PPL Options History — May 2014

In May 2014, PPL traded between $30.84 and $32.68. ATM implied volatility averaged 14.2%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 3.4% (HV 20d: 17.6%). 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 4 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2014-05-28: Highest Volume — 7,170 contracts
  • 2014-05-14: Largest IV spike — 15.1% change
  • 2014-05-07: Highest IV Rank — 77.6%
  • 2014-05-23: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.61$30.84$32.68$31.86$32.68
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV14.2%12.9%15.9%13.3%13.5%
Expected Move4.1%3.2%4.5%3.8%4.2%
HV 20d17.6%14.4%20.9%14.4%19.0%
HV 60d15.2%13.8%16.5%13.8%16.3%
IV Rank62.4%50.9%77.6%54.4%56.3%
IV Percentile55.7%20.2%90.1%32.5%36.9%
Term Structure-0.7%-2.0%0.6%0.5%-0.3%
VWIV14.8%13.8%16.6%15.0%14.9%
Skew 25d2.5%-2.9%5.9%-2.9%2.9%
Skew 10d3.5%-5.9%12.2%-5.9%5.2%
Call IV 25d12.8%10.5%15.1%13.8%12.9%
Put IV 25d15.2%10.9%17.0%10.9%15.9%
Bid-Ask Spread %61.2955.2469.8465.9661.71
Gamma HHI0.260.230.380.260.23
Net GEX4.4M3.7M6.2M4.3M5.1M
Net DEX-67.6M-95.8M-51.4M-72.6M-95.8M
Net VEX-313.1K-324.2K-285.3K-322.8K-285.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.044.120.140.08
Total Volume1,386.4291057,1702,3333,151
Total OI51,529.1948,78558,22049,63058,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$31.86$27.9413.3%3.8%14.4%54.4%15.0%-2.9%0.5%4.3M-72.6M-322.8K0.1465.96N/AN/A2,04329038,35211,278
2014-05-02$31.48$27.9412.9%3.9%15.3%50.9%14.7%3.1%0.6%4.3M-66.5M-323.2K0.6157.83N/AN/A94857938,00111,391
2014-05-05$32.00$27.9413.6%4.1%16.0%56.8%13.9%5.1%-1.4%4.2M-73.5M-324.2K0.2059.12N/AN/A72314438,56711,919
2014-05-06$31.85$27.9414.3%4.1%16.2%63.4%15.4%3.1%-1.2%4.3M-73.3M-319.4K0.2655.24N/AN/A1153038,87712,058
2014-05-07$32.13$27.9415.9%3.8%15.7%77.6%14.2%5.9%-1.3%4.1M-78.3M-312.0K0.0969.84N/AN/A5124838,92612,075
2014-05-08$31.73$27.9413.9%4.0%16.2%59.7%16.6%2.3%-1.1%4.6M-72.4M-313.5K0.2862.38N/AN/A36910438,99312,109
2014-05-09$31.32$27.9413.3%4.1%17.0%54.7%15.9%1.4%0.3%4.6M-62.7M-321.7K0.2257.65N/AN/A89020038,96212,154
2014-05-12$30.84$27.9415.1%4.4%17.3%70.9%13.8%2.1%-0.4%4.0M-51.4M-318.4K0.3158.67N/AN/A61218739,28812,253
2014-05-13$31.10$27.9413.5%4.5%17.5%55.9%16.4%4.0%-1.7%4.5M-55.3M-319.3K1.2458.21N/AN/A25431739,34612,288
2014-05-14$31.25$27.9415.5%4.1%16.9%74.5%13.8%4.3%-0.6%4.9M-59.7M-315.7K0.7161.51N/AN/A1379839,42512,535
2014-05-15$31.45$27.9415.2%3.6%16.9%71.2%16.0%3.3%-1.5%5.7M-63.1M-308.3K0.1162.82N/AN/A8559038,97412,495
2014-05-16$31.80$27.9414.8%4.0%16.9%67.7%14.3%2.7%-1.9%6.2M-72.3M-307.4K0.1261.45N/AN/A1,61019239,38512,550
2014-05-19$31.28$27.9414.1%3.2%17.9%61.9%13.8%1.1%0.0%3.7M-58.2M-306.6K0.4165.96N/AN/A42517637,00011,785
2014-05-20$30.99$27.9414.2%4.3%18.3%62.4%14.8%1.5%-0.7%3.7M-53.9M-306.0K4.1265.99N/AN/A9940737,16711,906
2014-05-21$31.03$27.9414.2%4.2%18.2%62.1%14.2%1.8%-1.0%3.7M-51.7M-307.8K0.1862.90N/AN/A891637,21612,228
2014-05-22$31.27$27.9413.7%3.9%18.2%57.9%14.8%2.0%-0.2%3.7M-56.9M-307.8K0.0462.42N/AN/A3,91214937,28312,241
2014-05-23$31.09$27.9413.5%4.5%18.2%55.7%15.2%1.6%-0.2%4.2M-58.0M-323.2K0.2961.47N/AN/A42712539,94812,328
2014-05-27$31.98$27.9414.6%4.1%20.8%66.4%14.8%3.0%-2.0%4.3M-74.3M-314.1K0.2258.02N/AN/A58412939,99912,375
2014-05-28$32.26$27.9414.5%4.2%20.9%65.5%13.9%-0.5%-0.1%4.1M-81.7M-300.1K0.0559.37N/AN/A6,84033040,04512,418
2014-05-29$32.39$27.9414.4%4.3%20.8%64.0%15.1%3.9%-0.3%5.1M-86.8M-317.9K0.3358.64N/AN/A68622345,10312,650
2014-05-30$32.68$27.9413.5%4.2%19.0%56.3%14.9%2.9%-0.3%5.1M-95.8M-285.3K0.0861.71N/AN/A2,90524645,42912,791