PPL Options History — January 2015

In January 2015, PPL traded between $32.43 and $33.89. ATM implied volatility averaged 18.1%, placing in the 62.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.5% (HV 20d: 20.6%). Max pain ranged from $32.60 to $34.46. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2015-01-13: Highest Volume — 48,606 contracts
  • 2015-01-12: Largest IV spike — 19.9% change
  • 2015-01-15: Highest IV Rank — 76.8%
  • 2015-01-15: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.12$32.43$33.89$33.89$33.02
Max Pain$33.48$32.60$34.46$34.46$32.60
ATM IV18.1%14.5%20.8%18.1%19.6%
Expected Move5.3%4.7%5.9%5.2%5.6%
HV 20d20.6%14.1%23.8%22.3%14.1%
HV 60d19.5%18.4%21.8%21.6%18.7%
IV Rank62.3%42.5%76.8%61.9%70.6%
IV Percentile91.3%58.3%99.2%95.6%98.0%
Term Structure-0.4%-1.8%0.6%0.4%-0.4%
VWIV18.2%15.7%21.8%17.1%19.9%
Skew 25d3.9%-0.3%9.1%3.8%3.4%
Skew 10d7.7%1.0%15.1%1.0%15.1%
Call IV 25d16.7%10.2%18.7%15.8%17.2%
Put IV 25d20.5%16.7%23.7%19.7%20.6%
Bid-Ask Spread %89.4669.72106.2584.9969.72
Gamma HHI0.680.570.870.570.61
Net GEX17.0M7.3M39.3M11.7M8.0M
Net DEX-108.0M-199.0M-68.8M-155.9M-75.6M
Net VEX-346.1K-449.8K-206.3K-235.3K-445.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.021.541.540.49
Total Volume4,808.3517148,6062,1562,632
Total OI80,178.0559,911122,48478,54371,301

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$33.89$34.4618.1%5.2%22.3%61.9%17.1%3.8%0.4%11.7M-155.9M-235.3K1.5484.99N/AN/A8501,30665,95912,584
2015-01-05$33.08$34.4619.5%5.6%23.8%70.0%19.8%5.5%-1.5%16.0M-117.1M-248.4K0.2184.27N/AN/A4329265,94212,696
2015-01-06$33.07$34.4618.4%5.6%23.3%63.6%21.7%5.8%-1.0%15.7M-115.8M-247.1K0.4878.81N/AN/A30114565,83012,739
2015-01-07$33.22$33.5318.0%5.6%23.3%61.8%21.8%5.2%-0.9%16.5M-127.2M-233.8K0.7580.92N/AN/A13510265,92212,793
2015-01-08$33.12$33.5314.5%5.1%23.3%42.5%16.3%3.7%0.0%18.8M-130.3M-210.8K1.3982.80N/AN/A7251,00566,02012,788
2015-01-09$32.95$33.5317.2%5.6%22.8%57.4%16.5%4.5%-0.7%19.9M-124.3M-219.6K0.2983.28N/AN/A3,17491566,13612,798
2015-01-12$32.77$33.5320.7%5.5%22.7%76.4%18.7%3.4%-0.4%23.4M-105.5M-215.8K0.4481.97N/AN/A2,00587367,49612,766
2015-01-13$32.43$33.5317.2%5.5%22.9%57.1%19.1%3.8%-1.0%29.7M-77.3M-206.3K0.0288.12N/AN/A47,81978765,92412,920
2015-01-14$32.80$33.5319.8%5.7%22.5%71.7%20.4%3.8%-1.0%38.2M-175.2M-432.2K0.7794.07N/AN/A1,3611,052109,50912,975
2015-01-15$32.89$33.5320.8%5.9%22.3%76.8%19.5%5.0%-1.8%36.0M-178.9M-419.8K0.6587.12N/AN/A1,463949108,52912,980
2015-01-16$32.91$33.5319.4%5.5%21.4%69.1%17.7%4.0%-1.6%39.3M-199.0M-394.2K0.0383.66N/AN/A4,482127108,44213,003
2015-01-20$33.15$33.5317.9%5.1%19.3%61.4%18.7%4.3%0.5%8.4M-68.9M-383.2K0.2895.67N/AN/A1,14331955,2614,650
2015-01-21$33.55$33.5317.0%4.9%19.6%55.9%17.4%6.0%0.5%8.0M-79.0M-408.3K0.99102.60N/AN/A3,9853,94756,1534,912
2015-01-22$33.23$33.5316.6%4.8%19.9%54.1%16.7%0.5%0.3%7.3M-70.6M-438.0K0.33106.05N/AN/A2,84695058,4598,683
2015-01-23$33.30$33.5316.9%4.8%19.3%55.3%15.7%3.5%-0.4%8.7M-72.9M-438.4K0.25101.98N/AN/A3,52886958,8988,743
2015-01-26$33.26$33.5316.4%4.7%18.3%53.0%16.6%2.1%0.1%8.5M-68.8M-432.8K0.1095.90N/AN/A8307960,3148,771
2015-01-27$33.25$32.6017.4%5.0%17.9%58.2%16.6%0.6%0.0%8.5M-72.7M-434.2K0.64103.90N/AN/A1046760,9478,786
2015-01-28$33.06$32.6019.1%5.5%16.4%67.4%18.9%-0.3%0.6%8.1M-70.6M-428.7K0.46106.25N/AN/A1,80682860,9928,852
2015-01-29$33.44$32.6017.9%5.1%15.9%60.9%15.7%9.1%-0.7%9.5M-74.8M-449.8K0.7277.03N/AN/A1,24389162,1818,907
2015-01-30$33.02$32.6019.6%5.6%14.1%70.6%19.9%3.4%-0.4%8.0M-75.6M-445.6K0.4969.72N/AN/A1,77286062,2599,042