PPL Options History — March 2015

In March 2015, PPL traded between $29.25 and $32.00. ATM implied volatility averaged 18.4%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 8.9% (HV 20d: 27.3%). Max pain ranged from $31.67 to $32.60. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-03-03: Highest Volume — 60,563 contracts
  • 2015-03-06: Largest IV spike — 15.8% change
  • 2015-03-10: Highest IV Rank — 74.9%
  • 2015-03-11: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.69$29.25$32.00$31.12$31.35
Max Pain$32.51$31.67$32.60$32.60$32.60
ATM IV18.4%16.3%20.4%19.0%18.2%
Expected Move5.2%4.8%5.5%5.4%5.2%
HV 20d27.3%21.6%31.9%23.3%31.4%
HV 60d22.8%20.0%24.6%20.1%23.7%
IV Rank64.1%52.2%74.9%67.0%63.0%
IV Percentile88.4%72.2%98.4%95.2%85.3%
Term Structure0.0%-1.8%1.0%-0.9%0.5%
VWIV18.4%15.4%21.2%17.9%19.2%
Skew 25d3.3%1.6%6.1%3.5%5.1%
Skew 10d7.2%-2.4%16.9%-1.9%13.7%
Call IV 25d17.2%13.5%18.7%17.2%17.7%
Put IV 25d20.5%17.8%22.9%20.8%22.8%
Bid-Ask Spread %47.9436.4656.7253.8046.67
Gamma HHI0.430.320.610.610.37
Net GEX3.1M1.7M4.4M3.5M4.0M
Net DEX-13.1M-42.2M6.1M-3.1M-25.7M
Net VEX-285.7K-382.5K-197.4K-197.4K-337.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.032.880.890.78
Total Volume5,716.90918960,5634,4062,155
Total OI66,364.558,31375,12573,40169,500

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$31.12$32.6019.0%5.4%23.3%67.0%17.9%3.5%-0.9%3.5M-3.1M-197.4K0.8953.80N/AN/A2,3272,07964,1169,285
2015-03-03$31.18$31.6718.6%5.3%22.6%65.1%18.6%4.6%-1.8%3.5M-2.4M-200.3K0.0348.97N/AN/A58,5691,99464,72310,402
2015-03-04$30.97$31.6718.1%5.2%21.8%61.9%16.5%3.5%-1.2%2.4M-6.5M-253.6K0.1336.46N/AN/A8,5711,08547,82310,490
2015-03-05$31.12$32.6016.3%4.8%21.6%52.2%15.4%2.1%1.0%2.9M-11.2M-286.8K0.0853.40N/AN/A12,1951,00049,77310,822
2015-03-06$29.54$32.6018.9%5.2%26.6%66.5%18.2%2.4%0.4%2.0M295.5K-252.4K0.0942.68N/AN/A11,0641,01752,52210,825
2015-03-09$29.56$32.6019.3%5.2%25.0%68.7%19.0%3.6%-0.0%1.9M3.7M-231.2K0.6348.68N/AN/A54834753,00011,059
2015-03-10$29.46$32.6020.4%5.2%24.8%74.9%18.4%3.5%0.4%1.8M6.1M-204.4K0.1242.59N/AN/A95711553,15811,109
2015-03-11$29.25$32.6019.3%5.5%23.2%68.8%21.2%3.3%0.1%1.7M5.0M-219.6K0.6146.85N/AN/A30818953,09311,199
2015-03-12$29.72$32.6018.7%5.4%24.0%65.5%21.0%1.7%-0.6%1.9M2.8M-228.7K0.2455.49N/AN/A3297753,22511,346
2015-03-13$29.62$32.6018.9%5.4%23.8%66.7%20.4%2.4%-0.8%2.0M1.8M-235.7K2.2056.72N/AN/A5913053,27811,362
2015-03-16$30.08$32.6018.8%5.4%24.9%66.2%19.4%3.9%-0.3%2.3M-1.4M-246.7K0.8248.95N/AN/A23919653,29811,470
2015-03-17$30.07$32.6018.5%5.3%24.9%64.4%18.2%1.6%-0.2%2.2M-1.2M-247.7K0.1046.17N/AN/A3023053,38011,502
2015-03-18$31.71$32.6018.0%5.1%30.6%61.4%18.4%3.4%0.5%4.0M-32.2M-343.6K0.0948.61N/AN/A7,00265953,48411,532
2015-03-19$31.38$32.6017.8%5.1%30.7%60.5%17.3%4.1%0.2%3.5M-28.7M-359.1K1.0840.92N/AN/A22824656,42311,891
2015-03-20$32.00$32.6018.2%5.2%31.6%62.6%18.0%6.1%-0.2%4.3M-42.2M-382.5K0.5546.80N/AN/A87248356,46211,966
2015-03-23$31.82$32.6017.5%5.0%31.6%58.7%16.5%2.8%0.8%4.1M-36.1M-369.4K0.0353.96N/AN/A2,8207553,65311,065
2015-03-24$31.49$32.6016.8%4.8%31.7%55.0%15.6%2.9%0.9%4.4M-33.1M-364.1K0.7747.81N/AN/A36428056,26811,087
2015-03-25$30.84$32.6018.8%5.4%31.9%65.9%17.5%2.8%0.3%3.6M-20.2M-330.8K0.2150.45N/AN/A87418857,30811,225
2015-03-26$30.75$32.6018.5%5.3%31.8%64.4%20.0%1.6%0.7%3.6M-19.1M-330.1K1.1048.20N/AN/A1,0501,15556,93611,367
2015-03-27$30.88$32.6019.3%5.5%31.8%68.6%18.9%1.9%0.5%3.7M-18.6M-322.2K2.8846.66N/AN/A28381757,11411,387
2015-03-30$31.24$32.6018.2%5.2%31.3%62.9%20.2%5.3%0.7%4.3M-27.1M-342.9K1.0643.82N/AN/A1,2101,28457,21511,876
2015-03-31$31.35$32.6018.2%5.2%31.4%63.0%19.2%5.1%0.5%4.0M-25.7M-337.1K0.7846.67N/AN/A1,20994657,59011,910