PPL Options History — June 2014

In June 2014, PPL traded between $31.22 and $33.09. ATM implied volatility averaged 13.3%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 5.4% (HV 20d: 18.6%). 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 19 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2014-06-05: Highest Volume — 41,369 contracts
  • 2014-06-11: Largest IV spike — 13.7% change
  • 2014-06-11: Highest IV Rank — 73.5%
  • 2014-06-18: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.19$31.22$33.09$32.39$33.09
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV13.3%12.3%15.4%13.3%12.5%
Expected Move4.1%3.3%4.5%4.2%4.2%
HV 20d18.6%16.7%20.4%18.8%17.5%
HV 60d16.5%15.4%17.2%15.9%17.0%
IV Rank53.9%45.1%73.5%53.8%46.8%
IV Percentile31.4%8.7%85.3%28.2%11.5%
Term Structure1.1%-0.7%2.6%0.1%1.4%
VWIV14.7%11.5%15.9%15.2%14.9%
Skew 25d1.6%-1.4%4.0%1.1%0.8%
Skew 10d2.5%-3.5%8.4%1.1%1.6%
Call IV 25d12.5%9.7%14.9%11.5%11.6%
Put IV 25d14.1%12.3%16.2%12.6%12.3%
Bid-Ask Spread %63.6556.2877.3558.9257.86
Gamma HHI0.480.240.700.250.52
Net GEX10.6M2.2M17.3M5.4M10.7M
Net DEX-97.9M-174.6M-23.4M-89.9M-174.6M
Net VEX-324.0K-410.7K-240.8K-314.1K-259.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.014.650.350.86
Total Volume5,749.1920641,3696851,597
Total OI69,56845,47286,61859,90079,584

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$32.39$27.9413.3%4.2%18.8%53.8%15.2%1.1%0.1%5.4M-89.9M-314.1K0.3558.92N/AN/A50917646,95412,946
2014-06-03$32.59$27.9413.8%4.3%18.0%59.2%14.6%0.3%-0.7%5.4M-99.9M-240.8K0.0462.13N/AN/A2,71811747,02513,034
2014-06-04$32.47$27.9413.5%4.1%18.0%55.8%15.2%2.2%0.6%5.6M-90.1M-320.2K0.0364.05N/AN/A2,8898647,69113,107
2014-06-05$32.52$27.9413.9%4.3%17.7%59.6%15.7%2.8%-0.1%5.9M-88.7M-287.8K0.0162.47N/AN/A41,16420547,00613,154
2014-06-06$32.28$27.9413.4%3.6%17.3%55.4%15.2%1.2%1.1%4.6M-45.0M-262.1K0.1870.47N/AN/A1,01017932,17513,297
2014-06-09$31.87$27.9413.6%4.1%17.3%57.3%14.2%1.4%1.4%3.8M-37.0M-257.5K0.4162.34N/AN/A31012732,25113,391
2014-06-10$32.31$27.9413.6%3.7%16.7%56.6%14.6%0.5%0.8%4.9M-48.0M-246.2K0.0764.90N/AN/A3,64727332,37513,447
2014-06-11$31.41$27.9415.4%3.3%19.7%73.5%11.5%-1.4%0.2%2.6M-28.8M-254.5K0.3866.56N/AN/A1,23046232,38013,538
2014-06-12$31.22$27.9413.8%4.2%19.8%58.6%15.8%1.1%0.9%2.2M-23.4M-251.2K0.0361.42N/AN/A39,0301,00233,18813,712
2014-06-13$31.70$27.9413.5%4.1%20.4%55.7%14.0%2.1%1.3%14.3M-95.4M-410.7K0.1063.47N/AN/A9439071,30114,343
2014-06-16$31.92$27.9413.8%4.2%20.2%58.7%14.8%2.0%1.0%15.1M-107.3M-402.8K4.6567.63N/AN/A14667971,61014,399
2014-06-17$31.69$27.9413.4%4.2%19.4%54.7%15.5%1.1%1.3%14.4M-95.0M-400.4K0.1460.04N/AN/A2473471,65914,769
2014-06-18$32.31$27.9412.7%4.5%20.1%49.2%15.8%4.0%1.6%16.9M-128.8M-375.6K0.0367.61N/AN/A8,62727471,81414,804
2014-06-19$32.39$27.9412.6%4.3%20.1%48.3%14.0%0.3%1.5%17.3M-135.8M-375.9K0.0564.49N/AN/A8,72242771,26614,691
2014-06-20$32.25$27.9412.5%4.4%20.2%46.8%15.9%1.3%1.7%15.7M-124.7M-378.7K0.8063.05N/AN/A34227571,42714,850
2014-06-23$32.11$27.9413.2%4.2%20.1%53.3%14.2%2.2%1.7%16.2M-114.9M-371.5K0.5957.79N/AN/A31518764,63413,417
2014-06-24$32.14$27.9412.3%4.3%17.5%45.1%0.0%2.9%2.1%15.4M-118.8M-363.8K0.1060.48N/AN/A1881864,71313,519
2014-06-25$32.19$27.9412.7%4.2%17.2%48.6%12.9%1.5%1.5%16.0M-121.6M-364.5K0.0677.35N/AN/A1,1857064,87413,536
2014-06-26$32.38$27.9412.5%4.1%17.3%46.8%14.6%3.7%2.6%16.0M-135.6M-349.2K0.4867.29N/AN/A1567465,96213,501
2014-06-27$32.78$27.9412.6%4.3%17.5%47.4%15.2%2.9%2.1%13.5M-153.4M-316.0K0.0356.28N/AN/A9742966,06113,523
2014-06-30$33.09$27.9412.5%4.2%17.5%46.8%14.9%0.8%1.4%10.7M-174.6M-259.9K0.8657.86N/AN/A85774066,06113,523