PPL Options History — November 2014

In November 2014, PPL traded between $32.54 and $34.24. ATM implied volatility averaged 16.0%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 6.0% (HV 20d: 22.0%). Max pain ranged from $30.74 to $30.74. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2014-11-21: Highest Volume — 4,830 contracts
  • 2014-11-17: Largest IV drop — 14.3% change
  • 2014-11-14: Highest IV Rank — 61.7%
  • 2014-11-14: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.23$32.54$34.24$32.75$33.09
Max Pain$30.74$30.74$30.74$30.74$30.74
ATM IV16.0%14.8%18.0%14.8%15.5%
Expected Move4.4%3.2%4.9%4.2%4.3%
HV 20d22.0%19.5%26.8%23.6%19.7%
HV 60d20.1%18.1%20.5%18.1%20.4%
IV Rank50.7%43.7%61.7%43.7%48.0%
IV Percentile85.7%71.4%97.6%72.2%78.6%
Term Structure-0.4%-3.2%2.2%1.8%0.4%
VWIV16.9%15.1%19.2%15.2%15.1%
Skew 25d2.5%-1.5%4.7%3.5%2.5%
Skew 10d5.9%-2.7%12.7%12.2%4.3%
Call IV 25d14.8%12.7%17.4%13.1%13.6%
Put IV 25d17.2%15.2%19.2%16.7%16.1%
Bid-Ask Spread %96.7686.22112.2991.94112.29
Gamma HHI0.600.570.620.590.58
Net GEX10.4M8.7M12.0M10.3M11.3M
Net DEX-128.1M-166.8M-103.2M-106.8M-116.4M
Net VEX-374.0K-416.5K-319.8K-416.5K-365.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.162.840.740.29
Total Volume1,779.5262954,8302,250295
Total OI78,086.31675,04879,68076,37275,561

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$32.75$30.7414.8%4.2%23.6%43.7%15.2%3.5%1.8%10.3M-106.8M-416.5K0.7491.94N/AN/A1,29395765,28011,092
2014-11-04$32.54$30.7414.8%4.0%23.8%44.1%16.5%-1.5%0.2%11.0M-103.2M-401.7K0.57107.41N/AN/A1,58090865,46711,133
2014-11-05$33.88$30.7416.0%4.5%26.8%50.7%15.4%3.2%2.2%9.9M-147.4M-378.7K0.6792.86N/AN/A2,0791,39765,70011,127
2014-11-06$33.49$30.7415.8%4.5%26.3%49.3%15.4%1.3%0.6%8.7M-139.5M-401.1K0.5391.52N/AN/A1,67388866,97011,753
2014-11-07$33.94$30.7416.2%4.5%26.6%51.5%16.4%2.6%-1.1%9.1M-155.5M-343.9K0.6190.16N/AN/A1,24776667,18811,882
2014-11-10$34.24$30.7415.9%4.3%26.4%50.1%16.5%3.2%-1.1%8.8M-166.8M-319.8K0.6290.28N/AN/A1,27278667,33111,929
2014-11-11$34.06$30.7415.2%3.2%26.5%46.1%18.8%4.7%-1.4%8.9M-160.6M-349.0K1.0098.95N/AN/A80380167,03211,695
2014-11-12$33.41$30.7416.2%4.4%20.5%51.6%17.2%0.3%-0.3%9.0M-139.7M-392.7K0.8392.92N/AN/A92877367,43011,979
2014-11-13$33.26$30.7417.1%4.4%20.2%56.4%19.1%0.6%-0.7%9.5M-134.8M-395.0K0.6987.98N/AN/A1,03771367,57912,005
2014-11-14$33.01$30.7418.0%4.9%20.5%61.7%16.9%3.4%-2.1%10.8M-124.3M-376.6K0.7397.40N/AN/A18013267,64412,036
2014-11-17$33.20$30.7415.4%4.5%19.8%47.5%19.2%2.5%-0.3%10.2M-127.7M-382.9K1.2986.22N/AN/A68588367,59712,044
2014-11-18$33.18$30.7415.8%4.5%19.8%49.3%19.2%2.7%-0.4%11.0M-132.6M-379.6K0.9195.39N/AN/A97688467,70211,971
2014-11-19$32.96$30.7417.4%4.6%19.5%58.4%15.4%3.0%-1.9%10.4M-120.1M-366.9K0.1698.43N/AN/A90514867,62111,998
2014-11-20$32.82$30.7417.0%4.6%19.5%56.3%16.8%1.5%-3.2%11.6M-115.9M-376.9K0.92100.50N/AN/A94287167,73711,779
2014-11-21$33.09$30.7415.0%4.3%19.6%45.2%17.2%3.8%1.9%11.0M-123.5M-373.4K0.2189.88N/AN/A4,00582567,84211,782
2014-11-24$32.74$30.7416.2%4.6%20.1%51.6%19.0%3.0%-0.3%11.4M-106.2M-352.8K1.53105.54N/AN/A18728665,5949,454
2014-11-25$32.81$30.7415.9%4.6%20.0%49.9%16.1%3.9%-0.4%12.0M-106.4M-367.3K2.06106.06N/AN/A44992365,6969,623
2014-11-26$32.82$30.7416.3%4.5%19.7%52.1%15.7%2.8%-0.8%12.0M-106.6M-366.0K2.84102.64N/AN/A8724765,7289,659
2014-11-28$33.09$30.7415.5%4.3%19.7%48.0%15.1%2.5%0.4%11.3M-116.4M-365.7K0.29112.29N/AN/A2286765,7919,770