PPL Options History — August 2014

In August 2014, PPL traded between $29.75 and $32.25. ATM implied volatility averaged 14.5%, placing in the 67.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 2.2% (HV 20d: 16.7%). Max pain ranged from $27.94 to $31.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2014-08-06: Highest Volume — 3,872 contracts
  • 2014-08-08: Largest IV drop — 16.7% change
  • 2014-08-07: Highest IV Rank — 93.8%
  • 2014-08-12: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.26$29.75$32.25$30.87$32.25
Max Pain$28.59$27.94$31.67$27.94$28.87
ATM IV14.5%12.6%17.6%15.5%13.6%
Expected Move4.5%3.8%5.7%4.6%4.0%
HV 20d16.7%14.6%18.3%14.6%15.3%
HV 60d17.2%16.5%17.9%17.3%16.7%
IV Rank67.4%51.2%93.8%74.5%60.8%
IV Percentile59.9%14.7%99.6%87.7%44.8%
Term Structure-0.1%-0.9%0.8%0.7%0.3%
VWIV14.9%11.9%21.4%19.6%14.1%
Skew 25d3.7%0.8%8.7%8.7%3.3%
Skew 10d5.0%-0.9%10.8%10.8%5.3%
Call IV 25d12.8%7.2%16.7%9.6%12.2%
Put IV 25d16.6%13.7%20.3%18.2%15.6%
Bid-Ask Spread %96.3770.62128.75118.4479.88
Gamma HHI0.230.200.280.220.26
Net GEX2.4M1.3M3.2M2.1M3.2M
Net DEX-23.9M-39.4M-5.0M-15.8M-39.4M
Net VEX-225.8K-240.8K-174.7K-218.2K-216.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.072.230.950.28
Total Volume6001253,872289450
Total OI40,610.28639,00742,48539,00741,183

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$30.87$27.9415.5%4.6%14.6%74.5%19.6%8.7%0.7%2.1M-15.8M-218.2K0.95118.44N/AN/A14814127,23111,776
2014-08-04$30.77$27.9414.1%3.8%14.6%61.1%11.9%2.9%-0.8%1.9M-14.5M-214.5K1.25108.06N/AN/A25832327,21811,830
2014-08-05$30.31$27.9416.3%5.5%15.3%82.0%0.0%2.3%-0.6%1.6M-11.0M-214.7K0.76109.35N/AN/A23517827,40211,822
2014-08-06$29.75$27.9417.1%3.8%16.4%88.9%16.0%0.8%-0.1%1.3M-5.0M-196.8K0.1289.52N/AN/A3,46640627,54311,969
2014-08-07$30.17$27.9417.6%4.9%17.1%93.8%16.9%2.9%-0.7%1.5M-8.7M-220.9K0.0778.31N/AN/A4183029,15112,316
2014-08-08$30.74$27.9414.7%4.4%18.3%67.0%15.5%6.3%-0.8%1.9M-15.4M-227.6K0.56117.91N/AN/A26114729,40112,303
2014-08-11$30.74$27.9416.2%4.6%17.8%80.8%12.9%2.8%-0.6%2.0M-18.1M-240.8K1.1891.16N/AN/A18822129,73712,364
2014-08-12$30.87$27.9414.9%5.7%17.7%68.5%21.4%3.5%-0.4%1.9M-18.7M-238.0K0.1892.75N/AN/A76314029,68512,511
2014-08-13$31.02$27.9413.3%5.0%17.8%54.7%14.7%3.6%-0.9%2.0M-21.7M-238.3K0.9289.77N/AN/A706429,86912,616
2014-08-14$31.37$27.9415.3%4.9%17.9%77.3%14.1%5.9%0.3%2.9M-23.5M-231.2K0.11106.72N/AN/A3894329,19312,600
2014-08-15$31.49$27.9414.8%4.6%17.1%72.3%15.7%1.3%0.2%3.2M-27.6M-238.8K0.1370.62N/AN/A79810429,26712,637
2014-08-18$31.34$0.0014.3%4.3%17.2%67.4%14.6%2.1%0.8%2.5M-26.3M-229.6K0.7878.69N/AN/A34726927,68611,325
2014-08-19$31.75$31.6713.7%3.9%17.8%61.9%13.6%3.0%-0.1%2.9M-29.2M-230.1K2.2393.97N/AN/A15133827,78411,565
2014-08-20$31.74$30.7413.5%4.2%17.8%60.2%13.5%1.0%0.2%2.6M-32.3M-174.7K0.52119.50N/AN/A38119927,90611,831
2014-08-21$31.94$28.8713.6%4.9%17.8%61.1%0.0%4.7%0.1%2.9M-32.8M-238.6K1.73128.75N/AN/A14725428,10612,008
2014-08-22$31.83$28.8713.9%4.3%17.4%63.2%0.0%2.5%-0.2%2.8M-32.3M-239.7K1.23101.30N/AN/A566928,07712,188
2014-08-25$31.97$28.8713.4%4.1%16.3%58.4%14.2%3.5%0.2%3.0M-33.4M-234.1K1.2474.85N/AN/A10012328,11812,269
2014-08-26$31.60$28.8712.6%4.0%16.4%51.2%13.8%3.7%0.7%2.8M-29.5M-229.8K0.1977.23N/AN/A3496828,20312,378
2014-08-27$31.95$28.8712.8%4.0%15.5%53.4%12.8%4.8%-0.9%3.1M-32.0M-233.7K0.57101.59N/AN/A1458328,36912,418
2014-08-28$32.09$28.8713.1%4.3%15.3%55.9%13.2%8.1%0.0%3.2M-35.3M-234.8K1.0295.45N/AN/A13914128,49912,462
2014-08-29$32.25$28.8713.6%4.0%15.3%60.8%14.1%3.3%0.3%3.2M-39.4M-216.7K0.2879.88N/AN/A3529828,58012,603