PPL Options History — September 2015

In September 2015, PPL traded between $29.37 and $32.91. ATM implied volatility averaged 22.3%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.7% (HV 20d: 23.0%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2015-09-18: Highest Volume — 6,813 contracts
  • 2015-09-02: Largest IV drop — 11.9% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.68$29.37$32.91$30.01$32.91
Max Pain$31.10$31.00$32.00$32.00$31.00
ATM IV22.3%18.9%29.0%29.0%20.2%
Expected Move6.3%5.4%8.3%8.3%5.8%
HV 20d23.0%16.1%25.7%25.1%16.1%
HV 60d18.8%18.5%19.1%18.6%18.6%
IV Rank61.6%40.8%100.0%100.0%48.4%
IV Percentile91.6%76.6%100.0%100.0%87.7%
Term Structure-0.9%-3.9%0.9%-3.9%-0.8%
VWIV21.2%17.1%28.8%28.8%17.3%
Skew 25d4.2%1.7%6.7%6.2%1.7%
Skew 10d8.6%-10.0%16.5%-10.0%9.7%
Call IV 25d20.6%18.1%26.9%26.9%20.0%
Put IV 25d24.8%20.6%33.1%33.1%21.6%
Bid-Ask Spread %63.7642.5992.1075.3042.59
Gamma HHI0.280.220.430.220.27
Net GEX2.2M956.7K4.2M1.5M4.2M
Net DEX-12.0M-50.8M5.8M-4.7M-50.8M
Net VEX-127.1K-153.8K-104.9K-118.0K-153.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.091.680.270.25
Total Volume4,244.7623916,8132,9194,570
Total OI42,230.8133,49546,61239,49544,971

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$30.01$32.0029.0%8.3%25.1%100.0%28.8%6.2%-3.9%1.5M-4.7M-118.0K0.2775.30N/AN/A2,29762233,1826,313
2015-09-02$30.06$32.0025.5%7.3%24.9%84.4%26.7%5.7%-0.9%1.5M-1.8M-105.0K0.2871.70N/AN/A2,20362333,2516,388
2015-09-03$30.27$31.0023.5%6.6%24.6%75.3%21.6%5.2%-1.1%1.5M-2.2M-111.1K0.2378.79N/AN/A2,37855833,3076,436
2015-09-04$29.76$31.0023.7%6.7%24.6%76.3%22.1%6.2%-1.2%1.2M260.3K-104.9K0.0992.10N/AN/A6,07655933,5286,470
2015-09-08$29.88$31.0025.0%6.2%24.8%81.9%22.2%5.5%-0.6%1.5M-4.5M-112.6K0.7878.94N/AN/A22017127,4116,084
2015-09-09$29.37$31.0024.6%7.1%24.7%74.5%21.9%6.7%-1.4%1.4M-842.9K-106.1K0.5473.78N/AN/A2,3151,25934,6026,513
2015-09-10$29.47$31.0024.6%7.0%23.4%73.9%22.8%4.4%-2.0%1.2M1.3M-108.7K0.9674.08N/AN/A3,3353,20134,7517,295
2015-09-11$29.62$31.0022.5%6.5%23.7%61.9%21.5%4.3%-0.3%956.7K5.8M-119.2K1.3473.44N/AN/A2,3273,11335,3139,842
2015-09-14$29.83$31.0023.6%6.8%23.7%68.4%22.5%4.8%-1.5%1.1M2.5M-124.7K1.2169.83N/AN/A2,5843,13435,4369,867
2015-09-15$30.08$31.0022.9%6.6%23.9%63.9%23.0%5.2%-2.0%1.1M794.3K-120.4K0.1966.63N/AN/A75114428,6309,538
2015-09-16$30.35$31.0021.7%6.2%24.4%57.1%20.7%4.4%-1.5%1.6M-3.3M-131.9K1.3862.78N/AN/A2,4283,34236,1389,911
2015-09-17$30.75$31.0019.6%5.6%25.1%44.7%20.1%2.9%-0.1%1.9M-8.3M-130.0K0.4268.78N/AN/A3,1311,30236,2169,993
2015-09-18$30.97$31.0019.7%5.6%25.4%45.3%19.8%2.9%0.5%1.4M-10.8M-133.8K1.6861.72N/AN/A2,5454,26836,19410,418
2015-09-21$31.29$31.0018.9%5.4%25.7%40.8%18.3%3.6%0.9%2.7M-16.5M-129.8K0.2652.08N/AN/A3,58193132,9037,559
2015-09-22$30.85$31.0020.8%6.0%21.6%51.8%17.1%2.9%-1.2%2.5M-13.1M-133.8K0.2454.27N/AN/A3,88392034,1957,744
2015-09-23$31.09$31.0019.6%5.6%20.3%45.0%19.7%3.5%0.9%2.7M-15.6M-136.6K0.5347.69N/AN/A2,8311,49534,5607,742
2015-09-24$31.57$31.0020.1%5.8%20.5%47.8%19.8%2.5%-0.5%3.4M-23.9M-139.7K0.1845.83N/AN/A4,49479834,7067,286
2015-09-25$31.95$31.0019.2%5.5%20.5%42.1%18.7%1.9%0.8%4.0M-33.2M-148.4K0.3349.01N/AN/A2,68887436,3447,398
2015-09-28$31.98$31.0021.1%6.1%20.1%53.7%20.0%4.0%-1.0%4.0M-34.2M-148.8K0.3851.70N/AN/A2,6911,03036,4617,504
2015-09-29$32.20$31.0021.5%6.2%19.8%56.0%19.8%4.3%-1.0%4.0M-37.9M-152.2K0.2947.85N/AN/A2,68578336,5937,854
2015-09-30$32.91$31.0020.2%5.8%16.1%48.4%17.3%1.7%-0.8%4.2M-50.8M-153.8K0.2542.59N/AN/A3,66590537,0367,935