PPL Options History — October 2014

In October 2014, PPL traded between $30.25 and $32.59. ATM implied volatility averaged 17.0%, placing in the 70.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 3.3% (HV 20d: 20.3%). Max pain ranged from $29.80 to $30.74. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.64.

Notable Days

2014-10-28: Highest Volume — 36,627 contracts
2014-10-15: Largest IV spike — 30.8% change
2014-10-13: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.58	$30.25	$32.59	$30.83	$32.59
Max Pain	$30.61	$29.80	$30.74	$29.80	$30.74
ATM IV	17.0%	13.3%	24.9%	16.1%	15.6%
Expected Move	4.7%	4.2%	5.7%	4.2%	4.3%
HV 20d	20.3%	14.0%	23.8%	17.6%	23.6%
HV 60d	17.9%	15.7%	19.7%	16.1%	18.4%
IV Rank	70.5%	47.4%	100.0%	85.8%	48.4%
IV Percentile	89.9%	34.5%	100.0%	92.5%	84.9%
Term Structure	-0.2%	-4.4%	4.2%	1.8%	0.5%
VWIV	16.6%	14.2%	19.9%	14.4%	17.2%
Skew 25d	3.3%	0.2%	7.4%	2.6%	1.5%
Skew 10d	8.1%	-6.5%	18.5%	6.6%	8.6%
Call IV 25d	15.8%	11.6%	20.9%	14.5%	15.4%
Put IV 25d	19.1%	16.1%	26.2%	17.1%	16.9%
Bid-Ask Spread %	87.44	79.05	98.63	90.36	93.47
Gamma HHI	0.29	0.17	0.59	0.23	0.59
Net GEX	3.8M	978.7K	10.4M	2.2M	10.4M
Net DEX	-37.1M	-101.7M	-9.7M	-18.3M	-101.7M
Net VEX	-223.0K	-416.1K	-184.9K	-186.9K	-415.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.00	1.78	0.59	0.68
Total Volume	3,083.87	193	36,627	863	2,603
Total OI	45,413.348	34,750	75,993	41,006	75,993

