PPL Options History — October 2015

In October 2015, PPL traded between $32.35 and $34.74. ATM implied volatility averaged 17.3%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.4% (HV 20d: 18.7%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2015-10-23: Highest Volume — 5,854 contracts
  • 2015-10-09: Largest IV drop — 25.4% change
  • 2015-10-01: Highest IV Rank — 51.3%
  • 2015-10-01: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.70$32.35$34.74$32.35$34.43
Max Pain$32.55$31.00$33.00$31.00$33.00
ATM IV17.3%14.3%20.7%20.7%16.9%
Expected Move5.0%4.4%5.9%5.9%4.8%
HV 20d18.7%17.2%20.9%17.8%20.2%
HV 60d20.1%18.9%21.5%18.9%21.5%
IV Rank31.3%13.5%51.3%51.3%28.5%
IV Percentile40.8%2.4%88.9%88.9%31.3%
Term Structure0.3%-0.9%1.5%1.2%0.3%
VWIV17.6%15.9%19.5%19.5%19.1%
Skew 25d3.0%0.8%4.3%1.7%4.3%
Skew 10d6.9%-3.3%12.3%-3.3%12.3%
Call IV 25d16.1%14.3%20.9%20.9%14.5%
Put IV 25d19.1%17.1%22.7%22.7%18.9%
Bid-Ask Spread %66.7332.0080.6132.0060.09
Gamma HHI0.260.210.340.310.27
Net GEX3.8M2.1M5.2M4.5M4.7M
Net DEX-53.1M-86.3M-28.9M-44.9M-47.3M
Net VEX-135.3K-160.9K-108.0K-157.5K-153.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.241.330.370.73
Total Volume3,499.2276415,8543,7474,018
Total OI39,656.522,43748,78946,39936,224

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$32.35$31.0020.7%5.9%17.8%51.3%19.5%1.7%1.2%4.5M-44.9M-157.5K0.3732.00N/AN/A2,7411,00638,3338,066
2015-10-02$32.98$31.0019.3%5.5%18.7%43.1%17.4%2.9%0.2%4.7M-56.0M-151.7K0.4245.31N/AN/A2,4051,01438,5668,099
2015-10-05$33.48$32.0020.0%5.4%17.2%47.1%17.8%3.6%-0.3%4.3M-68.5M-126.8K0.5079.66N/AN/A42721431,6817,804
2015-10-06$33.06$32.0019.3%5.4%18.4%43.2%19.1%4.0%-0.9%4.7M-60.9M-138.5K0.3579.02N/AN/A2,49986438,7418,277
2015-10-07$32.59$32.0017.9%5.0%18.0%34.5%18.3%4.3%-0.1%5.2M-50.8M-137.8K0.3778.61N/AN/A2,30685838,9588,408
2015-10-08$33.05$32.0019.2%5.1%18.3%42.1%17.9%3.7%0.1%4.9M-61.2M-127.5K0.3178.30N/AN/A2,88090739,0118,440
2015-10-09$33.01$32.0014.3%4.8%18.4%13.5%17.0%2.9%0.4%4.5M-63.0M-125.9K0.3277.61N/AN/A2,60984339,2398,540
2015-10-12$33.39$32.0017.6%5.0%18.5%33.1%17.0%2.8%-0.3%3.8M-68.9M-126.9K0.3977.20N/AN/A2,5861,00739,2528,513
2015-10-13$33.44$33.0016.6%5.1%18.6%26.8%17.7%3.1%-0.0%3.6M-70.2M-118.6K0.3375.80N/AN/A2,45081539,4598,704
2015-10-14$33.64$33.0016.3%4.7%18.5%25.1%18.3%3.2%0.9%4.0M-72.9M-118.0K0.3374.37N/AN/A2,67489339,6118,697
2015-10-15$34.18$33.0016.6%4.7%18.7%26.9%18.3%4.1%0.0%3.6M-80.3M-115.4K0.3774.66N/AN/A2,60095739,4708,894
2015-10-16$34.46$33.0016.6%4.8%18.7%27.2%16.5%2.5%-0.5%2.1M-86.3M-110.1K0.2869.80N/AN/A3,6251,01039,6819,108
2015-10-19$34.26$33.0016.9%4.8%19.0%28.7%16.6%2.7%1.2%2.1M-34.3M-108.0K0.2680.61N/AN/A3,13481517,9094,528
2015-10-20$34.31$33.0016.4%4.7%17.8%25.6%16.8%3.1%0.6%2.6M-36.6M-124.5K0.2467.59N/AN/A3,22579020,4784,697
2015-10-21$34.22$33.0016.5%4.7%17.9%26.3%16.3%0.8%0.7%2.8M-37.5M-130.9K0.4666.94N/AN/A1,51969722,9144,828
2015-10-22$34.74$33.0015.4%4.4%17.9%19.8%15.9%1.9%0.7%3.0M-43.9M-135.5K0.3677.22N/AN/A3,1151,13323,7304,873
2015-10-23$34.18$33.0016.8%4.8%19.2%28.2%16.3%2.1%0.3%3.1M-38.0M-153.0K0.3161.16N/AN/A4,4601,39425,1095,402
2015-10-26$34.30$33.0015.8%4.5%19.2%22.2%17.4%1.3%1.5%4.0M-42.3M-156.9K1.3358.27N/AN/A1,0961,45428,3625,805
2015-10-27$34.31$33.0016.8%4.8%19.2%28.5%17.0%3.9%0.0%3.9M-42.0M-160.9K1.1452.09N/AN/A1,3001,48028,3755,818
2015-10-28$33.35$33.0018.3%5.3%20.9%37.3%18.4%3.0%-0.5%3.6M-28.9M-145.8K1.3049.44N/AN/A1,5371,99928,5535,898
2015-10-29$33.78$33.0017.0%4.9%20.2%29.3%17.9%3.7%-0.1%3.6M-33.3M-153.1K0.8052.38N/AN/A2,0201,60728,6146,774
2015-10-30$34.43$33.0016.9%4.8%20.2%28.5%19.1%4.3%0.3%4.7M-47.3M-153.4K0.7360.09N/AN/A2,3211,69729,4136,811