PPL Options History — August 2015

In August 2015, PPL traded between $30.89 and $33.58. ATM implied volatility averaged 19.5%, placing in the 66.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.9% (HV 20d: 14.7%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2015-08-21: Highest Volume — 7,562 contracts
  • 2015-08-24: Largest IV spike — 39.2% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.33$30.89$33.58$31.88$31.03
Max Pain$31.43$30.00$32.00$30.00$32.00
ATM IV19.5%14.8%27.5%14.8%24.6%
Expected Move5.6%4.3%7.9%4.3%7.1%
HV 20d14.7%10.9%22.6%14.0%22.6%
HV 60d16.6%15.8%18.8%15.8%18.0%
IV Rank66.5%44.2%100.0%44.2%86.0%
IV Percentile65.4%17.9%100.0%17.9%98.0%
Term Structure-1.1%-3.7%1.3%1.0%-2.4%
VWIV20.3%14.8%28.1%14.8%25.6%
Skew 25d5.4%2.7%9.4%4.7%5.6%
Skew 10d10.0%2.2%20.0%6.2%20.0%
Call IV 25d16.7%11.4%25.2%11.4%23.6%
Put IV 25d22.1%16.1%30.7%16.1%29.2%
Bid-Ask Spread %64.0846.5597.1354.5782.03
Gamma HHI0.340.210.510.500.26
Net GEX3.4M2.3M4.5M4.0M2.3M
Net DEX-37.1M-60.8M-12.3M-29.7M-12.3M
Net VEX-150.5K-169.9K-132.2K-136.4K-140.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.151.490.770.23
Total Volume2,585.4294007,5624002,781
Total OI36,740.90525,30741,74025,30739,312

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$31.88$30.0014.8%4.3%14.0%44.2%14.8%4.7%1.0%4.0M-29.7M-136.4K0.7754.57N/AN/A22617421,6583,649
2015-08-04$31.49$30.0017.0%4.9%10.9%56.2%16.2%6.5%1.3%4.0M-25.6M-147.3K0.7347.30N/AN/A77456632,4444,392
2015-08-05$31.71$30.0015.2%4.4%11.0%46.2%15.6%4.4%-0.1%4.5M-28.3M-150.3K0.8146.55N/AN/A70256632,5754,427
2015-08-06$32.10$31.0016.3%4.8%11.4%52.2%18.0%4.9%-0.1%4.3M-32.4M-147.0K1.0264.17N/AN/A68770432,6094,491
2015-08-07$32.38$31.0016.4%4.6%11.2%52.7%17.4%3.9%0.2%4.4M-39.7M-157.9K0.7360.13N/AN/A1,02174932,7004,702
2015-08-10$32.38$31.0016.5%5.1%11.1%53.1%19.6%5.0%-1.2%4.3M-38.8M-154.3K0.7556.78N/AN/A90067533,0114,960
2015-08-11$32.65$31.0016.0%5.1%11.3%50.4%17.1%3.2%-0.2%3.6M-41.7M-132.2K0.4357.98N/AN/A32613922,6004,448
2015-08-12$33.26$31.0018.0%5.2%12.6%61.7%18.5%4.4%-0.9%3.9M-51.8M-156.7K0.6057.45N/AN/A1,33179833,5275,058
2015-08-13$33.17$31.0017.3%5.0%12.7%58.0%18.1%2.7%-1.2%3.6M-51.7M-157.9K0.6361.83N/AN/A87955134,1695,310
2015-08-14$33.37$32.0017.6%5.0%11.9%59.3%19.3%4.9%-1.0%3.8M-54.4M-158.1K0.2054.36N/AN/A2,69653034,3295,354
2015-08-17$33.58$32.0017.8%5.1%11.7%60.7%18.7%5.3%0.4%3.3M-60.8M-169.9K0.2056.74N/AN/A2,92957836,3795,361
2015-08-18$33.42$32.0017.6%5.0%11.7%59.3%19.9%5.2%-1.2%3.2M-57.1M-163.3K0.1957.21N/AN/A2,96557733,9975,393
2015-08-19$33.52$32.0018.2%5.2%11.7%62.6%17.7%5.6%0.3%2.9M-57.9M-136.0K1.4954.81N/AN/A19228625,8594,944
2015-08-20$33.37$32.0018.8%5.4%11.0%66.3%19.7%4.7%-1.1%3.2M-56.8M-154.9K1.3157.16N/AN/A62081132,9905,551
2015-08-21$32.94$32.0019.8%5.7%12.5%71.3%18.5%5.7%-2.0%3.0M-51.0M-158.0K0.1558.57N/AN/A6,59097232,9715,639
2015-08-24$31.59$32.0027.5%7.9%20.1%100.0%28.1%7.4%-3.2%2.6M-22.0M-157.1K0.2997.13N/AN/A3,9121,12031,6594,712
2015-08-25$30.89$32.0025.8%7.4%21.6%91.9%26.8%5.0%-3.7%2.4M-15.5M-146.4K0.2985.06N/AN/A2,62275132,0094,859
2015-08-26$31.30$32.0026.0%7.4%22.1%92.6%24.8%9.3%-2.6%2.4M-15.8M-142.7K0.3176.59N/AN/A3,17697931,7824,952
2015-08-27$31.66$32.0024.4%7.0%22.4%84.9%25.6%9.4%-2.2%2.7M-19.7M-150.6K0.4880.22N/AN/A2,1971,06432,7965,450
2015-08-28$31.31$32.0024.7%7.1%22.5%86.2%25.4%5.5%-2.1%2.5M-15.6M-141.8K0.8778.98N/AN/A2,2321,94632,9095,622
2015-08-31$31.03$32.0024.6%7.1%22.6%86.0%25.6%5.6%-2.4%2.3M-12.3M-140.5K0.2382.03N/AN/A2,25752433,0736,239