PPL Options History — June 2015

In June 2015, PPL traded between $29.49 and $32.39. ATM implied volatility averaged 18.0%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.1% (HV 20d: 18.1%). Max pain ranged from $31.67 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-06-16: Highest Volume — 7,726 contracts
  • 2015-06-29: Largest IV spike — 22.8% change
  • 2015-06-08: Highest IV Rank — 83.6%
  • 2015-06-29: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.38$29.49$32.39$32.39$29.50
Max Pain$33.51$31.67$34.00$31.67$33.00
ATM IV18.0%15.3%22.0%18.1%19.9%
Expected Move5.1%4.4%5.7%5.2%5.7%
HV 20d18.1%15.1%19.0%15.1%18.3%
HV 60d18.6%16.7%21.9%21.9%17.0%
IV Rank61.6%46.7%83.6%62.1%71.9%
IV Percentile68.0%28.2%99.2%74.2%94.8%
Term Structure1.5%-0.9%9.0%-0.6%-0.9%
VWIV17.7%11.4%21.5%20.0%19.6%
Skew 25d0.9%-44.5%7.4%6.8%1.2%
Skew 10d3.6%-15.9%14.2%6.0%2.5%
Call IV 25d20.2%13.7%85.8%13.7%20.8%
Put IV 25d21.0%17.5%41.3%20.4%22.1%
Bid-Ask Spread %64.4736.1482.4236.1456.50
Gamma HHI0.250.170.550.550.24
Net GEX1.3M310.8K8.3M8.3M1.0M
Net DEX-1.7M-60.9M5.5M-60.9M1.4M
Net VEX-113.3K-357.1K-69.3K-357.1K-95.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.221.030.840.89
Total Volume3,045.2381,8017,7262,7822,073
Total OI59,422.33354,99869,99269,99260,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$32.39$31.6718.1%5.2%15.1%62.1%20.0%6.8%-0.6%8.3M-60.9M-357.1K0.8436.14N/AN/A1,5131,26958,66311,329
2015-06-03$31.47$34.0018.5%5.3%18.2%64.2%11.4%-44.5%9.0%1.7M4.4M-177.3K0.2553.97N/AN/A4,5021,12954,55710,336
2015-06-04$31.39$34.0018.7%5.3%16.7%65.4%17.1%5.4%0.9%1.2M3.8M-145.7K0.3282.42N/AN/A3,3171,07156,7847,630
2015-06-05$30.95$34.0018.7%5.2%16.8%65.6%17.3%3.5%1.6%1.1M5.5M-87.2K0.3668.54N/AN/A3,1011,11751,4375,134
2015-06-08$30.16$34.0022.0%5.7%19.0%83.6%20.3%1.9%0.8%554.6K3.1M-75.5K0.8469.78N/AN/A1,2121,01651,2693,729
2015-06-09$30.11$34.0021.3%5.4%18.1%79.7%18.2%3.7%0.7%706.3K3.1M-77.1K0.7272.28N/AN/A1,22387751,2864,019
2015-06-10$30.27$34.0018.8%5.4%18.3%66.0%17.5%2.5%1.1%479.0K3.6M-76.2K0.6566.27N/AN/A1,28182751,3734,144
2015-06-11$30.52$34.0016.9%4.8%18.6%55.7%16.9%2.3%2.1%561.2K3.0M-81.1K0.6359.08N/AN/A1,25478751,4564,251
2015-06-12$30.17$34.0018.0%5.2%18.6%61.5%17.5%3.2%1.6%432.4K3.9M-74.8K0.6557.03N/AN/A1,42592351,5484,266
2015-06-15$29.94$34.0019.0%5.4%18.3%67.1%20.0%2.5%-0.4%383.0K4.3M-72.6K0.6160.95N/AN/A1,46889051,7864,440
2015-06-16$29.99$34.0017.2%4.9%17.7%57.2%16.5%2.5%2.6%310.8K4.9M-69.3K0.2261.97N/AN/A6,3201,40651,9034,508
2015-06-17$30.39$34.0019.1%5.5%18.0%67.8%18.8%7.4%0.3%896.3K534.7K-105.4K0.8073.20N/AN/A1,7531,39457,0824,851
2015-06-18$30.80$34.0015.3%4.4%18.4%46.7%16.0%3.5%3.3%1.2M-3.5M-124.1K1.0269.28N/AN/A1,4051,43657,5254,861
2015-06-19$30.53$33.0015.7%4.5%18.2%49.0%18.3%6.4%2.4%2.0M-6.5M-132.6K1.0368.05N/AN/A1,3581,39657,4904,484
2015-06-22$30.60$33.0015.6%4.5%18.1%48.2%17.7%4.7%1.8%1.2M-3.9M-115.2K0.7370.67N/AN/A1,8451,34052,9544,169
2015-06-23$30.08$33.0016.5%4.7%18.8%53.3%16.6%3.0%1.7%1.2M-2.5M-109.8K0.3468.42N/AN/A2,60188854,1254,249
2015-06-24$29.77$33.0016.5%4.7%19.0%53.2%17.1%1.8%1.3%1.2M-678.4K-101.8K0.5262.00N/AN/A1,43374854,8894,445
2015-06-25$29.62$33.0016.0%4.6%18.2%50.7%16.6%0.6%1.4%1.1M-162.5K-102.6K0.5563.79N/AN/A1,59287255,0314,623
2015-06-26$29.76$33.0016.3%4.7%18.3%52.3%16.5%1.8%1.3%1.0M1.2M-94.6K0.9368.12N/AN/A93286955,2414,892
2015-06-29$29.49$33.0020.0%5.7%18.4%72.8%21.5%-2.4%-0.5%1.1M-67.9K-103.7K0.9865.42N/AN/A1,0521,03555,3594,921
2015-06-30$29.50$33.0019.9%5.7%18.3%71.9%19.6%1.2%-0.9%1.0M1.4M-95.5K0.8956.50N/AN/A1,09997455,6575,173