PPL Options History — July 2015

In July 2015, PPL traded between $29.58 and $31.78. ATM implied volatility averaged 17.0%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.3% (HV 20d: 15.8%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2015-07-06: Highest Volume — 5,199 contracts
  • 2015-07-30: Largest IV drop — 18.8% change
  • 2015-07-09: Highest IV Rank — 69.4%
  • 2015-07-08: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.89$29.58$31.78$29.58$31.78
Max Pain$30.27$30.00$33.00$33.00$30.00
ATM IV17.0%13.4%19.4%18.1%14.5%
Expected Move4.8%3.8%5.4%5.2%4.2%
HV 20d15.8%14.0%17.5%16.1%14.1%
HV 60d16.9%16.0%17.7%16.7%16.0%
IV Rank56.2%36.1%69.4%62.2%42.2%
IV Percentile52.0%5.2%92.1%71.0%14.7%
Term Structure0.8%-0.3%1.9%1.7%1.6%
VWIV17.1%15.5%19.6%18.2%15.9%
Skew 25d3.2%1.3%7.1%6.5%7.1%
Skew 10d8.6%2.6%15.2%13.3%14.4%
Call IV 25d15.6%11.3%17.8%15.1%11.3%
Put IV 25d18.9%16.9%21.6%21.6%18.4%
Bid-Ask Spread %58.3541.3880.8355.6344.19
Gamma HHI0.330.210.450.230.45
Net GEX2.5M1.1M3.8M1.1M3.8M
Net DEX-13.6M-27.0M581.4K581.4K-27.0M
Net VEX-130.2K-143.4K-94.4K-94.4K-143.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.160.820.180.37
Total Volume2,268.0451,1145,1995,1001,989
Total OI50,558.54530,66164,87161,06936,164

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$29.58$33.0018.1%5.2%16.1%62.2%18.2%6.5%1.7%1.1M581.4K-94.4K0.1855.63N/AN/A4,33376755,8385,231
2015-07-02$29.83$33.0017.6%5.0%16.6%59.3%18.1%2.7%1.2%1.4M-2.2M-116.9K0.1654.12N/AN/A4,30370057,9295,349
2015-07-06$30.00$30.0018.6%5.4%16.3%64.9%18.4%2.4%1.2%1.5M-3.2M-108.9K0.1659.87N/AN/A4,48571457,9635,350
2015-07-07$30.92$30.0018.3%5.0%17.3%63.1%17.3%5.3%1.6%2.0M-11.4M-136.9K0.4761.93N/AN/A1,47168758,2045,279
2015-07-08$30.82$30.0018.9%5.4%17.3%66.6%19.0%2.5%0.3%2.2M-12.0M-142.7K0.7162.40N/AN/A90363858,6475,340
2015-07-09$30.70$30.0019.4%5.4%17.4%69.4%19.6%3.2%0.7%2.0M-10.7M-137.6K0.8258.85N/AN/A91475058,6865,374
2015-07-10$31.04$30.0017.4%5.1%17.5%58.6%18.1%3.4%0.8%2.3M-13.3M-143.3K0.8171.57N/AN/A95877458,7475,497
2015-07-13$30.97$30.0019.2%4.7%17.0%68.2%16.0%2.4%0.5%2.2M-12.7M-130.5K0.6368.35N/AN/A1,12170258,3935,539
2015-07-14$31.01$30.0017.8%4.8%16.6%60.7%16.5%2.3%0.3%2.3M-11.9M-128.4K0.7463.24N/AN/A1,05077258,6915,565
2015-07-15$31.20$30.0017.3%5.0%16.7%57.8%17.1%3.1%0.4%2.4M-13.7M-133.6K0.7263.62N/AN/A96369558,9655,627
2015-07-16$31.40$30.0016.8%4.8%16.3%54.8%16.7%3.4%0.1%2.5M-16.6M-136.8K0.6380.83N/AN/A1,09368659,1395,640
2015-07-17$31.10$30.0016.2%4.6%16.1%51.6%16.7%1.7%0.7%2.2M-15.9M-135.8K0.7160.81N/AN/A98869759,2235,648
2015-07-20$31.01$30.0016.3%4.7%15.8%52.5%15.7%1.3%0.1%2.2M-13.8M-118.4K0.1759.01N/AN/A3,64563127,2783,383
2015-07-21$30.86$30.0015.9%4.6%15.9%50.1%16.0%3.4%0.7%2.6M-13.8M-116.7K0.5455.58N/AN/A1,35072729,2143,669
2015-07-22$30.98$30.0015.5%4.4%14.5%47.6%16.8%2.7%1.2%3.0M-17.0M-138.7K0.3753.41N/AN/A1,88270230,0713,877
2015-07-23$30.68$30.0015.5%4.4%14.4%47.7%15.8%2.5%0.2%2.8M-14.2M-129.1K0.7453.79N/AN/A65948730,9013,961
2015-07-24$30.69$30.0016.5%4.7%14.3%53.4%16.8%2.0%0.7%2.7M-14.9M-134.8K0.7459.34N/AN/A64147331,0194,020
2015-07-27$31.02$30.0017.0%4.9%14.6%55.9%17.3%2.4%1.1%2.9M-16.6M-133.3K0.8051.68N/AN/A90672931,1144,101
2015-07-28$31.22$30.0017.9%5.1%14.0%60.9%17.7%2.6%-0.3%3.2M-17.6M-131.0K0.7356.14N/AN/A73153731,3634,341
2015-07-29$31.29$30.0016.5%4.7%14.0%53.2%17.0%2.8%0.4%3.3M-18.7M-136.0K0.8147.90N/AN/A69956431,5724,346
2015-07-30$31.53$30.0013.4%3.8%14.1%36.1%15.5%5.4%1.9%3.8M-21.5M-137.3K0.6041.38N/AN/A86152031,6194,411
2015-07-31$31.78$30.0014.5%4.2%14.1%42.2%15.9%7.1%1.6%3.8M-27.0M-143.4K0.3744.19N/AN/A1,44754231,6984,466