PPL Options History — February 2015 In February 2015, PPL traded between $31.76 and $33.87. ATM implied volatility averaged 17.5%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.5% (HV 20d: 20.0%). Max pain ranged from $31.67 to $32.60. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.78.
Notable Days 2015-02-10 : Highest Volume — 3,136 contracts2015-02-26 : Largest IV spike — 38.9% change2015-02-18 : Highest IV Rank — 66.6%2015-02-09 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $32.70 $31.76 $33.87 $33.44 $31.76 Max Pain $32.16 $31.67 $32.60 $32.60 $32.60 ATM IV 17.5% 13.4% 18.9% 16.6% 16.6% Expected Move 5.1% 3.8% 5.6% 4.8% 4.8% HV 20d 20.0% 12.8% 23.2% 15.0% 22.7% HV 60d 18.9% 17.1% 19.8% 18.9% 19.8% IV Rank 58.9% 36.3% 66.6% 53.9% 54.1% IV Percentile 83.7% 26.2% 95.2% 81.3% 77.0% Term Structure -0.7% -2.6% 1.9% 1.9% 0.9% VWIV 18.1% 15.4% 21.2% 15.9% 21.2% Skew 25d 4.3% -2.0% 9.2% 9.2% -2.0% Skew 10d 6.1% -4.0% 18.3% 12.8% -3.4% Call IV 25d 16.1% 10.4% 18.6% 10.4% 16.7% Put IV 25d 20.4% 14.7% 23.3% 19.6% 14.7% Bid-Ask Spread % 73.98 56.73 89.04 65.27 81.68 Gamma HHI 0.67 0.61 0.72 0.63 0.68 Net GEX 8.3M 6.0M 10.3M 9.1M 6.0M Net DEX -51.6M -93.1M -20.7M -77.5M -20.7M Net VEX -371.0K -457.7K -264.6K -441.2K -264.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.10 1.39 0.30 0.52 Total Volume 2,227.421 765 3,136 765 2,590 Total OI 73,389.053 71,804 74,979 71,914 73,093
Daily Data (19 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 2015-02-02 $33.44 $32.60 16.6% 4.8% 15.0% 53.9% 15.9% 9.2% 1.9% 9.1M -77.5M -441.2K 0.30 65.27 N/A N/A 587 178 62,807 9,107 2015-02-03 $33.87 $32.60 18.8% 5.4% 12.8% 66.1% 17.3% 6.7% -0.9% 9.6M -91.4M -446.4K 0.58 56.73 N/A N/A 1,968 1,133 62,756 9,244 2015-02-04 $33.33 $32.60 16.9% 4.8% 14.2% 55.3% 16.0% 2.3% -0.1% 9.3M -81.2M -444.3K 0.93 59.36 N/A N/A 1,069 997 63,771 9,487 2015-02-05 $33.80 $31.67 15.5% 5.3% 15.0% 48.1% 18.3% 3.7% -2.6% 10.3M -93.1M -457.7K 1.19 77.29 N/A N/A 836 994 63,893 9,487 2015-02-06 $32.74 $31.67 15.2% 5.3% 19.0% 46.4% 20.8% 4.4% -0.5% 8.1M -57.9M -413.6K 1.02 68.41 N/A N/A 1,082 1,105 63,923 9,456 2015-02-09 $32.26 $31.67 18.3% 5.6% 19.6% 63.4% 19.5% 3.9% -1.4% 7.0M -40.0M -376.6K 0.93 67.83 N/A N/A 965 898 63,867 9,741 2015-02-10 $32.88 $31.67 18.2% 5.4% 20.7% 62.9% 19.2% 3.8% -0.8% 8.9M -54.7M -397.4K 0.55 71.43 N/A N/A 2,020 1,116 63,964 9,849 2015-02-11 $32.32 $31.67 18.6% 5.3% 21.3% 65.0% 17.3% 4.7% -1.2% 7.3M -43.7M -376.2K 1.27 76.80 N/A N/A 850 1,082 64,172 9,856 2015-02-12 $32.46 $31.67 18.0% 5.2% 20.9% 61.6% 19.5% 4.3% 0.6% 7.6M -43.0M -367.0K 1.39 85.99 N/A N/A 805 1,118 64,065 9,874 2015-02-13 $32.32 $31.67 18.6% 5.3% 20.9% 65.1% 17.8% 3.2% -1.7% 7.2M -34.1M -335.1K 1.26 89.04 N/A N/A 852 1,073 64,164 9,914 2015-02-17 $32.14 $31.67 18.3% 5.2% 21.0% 63.4% 18.6% 5.4% -0.5% 6.9M -30.0M -316.4K 1.37 82.70 N/A N/A 717 985 64,389 9,950 2015-02-18 $32.93 $31.67 18.9% 5.4% 22.7% 66.6% 19.1% 7.5% -1.9% 9.5M -58.0M -375.5K 1.17 77.28 N/A N/A 958 1,121 64,501 9,973 2015-02-19 $32.75 $32.60 18.6% 5.3% 22.3% 64.8% 18.4% 4.6% -0.5% 8.4M -52.4M -365.6K 0.11 76.83 N/A N/A 1,105 125 64,664 10,003 2015-02-20 $32.58 $32.60 17.6% 5.0% 22.1% 59.4% 15.5% 5.0% -0.8% 8.2M -41.5M -343.7K 0.10 76.85 N/A N/A 2,691 276 64,898 10,081 2015-02-23 $32.73 $32.60 18.1% 5.2% 22.2% 62.1% 18.3% 4.1% -1.5% 9.0M -46.0M -355.1K 0.54 74.53 N/A N/A 1,784 967 63,114 8,690 2015-02-24 $32.82 $32.60 17.6% 5.1% 22.2% 59.7% 15.4% 4.2% -0.3% 9.6M -52.6M -358.2K 0.61 69.93 N/A N/A 1,629 1,002 63,482 8,865 2015-02-25 $32.25 $32.60 13.4% 3.8% 23.0% 36.3% 16.3% 3.2% -0.4% 8.3M -37.7M -330.2K 0.49 78.60 N/A N/A 1,857 917 63,563 8,933 2015-02-26 $31.94 $32.60 18.6% 5.3% 23.2% 65.1% 18.9% 4.2% -1.5% 6.7M -24.9M -284.0K 0.38 68.99 N/A N/A 2,082 787 63,684 9,112 2015-02-27 $31.76 $32.60 16.6% 4.8% 22.7% 54.1% 21.2% -2.0% 0.9% 6.0M -20.7M -264.6K 0.52 81.68 N/A N/A 1,699 891 63,954 9,139
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