PPL Options History — February 2014

In February 2014, PPL traded between $28.04 and $30.07. ATM implied volatility averaged 13.7%, placing in the 63.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.2% (HV 20d: 11.4%). Max pain ranged from $27.94 to $27.94. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.33.

Notable Days

  • 2014-02-11: Highest Volume — 2,439 contracts
  • 2014-02-13: Largest IV spike — 17.0% change
  • 2014-02-03: Highest IV Rank — 90.2%
  • 2014-02-05: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.14$28.04$30.07$28.40$30.07
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV13.7%12.1%17.1%17.1%13.0%
Expected Move4.6%4.3%5.0%4.6%4.3%
HV 20d11.4%9.2%13.5%13.2%9.6%
HV 60d13.1%12.8%13.5%13.2%12.8%
IV Rank63.0%50.0%90.2%90.2%57.8%
IV Percentile45.3%17.1%98.8%98.8%30.6%
Term Structure-0.2%-1.6%1.3%-1.1%-0.6%
VWIV15.9%14.5%17.5%15.2%16.2%
Skew 25d4.1%-0.3%6.1%0.9%5.2%
Skew 10d6.8%-1.6%14.3%0.3%3.7%
Call IV 25d11.6%8.2%15.5%14.0%8.2%
Put IV 25d15.7%13.3%18.4%14.9%13.4%
Bid-Ask Spread %47.1543.3954.0746.3447.61
Gamma HHI0.290.240.330.240.32
Net GEX4.3M3.2M4.9M3.4M4.7M
Net DEX-46.2M-64.4M-23.1M-30.3M-58.6M
Net VEX-338.6K-353.6K-330.3K-343.5K-338.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.001.710.430.12
Total Volume1,037.6324022,4391,664402
Total OI57,392.05352,11861,05855,57654,478

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$28.40$27.9417.1%4.6%13.2%90.2%15.2%0.9%-1.1%3.4M-30.3M-343.5K0.4346.34N/AN/A1,16549940,82614,750
2014-02-04$28.22$27.9416.6%4.8%13.4%86.5%15.8%3.1%0.5%3.2M-25.6M-337.4K0.1054.07N/AN/A1,39114041,63215,129
2014-02-05$28.04$27.9416.2%5.0%13.5%82.8%16.9%2.9%0.9%3.3M-23.1M-333.5K0.3746.89N/AN/A52519342,66215,238
2014-02-06$28.21$27.9414.7%4.9%13.2%71.2%17.0%-0.3%1.3%3.6M-25.8M-339.1K0.3145.09N/AN/A89027343,01215,287
2014-02-07$28.26$27.9414.2%4.8%13.2%67.3%15.9%4.7%-0.6%3.8M-26.1M-333.3K0.2343.39N/AN/A61314443,74415,457
2014-02-10$28.63$27.9412.3%4.8%12.1%51.7%16.1%6.1%-1.6%4.6M-34.6M-333.4K0.0046.01N/AN/A670043,91715,497
2014-02-11$28.95$27.9412.1%4.6%12.5%50.4%15.9%3.7%-0.3%4.7M-45.3M-344.0K0.0445.00N/AN/A2,33810144,03715,497
2014-02-12$28.96$27.9412.1%4.5%12.3%50.0%15.6%3.7%-0.1%4.7M-45.8M-340.0K0.7444.64N/AN/A25218643,85915,509
2014-02-13$29.22$27.9414.1%4.5%11.5%66.3%15.1%3.7%-0.4%4.9M-52.1M-348.8K0.0947.92N/AN/A1,32112343,92815,535
2014-02-14$29.36$27.9414.2%4.5%11.5%67.5%0.0%4.3%0.3%4.7M-55.7M-353.6K0.2046.74N/AN/A3516944,53015,525
2014-02-18$29.60$27.9413.1%4.5%10.8%58.5%16.2%5.9%-0.1%4.5M-64.4M-338.4K0.6145.20N/AN/A90655044,66815,525
2014-02-19$29.44$27.9413.8%4.4%11.0%63.8%17.5%4.2%-0.3%4.8M-59.5M-348.7K0.0949.30N/AN/A9629145,16415,894
2014-02-20$29.61$27.9412.4%4.5%10.8%52.4%16.1%5.3%0.4%4.5M-60.3M-334.2K0.1647.27N/AN/A6099842,72715,584
2014-02-21$29.62$27.9412.3%4.4%10.8%51.8%15.2%4.5%-0.8%4.6M-60.8M-335.1K0.1647.53N/AN/A60810042,93315,647
2014-02-24$29.63$27.9412.7%4.3%9.8%54.7%15.0%5.3%-1.0%4.5M-51.0M-331.4K1.7149.06N/AN/A40569439,06113,057
2014-02-25$29.72$27.9412.9%4.5%9.4%56.9%15.9%4.7%-0.6%4.5M-50.8M-333.6K0.4248.76N/AN/A63626639,16413,657
2014-02-26$29.94$27.9413.1%4.5%9.2%58.3%15.6%5.3%-0.3%4.5M-55.3M-330.3K0.2848.02N/AN/A1,25635539,37913,897
2014-02-27$29.77$27.9413.2%4.4%9.7%58.8%14.5%4.6%-0.1%4.5M-52.1M-336.2K0.2547.01N/AN/A42610739,83014,213
2014-02-28$30.07$27.9413.0%4.3%9.6%57.8%16.2%5.2%-0.6%4.7M-58.6M-338.8K0.1247.61N/AN/A3604240,22214,256