PPL Options History — November 2015

In November 2015, PPL traded between $33.05 and $34.51. ATM implied volatility averaged 18.4%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.7% (HV 20d: 22.1%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2015-11-20: Highest Volume — 6,887 contracts
  • 2015-11-23: Largest IV spike — 11.9% change
  • 2015-11-12: Highest IV Rank — 48.6%
  • 2015-11-12: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.77$33.05$34.51$34.14$34.04
Max Pain$33.85$33.00$34.00$33.00$34.00
ATM IV18.4%16.6%20.3%17.3%19.1%
Expected Move5.3%4.7%5.8%5.0%5.5%
HV 20d22.1%18.2%24.8%19.9%21.5%
HV 60d21.5%20.0%23.0%21.5%20.1%
IV Rank37.9%26.8%48.6%31.0%41.7%
IV Percentile59.9%21.8%88.1%39.7%73.4%
Term Structure-0.9%-2.0%1.7%-0.4%-1.4%
VWIV18.5%16.2%21.9%20.1%16.2%
Skew 25d4.0%2.0%5.8%2.0%4.7%
Skew 10d10.0%4.4%17.2%7.1%9.0%
Call IV 25d17.0%14.9%18.9%15.9%16.4%
Put IV 25d21.0%17.9%23.2%17.9%21.1%
Bid-Ask Spread %63.4148.7696.9154.8262.50
Gamma HHI0.240.200.330.290.24
Net GEX3.4M2.7M4.3M3.9M3.6M
Net DEX-31.4M-48.1M-19.0M-37.1M-33.6M
Net VEX-144.9K-159.5K-132.1K-157.7K-153.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.011.691.040.01
Total Volume2,898.254056,8872,7963,127
Total OI37,088.7532,57441,25435,97635,177

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$34.14$33.0017.3%5.0%19.9%31.0%20.1%2.0%-0.4%3.9M-37.1M-157.7K1.0454.82N/AN/A1,3731,42328,8057,171
2015-11-03$34.34$33.0017.5%5.0%19.3%32.6%21.9%4.9%-0.2%4.2M-41.8M-150.8K0.9558.59N/AN/A1,5331,46328,9937,217
2015-11-04$34.49$33.0017.5%5.0%18.3%32.4%17.4%2.2%0.7%4.3M-44.8M-153.5K1.6952.95N/AN/A7201,21529,4397,333
2015-11-05$34.24$34.0016.8%5.0%18.2%28.0%18.3%4.2%-1.1%4.1M-40.6M-159.5K1.5663.48N/AN/A7471,16929,4997,480
2015-11-06$33.08$34.0017.8%5.3%22.3%34.4%18.2%4.5%-0.7%2.7M-20.3M-134.3K0.4654.80N/AN/A1,60873528,2137,297
2015-11-09$33.05$34.0019.1%5.3%21.8%41.5%18.7%4.3%-1.2%2.7M-19.0M-132.4K0.3775.90N/AN/A29511028,2697,697
2015-11-10$33.27$34.0019.4%5.4%22.0%43.4%18.0%3.0%-1.3%2.9M-22.0M-144.9K0.7766.92N/AN/A1,6911,29829,6687,929
2015-11-11$33.42$34.0019.2%5.5%21.9%42.4%18.4%2.7%-0.9%3.0M-25.9M-140.8K0.7796.91N/AN/A1,6941,29829,7507,929
2015-11-12$33.31$34.0020.3%5.8%21.1%48.6%18.5%5.2%-2.0%3.1M-25.1M-140.8K0.6660.98N/AN/A2,0431,35130,5307,966
2015-11-13$33.06$34.0019.6%5.6%20.9%45.0%19.5%5.4%-0.5%2.8M-20.9M-138.9K0.7460.20N/AN/A1,6581,22930,6078,082
2015-11-16$34.03$34.0019.3%5.5%23.5%42.9%19.3%4.5%-0.6%3.9M-37.2M-138.9K0.9262.32N/AN/A45541929,3497,951
2015-11-17$33.40$34.0019.9%5.7%24.4%46.4%18.7%3.4%-1.8%3.3M-26.6M-132.1K1.2161.89N/AN/A1,2801,54830,9218,485
2015-11-18$33.71$34.0018.8%5.4%24.7%40.2%18.6%5.8%-0.4%3.0M-29.9M-135.9K1.0268.14N/AN/A1,2421,27231,1398,729
2015-11-19$34.10$34.0018.4%5.3%24.4%37.7%18.4%4.0%-1.2%3.7M-38.8M-133.7K0.6768.62N/AN/A2,1071,41031,3298,787
2015-11-20$34.51$34.0016.6%4.7%24.1%26.8%17.6%5.3%1.7%3.4M-48.1M-147.6K0.2377.60N/AN/A5,5801,30732,3348,920
2015-11-23$33.97$34.0018.5%5.3%24.8%38.5%18.1%3.5%-1.4%3.4M-32.0M-148.1K0.7252.94N/AN/A1,22988426,9405,634
2015-11-24$33.93$34.0017.7%5.1%24.8%33.7%17.7%3.1%-1.4%3.4M-29.6M-148.9K0.5559.99N/AN/A75641327,5526,433
2015-11-25$33.65$34.0017.7%5.1%22.7%33.6%18.3%2.3%-1.7%3.2M-26.9M-150.5K0.4648.76N/AN/A4,0611,85429,1176,855
2015-11-27$33.65$34.0018.2%5.2%22.2%36.6%18.9%4.8%-1.4%3.2M-28.1M-155.9K0.7559.97N/AN/A2,4931,87529,3906,859
2015-11-30$34.04$34.0019.1%5.5%21.5%41.7%16.2%4.7%-1.4%3.6M-33.6M-153.9K0.0162.50N/AN/A3,1042328,5196,658