PPL Options History — September 2014

In September 2014, PPL traded between $30.39 and $32.20. ATM implied volatility averaged 13.7%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.7% (HV 20d: 16.4%). Max pain ranged from $28.87 to $29.80. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-09-05: Highest Volume — 3,942 contracts
  • 2014-09-08: Largest IV spike — 95.6% change
  • 2014-09-16: Highest IV Rank — 79.9%
  • 2014-09-12: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.07$30.39$32.20$31.92$30.59
Max Pain$29.58$28.87$29.80$28.87$29.80
ATM IV13.7%6.8%15.5%12.7%14.8%
Expected Move4.3%3.9%4.7%4.2%4.2%
HV 20d16.4%11.8%18.5%15.9%17.5%
HV 60d16.4%15.3%17.0%16.8%16.0%
IV Rank63.4%0.0%79.9%52.1%74.1%
IV Percentile55.0%0.0%85.7%18.3%77.8%
Term Structure1.0%-0.4%2.5%0.4%1.2%
VWIV14.8%12.6%16.4%14.0%14.4%
Skew 25d2.6%-0.7%7.5%-0.7%5.4%
Skew 10d4.3%-0.9%15.2%0.4%5.8%
Call IV 25d12.6%8.6%15.3%10.3%10.6%
Put IV 25d15.2%9.5%17.9%9.5%16.0%
Bid-Ask Spread %91.3579.81121.0593.1981.55
Gamma HHI0.220.180.260.260.21
Net GEX2.3M1.4M3.3M3.2M2.0M
Net DEX-21.1M-36.8M-10.8M-34.1M-15.3M
Net VEX-203.4K-230.3K-182.3K-225.9K-183.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.011.660.990.88
Total Volume597.714513,942742580
Total OI41,111.52440,29642,23741,36240,903

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$31.92$28.8712.7%4.2%15.9%52.1%14.0%-0.7%0.4%3.2M-34.1M-225.9K0.9993.19N/AN/A37336928,71712,645
2014-09-03$32.13$28.8713.8%4.2%14.6%62.3%16.4%3.0%0.1%3.2M-36.7M-230.3K0.24108.25N/AN/A892128,73812,989
2014-09-04$32.07$28.8713.1%3.9%12.4%56.1%12.6%3.5%-0.4%3.1M-34.8M-227.1K0.76121.05N/AN/A1289728,75213,008
2014-09-05$32.20$28.876.8%3.9%11.8%0.0%14.1%4.2%1.7%3.3M-36.8M-225.4K0.0192.72N/AN/A3,8895328,73113,006
2014-09-08$31.39$28.8713.4%4.4%14.3%60.6%16.4%1.3%1.0%2.3M-26.8M-220.9K0.3095.64N/AN/A39311927,26413,032
2014-09-09$31.03$29.8014.2%4.3%15.0%68.0%14.9%1.4%1.8%2.1M-20.2M-210.5K0.6786.71N/AN/A1157727,51013,097
2014-09-10$30.71$29.8014.3%4.1%15.4%69.2%14.1%1.0%1.4%1.8M-15.7M-206.0K1.4988.99N/AN/A15623227,57913,146
2014-09-11$30.90$29.8014.5%4.3%15.5%70.7%15.4%1.2%0.9%1.9M-17.4M-206.7K0.5186.33N/AN/A1557927,63313,196
2014-09-12$30.39$29.8014.5%4.7%15.9%71.0%16.1%1.5%1.4%1.4M-11.6M-197.7K0.3990.63N/AN/A2068127,66413,267
2014-09-15$30.40$29.8015.4%4.7%15.8%79.3%15.7%2.2%0.5%1.5M-10.8M-197.3K0.14109.15N/AN/A5337227,67913,312
2014-09-16$31.20$29.8015.5%4.4%18.5%79.9%13.6%3.2%0.6%2.3M-19.2M-206.7K0.1389.00N/AN/A1,14714728,05513,358
2014-09-17$31.16$29.8013.6%4.4%17.9%62.4%0.0%0.5%1.9%2.7M-23.6M-206.4K0.1294.88N/AN/A871128,91213,325
2014-09-18$31.00$29.8013.8%4.2%17.9%64.9%13.8%2.9%0.2%2.4M-20.0M-201.0K1.6686.81N/AN/A7211928,81013,272
2014-09-19$31.33$29.8013.0%4.2%18.3%56.6%14.4%5.4%1.6%3.0M-23.1M-200.5K0.2887.49N/AN/A50614028,83713,217
2014-09-22$31.03$29.8013.4%4.2%18.5%61.0%15.4%2.3%2.5%2.6M-20.8M-196.4K0.3487.54N/AN/A381328,25312,146
2014-09-23$30.84$29.8013.8%4.2%18.5%64.9%14.1%2.4%1.4%2.3M-18.2M-189.6K0.2885.49N/AN/A1,09630428,29012,154
2014-09-24$30.53$29.8014.3%4.2%18.4%68.9%14.7%1.7%0.6%1.9M-14.8M-187.2K0.1184.54N/AN/A4675028,39412,216
2014-09-25$30.57$29.8014.2%4.3%17.8%68.6%14.8%0.9%1.2%2.0M-15.0M-187.7K0.1982.96N/AN/A1522928,39112,255
2014-09-26$30.48$29.8013.9%4.4%17.6%65.3%15.4%3.1%1.1%1.8M-12.8M-182.3K0.2785.61N/AN/A1614428,49812,279
2014-09-29$30.68$29.8014.9%4.4%17.7%75.0%15.1%7.5%0.6%2.1M-14.4M-183.2K1.1779.81N/AN/A708228,51912,293
2014-09-30$30.59$29.8014.8%4.2%17.5%74.1%14.4%5.4%1.2%2.0M-15.3M-183.4K0.8881.55N/AN/A30827228,55112,352