PPL Options History — March 2014

In March 2014, PPL traded between $29.22 and $30.87. ATM implied volatility averaged 12.4%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.9% (HV 20d: 14.4%). 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 18 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2014-03-05: Highest Volume — 16,807 contracts
  • 2014-03-19: Largest IV spike — 15.7% change
  • 2014-03-03: Highest IV Rank — 61.4%
  • 2014-03-28: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.10$29.22$30.87$29.81$30.87
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV12.4%11.4%13.5%13.5%11.5%
Expected Move4.4%4.3%4.5%4.4%4.4%
HV 20d14.4%10.4%16.1%10.4%15.4%
HV 60d13.1%12.5%13.4%12.8%13.0%
IV Rank52.8%44.5%61.4%61.4%45.4%
IV Percentile20.3%6.7%41.3%41.3%7.1%
Term Structure1.0%-1.4%2.0%-0.3%1.2%
VWIV15.6%14.0%17.9%15.2%14.0%
Skew 25d2.8%0.0%5.6%4.1%5.6%
Skew 10d4.7%1.4%9.6%3.0%5.0%
Call IV 25d11.2%7.7%13.4%10.4%7.7%
Put IV 25d14.0%12.6%14.8%14.5%13.3%
Bid-Ask Spread %57.9945.6165.9747.7062.52
Gamma HHI0.410.310.490.310.35
Net GEX3.9M2.8M5.0M4.6M4.0M
Net DEX-48.0M-64.4M-26.8M-52.9M-64.4M
Net VEX-328.9K-346.3K-305.7K-336.7K-305.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.031.280.130.50
Total Volume1,719.42914216,8073,4211,053
Total OI51,982.95248,54856,28454,66451,807

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$29.81$27.9413.5%4.4%10.4%61.4%15.2%4.1%-0.3%4.6M-52.9M-336.7K0.1347.70N/AN/A3,03139040,39014,274
2014-03-04$30.09$27.9413.2%4.4%10.5%58.8%0.0%4.7%-1.4%5.0M-61.9M-341.7K1.2847.11N/AN/A67686441,73614,522
2014-03-05$29.80$27.9412.2%4.4%11.0%51.4%16.3%4.4%1.5%4.6M-52.3M-346.3K0.0347.49N/AN/A16,29751040,91915,365
2014-03-06$29.22$27.9413.2%4.4%13.3%58.9%15.2%0.0%0.4%2.8M-26.8M-321.0K0.6149.81N/AN/A92456832,86515,683
2014-03-07$29.66$27.9411.5%4.4%14.0%45.2%15.8%2.1%1.3%3.3M-34.4M-331.4K0.1848.35N/AN/A65011533,46316,041
2014-03-10$29.55$27.9412.6%4.4%14.1%54.6%17.9%2.0%1.3%3.4M-34.0M-328.2K0.5145.61N/AN/A67534133,96816,106
2014-03-11$29.49$27.9411.8%4.4%13.6%48.1%0.0%1.6%1.3%3.4M-32.2M-327.6K1.1061.90N/AN/A16117734,19716,179
2014-03-12$29.98$27.9412.5%4.4%14.3%53.7%16.0%2.5%1.1%3.9M-41.0M-325.2K0.0863.81N/AN/A2952534,28216,339
2014-03-13$30.15$27.9412.6%4.4%14.3%54.5%15.8%2.5%1.0%3.8M-47.5M-331.9K0.6161.93N/AN/A70142534,47016,338
2014-03-14$30.52$27.9412.2%4.3%14.6%51.2%14.8%1.7%1.3%3.7M-55.3M-326.0K0.8661.60N/AN/A1,6381,40334,72516,460
2014-03-17$30.51$27.9411.7%4.4%14.6%47.3%0.0%2.4%1.5%3.7M-55.3M-334.8K0.7956.69N/AN/A38730735,43717,623
2014-03-18$30.55$27.9411.4%4.4%14.4%44.5%14.7%0.8%2.0%3.7M-57.3M-328.2K0.0761.31N/AN/A6744735,59517,764
2014-03-19$30.00$27.9413.2%4.4%15.8%58.9%0.0%1.8%1.5%3.8M-44.1M-341.0K0.1265.06N/AN/A2863435,62617,798
2014-03-20$30.00$27.9412.8%4.4%15.7%55.5%0.0%2.3%1.7%3.9M-41.7M-336.1K0.9562.88N/AN/A817635,49017,780
2014-03-21$30.21$27.9412.3%4.4%15.9%51.9%16.9%2.9%1.6%3.9M-50.2M-330.2K0.0763.46N/AN/A1,1878235,54917,784
2014-03-24$30.15$27.9413.2%4.4%15.9%58.8%0.0%2.2%0.6%3.8M-47.1M-324.0K0.1262.62N/AN/A1271534,77015,866
2014-03-25$30.15$27.9412.7%4.4%15.9%55.0%14.7%2.9%1.3%3.9M-46.7M-326.1K0.0961.77N/AN/A1881634,87215,879
2014-03-26$30.19$27.9413.4%4.4%15.7%60.3%0.0%3.2%-0.1%3.8M-47.6M-328.9K0.6565.97N/AN/A905935,02115,887
2014-03-27$30.56$27.9411.8%4.4%16.1%48.3%0.0%4.6%0.8%3.8M-54.7M-319.8K0.1860.96N/AN/A82314535,06115,931
2014-03-28$30.72$27.9411.4%4.5%15.8%44.8%0.0%4.0%1.3%4.1M-60.4M-316.5K0.0659.21N/AN/A5313435,73016,050
2014-03-31$30.87$27.9411.5%4.4%15.4%45.4%14.0%5.6%1.2%4.0M-64.4M-305.7K0.5062.52N/AN/A70035335,74616,061