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-10-01	$30.83	$29.80	16.1%	4.2%	17.6%	85.8%	14.4%	2.6%	1.8%	2.2M	-18.3M	-186.9K	0.59	90.36	N/A	N/A	543	320	28,641	12,365
2014-10-02	$30.88	$29.80	17.0%	4.4%	17.6%	94.4%	14.2%	2.2%	-0.6%	2.4M	-19.2M	-187.2K	0.11	86.19	N/A	N/A	224	25	28,981	12,404
2014-10-03	$31.18	$29.80	13.3%	4.6%	18.0%	60.2%	15.1%	2.3%	4.2%	2.9M	-22.2M	-187.6K	0.77	83.76	N/A	N/A	360	278	29,066	12,394
2014-10-06	$31.17	$30.74	15.5%	4.5%	15.6%	80.3%	15.2%	0.2%	-0.5%	3.0M	-23.7M	-188.8K	0.82	81.69	N/A	N/A	214	175	29,376	12,537
2014-10-07	$31.28	$30.74	15.6%	4.4%	15.1%	81.3%	14.3%	4.6%	-2.1%	3.2M	-24.8M	-187.6K	0.74	87.81	N/A	N/A	555	411	29,473	12,636
2014-10-08	$31.92	$30.74	14.8%	4.5%	16.1%	73.9%	15.7%	7.4%	-1.5%	4.4M	-36.7M	-199.2K	1.78	85.82	N/A	N/A	698	1,243	29,787	12,998
2014-10-09	$31.39	$30.74	15.6%	4.5%	17.3%	81.3%	15.3%	3.8%	-0.4%	3.6M	-29.8M	-194.9K	0.33	83.29	N/A	N/A	389	130	29,865	13,378
2014-10-10	$31.46	$30.74	16.7%	4.6%	16.0%	91.3%	18.0%	4.5%	-1.3%	3.8M	-31.2M	-193.7K	1.01	87.85	N/A	N/A	96	97	30,024	13,500
2014-10-13	$31.33	$30.74	18.2%	4.9%	16.1%	100.0%	0.0%	3.5%	-1.8%	3.6M	-29.5M	-192.9K	0.24	90.07	N/A	N/A	327	78	30,074	13,578
2014-10-14	$31.72	$30.74	19.1%	4.8%	14.0%	100.0%	17.2%	4.7%	-1.0%	4.4M	-33.5M	-186.8K	0.30	89.61	N/A	N/A	2,234	680	30,355	13,602
2014-10-15	$30.25	$30.74	24.9%	5.7%	22.1%	100.0%	18.1%	2.7%	-4.4%	978.7K	-9.7M	-192.1K	0.51	97.33	N/A	N/A	2,259	1,142	31,296	13,705
2014-10-16	$30.78	$30.74	20.8%	5.1%	23.1%	77.2%	19.9%	6.0%	-1.7%	1.4M	-14.7M	-184.9K	0.88	92.88	N/A	N/A	177	157	31,454	13,793
2014-10-17	$31.06	$30.74	19.0%	5.0%	23.0%	67.1%	18.6%	3.6%	-0.9%	1.8M	-19.4M	-186.8K	0.04	82.98	N/A	N/A	3,619	139	31,492	13,907
2014-10-20	$31.61	$30.74	17.6%	5.1%	23.6%	59.7%	16.9%	4.0%	1.4%	2.5M	-30.8M	-200.3K	0.41	80.44	N/A	N/A	755	307	25,196	9,554
2014-10-21	$31.56	$30.74	16.7%	5.0%	23.4%	54.7%	18.0%	2.9%	0.7%	2.5M	-31.6M	-198.9K	0.77	80.19	N/A	N/A	1,223	939	25,693	9,799
2014-10-22	$32.02	$30.74	18.2%	4.7%	23.5%	62.5%	17.4%	6.4%	0.8%	2.8M	-37.4M	-204.6K	0.89	79.05	N/A	N/A	1,387	1,234	26,200	10,104
2014-10-23	$31.97	$30.74	16.9%	4.7%	23.5%	55.7%	17.3%	2.2%	0.7%	2.8M	-37.2M	-206.9K	1.24	88.94	N/A	N/A	987	1,228	26,957	10,500
2014-10-24	$32.16	$30.74	15.5%	4.7%	23.5%	47.6%	16.7%	3.4%	0.1%	2.9M	-38.7M	-208.5K	0.98	84.25	N/A	N/A	1,004	989	27,163	10,500
2014-10-27	$32.29	$30.74	16.1%	4.5%	23.4%	51.0%	16.9%	2.8%	0.4%	3.0M	-42.6M	-201.2K	0.11	85.20	N/A	N/A	642	72	27,373	10,555
2014-10-28	$32.44	$30.74	15.9%	4.4%	23.4%	49.8%	15.4%	2.5%	0.6%	3.3M	-44.1M	-202.8K	0.00	88.96	N/A	N/A	36,599	28	27,808	10,624
2014-10-29	$32.14	$30.74	16.3%	4.5%	23.7%	52.1%	16.9%	1.2%	-0.3%	9.6M	-84.3M	-405.5K	0.94	98.63	N/A	N/A	979	917	64,185	10,631
2014-10-30	$32.41	$30.74	15.4%	4.5%	23.8%	47.4%	16.1%	0.2%	1.0%	10.0M	-92.8M	-416.1K	0.53	92.33	N/A	N/A	1,615	851	64,270	10,721
2014-10-31	$32.59	$30.74	15.6%	4.3%	23.6%	48.4%	17.2%	1.5%	0.5%	10.4M	-101.7M	-415.7K	0.68	93.47	N/A	N/A	1,547	1,056	65,193	10,800