PPL Options History — July 2014

In July 2014, PPL traded between $30.73 and $32.75. ATM implied volatility averaged 14.8%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 1.8% (HV 20d: 16.6%). Max pain ranged from $27.94 to $27.94. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.23.

Notable Days

  • 2014-07-11: Highest Volume — 7,810 contracts
  • 2014-07-10: Largest IV spike — 15.3% change
  • 2014-07-25: Highest IV Rank — 82.4%
  • 2014-07-18: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.48$30.73$32.75$32.75$30.73
Max Pain$27.94$27.94$27.94$27.94$27.94
ATM IV14.8%11.8%16.4%12.3%14.0%
Expected Move3.9%3.1%4.6%4.2%4.2%
HV 20d16.6%14.2%20.0%17.9%14.6%
HV 60d17.6%17.1%17.9%17.1%17.4%
IV Rank67.7%41.1%82.4%44.7%60.8%
IV Percentile69.3%5.6%94.8%7.9%58.7%
Term Structure0.0%-2.1%3.6%2.3%1.0%
VWIV14.2%10.2%21.0%16.3%21.0%
Skew 25d1.3%-1.8%8.6%-1.4%1.5%
Skew 10d1.7%-3.3%5.8%-2.0%1.2%
Call IV 25d13.7%9.6%16.2%11.9%10.9%
Put IV 25d15.1%10.1%18.3%10.5%12.4%
Bid-Ask Spread %86.2858.33116.4658.33116.46
Gamma HHI0.550.220.920.500.22
Net GEX14.6M2.0M50.1M10.9M2.0M
Net DEX-53.6M-163.3M-10.3M-163.3M-13.7M
Net VEX-272.3K-352.2K-212.2K-298.1K-212.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.230.0253.690.312.13
Total Volume910.8641647,810659319
Total OI65,324.40936,22288,32681,23638,742

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$32.75$27.9412.3%4.2%17.9%44.7%16.3%-1.4%2.3%10.9M-163.3M-298.1K0.3158.33N/AN/A50415567,01014,226
2014-07-02$31.97$27.9411.9%3.4%19.8%41.8%14.7%-1.4%3.4%21.0M-113.8M-351.9K0.6869.43N/AN/A54837467,13114,310
2014-07-03$31.70$27.9411.8%3.6%20.0%41.1%12.6%0.6%3.6%22.2M-92.3M-352.2K0.2077.60N/AN/A3807667,24014,568
2014-07-07$31.74$27.9413.6%4.2%19.9%57.0%15.5%2.5%-0.7%23.1M-92.7M-334.1K0.8368.44N/AN/A36930667,31714,610
2014-07-08$31.78$27.9413.1%4.0%19.4%52.4%13.6%1.0%-0.4%24.4M-97.1M-328.6K0.0865.07N/AN/A1521267,28914,627
2014-07-09$31.67$27.9413.9%3.3%18.7%59.5%11.9%1.7%-0.6%23.8M-91.9M-323.9K0.3367.05N/AN/A46815667,33014,627
2014-07-10$31.89$27.9416.0%4.2%15.8%78.9%14.8%2.7%-0.8%26.2M-106.2M-320.9K0.4088.66N/AN/A36414567,60314,711
2014-07-11$31.51$27.9415.8%3.5%16.3%76.9%15.6%0.6%-0.7%26.5M-73.0M-313.6K53.6983.15N/AN/A1437,66767,88114,666
2014-07-14$31.09$27.9416.2%4.5%16.0%80.8%12.6%0.6%-1.6%14.3M-37.0M-284.4K1.4391.40N/AN/A27239067,96320,363
2014-07-15$31.23$27.9415.6%3.4%15.9%75.4%14.8%0.7%-0.8%19.6M-23.1M-263.5K0.3295.10N/AN/A31910168,01420,084
2014-07-16$31.34$27.9416.1%3.4%15.8%79.8%10.2%2.1%-2.1%26.5M-28.0M-263.9K1.8093.87N/AN/A6912368,13919,956
2014-07-17$31.04$27.9416.2%4.0%14.2%80.6%11.2%0.3%-0.8%10.4M-10.3M-242.1K1.5691.40N/AN/A13220668,11919,762
2014-07-18$31.52$27.9415.5%4.6%15.4%74.4%16.5%2.6%-0.9%50.1M-42.2M-256.8K0.03105.71N/AN/A1,0153468,14819,857
2014-07-21$31.45$27.9415.5%3.4%15.3%74.4%14.5%2.0%-0.1%2.2M-23.8M-231.0K0.8981.40N/AN/A66859625,42910,793
2014-07-22$31.33$27.9414.7%3.1%15.3%66.9%0.0%0.1%0.3%2.4M-25.3M-232.5K0.0989.55N/AN/A3223025,95311,358
2014-07-23$31.36$27.9415.0%4.2%15.3%69.9%13.2%0.1%0.8%2.4M-24.4M-234.8K0.0299.29N/AN/A283426,19511,373
2014-07-24$31.46$27.9415.5%3.4%15.4%74.3%0.0%4.7%-0.6%2.5M-25.0M-231.4K0.0687.45N/AN/A1921126,35911,377
2014-07-25$31.14$27.9416.4%4.1%15.5%82.4%14.4%0.9%-1.2%2.4M-21.9M-226.5K1.2591.80N/AN/A36145226,49211,388
2014-07-28$31.70$27.9415.3%4.5%16.3%72.6%14.6%8.6%-0.2%2.7M-27.8M-231.3K1.9292.98N/AN/A50597026,68211,817
2014-07-29$31.39$27.9415.8%3.2%16.0%77.5%13.2%0.6%-0.7%2.6M-26.5M-238.0K1.8787.55N/AN/A7313627,05912,115
2014-07-30$30.86$27.9414.7%4.3%16.6%66.8%13.6%-1.8%0.9%2.2M-19.0M-218.9K1.2196.49N/AN/A28834927,07211,382
2014-07-31$30.73$27.9414.0%4.2%14.6%60.8%21.0%1.5%1.0%2.0M-13.7M-212.2K2.13116.46N/AN/A10221727,15811,584