PPI Options History — June 2024

In June 2024, PPI traded between $14.81 and $15.38. ATM implied volatility averaged 70.8%. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 59.3% (HV 20d: 11.5%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days.

Notable Days

  • 2024-06-12: Largest IV drop — 44.0% change
  • 2024-06-05: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.04$14.81$15.38$15.38$14.88
ATM IV70.8%55.1%98.5%71.5%69.4%
Expected Move18.1%15.1%23.1%20.5%19.9%
HV 20d11.5%10.8%11.9%11.6%10.8%
HV 60d11.4%11.2%11.7%11.3%11.3%
Term Structure-16.2%-30.1%-8.9%-21.5%-21.2%
Skew 25d1.0%0.4%1.9%1.0%1.0%
Skew 10d14.0%9.4%20.4%19.7%11.8%
Call IV 25d84.1%68.8%104.6%97.0%94.6%
Put IV 25d85.1%69.9%105.8%98.0%95.7%
Bid-Ask Spread %181.77179.81186.10184.83180.14
Gamma HHI1.001.001.001.001.00
Net GEX111107116114113
Net DEX-3.0K-3.4K-2.8K-3.4K-2.8K
Net VEX-10-11-9-11-9
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI44444

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-06-03$15.38$0.0071.5%20.5%11.6%0.0%0.0%1.0%-21.5%114-3.4K-110.00184.830040
2024-06-04$15.18$0.0078.2%22.4%11.9%0.0%0.0%1.1%-29.9%110-3.2K-110.00185.680040
2024-06-05$15.23$0.0080.4%23.1%11.9%0.0%0.0%1.1%-30.1%110-3.2K-110.00186.100040
2024-06-06$15.23$0.0083.0%15.1%11.9%0.0%0.0%1.1%-8.9%111-3.2K-110.00182.810040
2024-06-07$15.12$0.0084.2%15.2%11.2%0.0%0.0%0.4%-9.3%110-3.1K-110.00181.510040
2024-06-10$15.20$0.0094.7%15.9%11.4%0.0%0.0%0.4%-12.0%112-3.2K-100.00181.920040
2024-06-11$15.09$0.0098.5%16.0%11.6%0.0%0.0%0.4%-10.5%109-3.1K-100.00182.370040
2024-06-12$15.13$0.0055.1%15.8%11.7%0.0%0.0%1.1%-12.1%113-3.1K-100.00180.690040
2024-06-13$14.97$0.0055.6%15.9%11.7%0.0%0.0%1.8%-10.7%109-3.0K-100.00179.920040
2024-06-14$14.85$0.0057.9%16.6%11.9%0.0%0.0%1.7%-11.6%107-2.9K-100.00180.910040
2024-06-17$14.91$0.0059.1%16.9%11.3%0.0%0.0%1.9%-12.5%108-2.9K-100.00180.440040
2024-06-18$14.97$0.0060.6%17.4%11.2%0.0%0.0%0.8%-13.1%116-2.9K-100.00181.010040
2024-06-20$15.04$0.0062.5%17.9%11.5%0.0%0.0%1.0%-14.4%110-3.0K-90.00181.310040
2024-06-21$14.91$0.0063.1%18.1%11.1%0.0%0.0%0.7%-14.8%108-2.9K-90.00181.320040
2024-06-24$15.04$0.0066.5%19.1%11.7%0.0%0.0%1.0%-16.9%112-3.0K-90.00180.770040
2024-06-25$14.93$0.0068.1%19.5%11.5%0.0%0.0%0.8%-18.4%109-2.9K-90.00181.160040
2024-06-26$14.81$0.0067.3%19.3%11.6%0.0%0.0%0.7%-19.5%111-2.8K-90.00179.810040
2024-06-27$14.89$0.0069.5%19.9%10.9%0.0%0.0%0.9%-20.6%112-2.9K-90.00180.900040
2024-06-28$14.88$0.0069.4%19.9%10.8%0.0%0.0%1.0%-21.2%113-2.8K-90.00180.140040