3.6939.24N/AN/A4131,52450,03917,192
2014-01-03$27.59$27.9413.4%4.9%14.1%61.0%0.0%3.1%0.7%2.5M-6.9M-290.6K0.7545.65N/AN/A69752050,15118,281
2014-01-06$27.71$27.9413.8%5.0%12.8%63.7%17.5%3.1%0.3%2.9M-10.8M-293.9K0.3746.83N/AN/A53419650,51418,728
2014-01-07$27.87$27.9413.1%4.7%12.5%58.0%0.0%4.0%0.8%3.3M-13.9M-298.7K0.2444.08N/AN/A3658850,82518,879
2014-01-08$27.62$27.9412.7%4.8%12.9%54.8%16.5%2.1%0.2%2.6M-5.5M-281.9K1.7749.50N/AN/A30954651,09718,951
2014-01-09$27.66$27.9412.6%4.8%11.9%53.9%0.0%2.6%0.5%3.0M-8.0M-292.7K0.4941.11N/AN/A22711151,16219,401
2014-01-10$28.21$27.9412.4%4.9%13.0%53.1%17.2%3.6%1.6%4.3M-25.0M-306.7K0.3246.29N/AN/A85426951,28819,490
2014-01-13$28.07$27.9413.7%4.8%13.1%63.4%0.0%3.1%0.5%4.4M-20.1M-297.0K0.5341.92N/AN/A32317251,72019,502
2014-01-14$27.98$27.9413.8%5.4%13.2%64.0%17.8%1.8%0.5%4.3M-19.2M-296.6K0.1244.08N/AN/A5857351,74519,547
2014-01-15$27.65$27.9413.5%4.8%13.9%61.1%20.4%3.1%-0.0%3.6M-7.5M-278.3K1.2641.94N/AN/A60476151,42019,595
2014-01-16$27.81$27.9413.4%4.7%13.9%60.6%16.5%3.4%1.0%4.1M-9.8M-283.9K0.9144.87N/AN/A26023751,36119,979
2014-01-17$27.56$27.9413.1%4.6%13.6%58.1%19.2%3.4%0.5%2.3M449.8K-269.4K1.0646.18N/AN/A64368051,49620,055
2014-01-21$27.82$27.9412.9%4.6%13.2%56.5%15.8%2.2%1.9%1.7M-11.0M-266.4K0.1749.68N/AN/A6,7011,15631,70412,071
2014-01-22$28.08$27.9412.8%4.7%13.0%55.5%18.7%3.8%1.6%2.7M-18.4M-303.5K0.0454.97N/AN/A2,78310636,18012,877
2014-01-23$28.09$27.9413.3%4.6%13.0%60.0%0.0%3.7%1.7%2.9M-20.1M-313.6K0.4433.79N/AN/A72331538,25412,963
2014-01-24$27.82$27.9414.0%5.2%13.4%65.4%12.1%3.5%0.4%2.8M-19.8M-316.0K0.8483.95N/AN/A36730838,71613,078
2014-01-27$27.71$27.9415.0%4.6%13.4%73.8%15.4%6.2%0.3%2.5M-14.6M-302.0K0.4648.75N/AN/A63329238,76213,333
2014-01-28$28.00$27.9414.3%4.5%13.9%67.9%17.0%2.7%0.6%2.8M-18.8M-309.5K0.4447.83N/AN/A43219039,04913,607
2014-01-29$28.01$27.9414.6%4.7%13.8%70.0%16.7%2.9%0.8%2.8M-19.6M-314.0K0.7457.21N/AN/A38428339,37613,795
2014-01-30$28.31$27.9414.1%4.7%14.2%66.3%15.5%2.8%1.2%3.3M-25.4M-327.6K0.3448.65N/AN/A68223539,60214,030
2014-01-31$28.47$27.9417.0%4.7%13.2%89.4%16.4%4.6%-0.5%3.4M-28.9M-327.7K0.7347.08N/AN/A1,18186640,07914,213