PPL Options History — December 2015

In December 2015, PPL traded between $32.69 and $34.43. ATM implied volatility averaged 19.0%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.8% (HV 20d: 21.8%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.44.

Notable Days

2015-12-07: Highest Volume — 5,412 contracts
2015-12-07: Largest IV spike — 18.3% change
2015-12-07: Highest IV Rank — 61.0%
2015-12-02: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.64	$32.69	$34.43	$34.20	$34.17
Max Pain	$32.05	$31.00	$34.00	$34.00	$32.00
ATM IV	19.0%	16.5%	22.4%	19.4%	17.8%
Expected Move	5.3%	4.7%	6.0%	5.6%	5.1%
HV 20d	21.8%	17.2%	25.4%	21.4%	17.2%
HV 60d	21.0%	19.7%	21.6%	19.7%	20.2%
IV Rank	37.4%	19.8%	61.0%	43.8%	28.5%
IV Percentile	60.8%	14.3%	93.7%	80.6%	40.9%
Term Structure	0.4%	-2.5%	2.1%	-2.5%	0.2%
VWIV	19.8%	15.8%	28.6%	19.5%	17.4%
Skew 25d	3.6%	2.1%	5.0%	5.0%	2.1%
Skew 10d	9.9%	-3.8%	15.9%	9.1%	-3.8%
Call IV 25d	17.0%	13.9%	20.0%	16.8%	16.6%
Put IV 25d	20.5%	18.2%	23.5%	21.9%	18.7%
Bid-Ask Spread %	55.94	42.92	64.27	56.81	42.92
Gamma HHI	0.26	0.20	0.34	0.24	0.33
Net GEX	4.0M	2.6M	6.0M	4.3M	6.0M
Net DEX	-28.6M	-42.8M	-13.6M	-39.0M	-41.4M
Net VEX	-158.3K	-170.7K	-143.8K	-168.3K	-163.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.02	2.56	0.34	0.29
Total Volume	3,217.045	494	5,412	494	4,732
Total OI	38,468.591	35,471	40,242	38,039	40,142

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-12-01	$34.20	$34.00	19.4%	5.6%	21.4%	43.8%	19.5%	5.0%	-2.5%	4.3M	-39.0M	-168.3K	0.34	56.81	N/A	N/A	369	125	31,360	6,679
2015-12-02	$33.14	$34.00	21.0%	6.0%	24.0%	53.2%	21.0%	2.4%	-2.3%	3.3M	-23.8M	-155.5K	0.75	53.82	N/A	N/A	2,096	1,582	32,664	6,899
2015-12-03	$32.99	$31.00	20.4%	5.3%	23.9%	49.3%	23.1%	4.0%	1.0%	3.0M	-19.8M	-148.3K	1.29	64.19	N/A	N/A	1,269	1,638	32,676	7,000
2015-12-04	$33.75	$31.00	18.9%	4.8%	25.4%	40.7%	17.2%	2.4%	0.6%	4.2M	-33.2M	-143.8K	2.56	59.97	N/A	N/A	628	1,610	32,759	7,169
2015-12-07	$33.57	$31.00	22.4%	4.9%	22.2%	61.0%	28.6%	3.9%	1.4%	3.6M	-27.3M	-151.3K	0.02	63.22	N/A	N/A	5,314	98	31,592	7,017
2015-12-08	$33.14	$32.00	21.6%	5.4%	22.7%	54.9%	21.9%	3.3%	0.7%	3.1M	-17.1M	-147.4K	0.57	63.35	N/A	N/A	1,895	1,078	30,351	7,281
2015-12-09	$33.41	$32.00	19.4%	5.6%	22.7%	41.6%	20.5%	4.2%	-0.7%	3.4M	-22.2M	-150.7K	0.16	55.00	N/A	N/A	4,242	672	30,401	7,321
2015-12-10	$32.89	$32.00	19.0%	5.5%	23.4%	39.2%	21.7%	3.1%	0.8%	2.9M	-17.8M	-157.3K	0.20	50.05	N/A	N/A	2,987	595	32,389	7,386
2015-12-11	$32.69	$32.00	21.0%	6.0%	23.4%	49.0%	23.2%	3.4%	-0.4%	2.8M	-16.1M	-154.7K	0.35	50.73	N/A	N/A	1,824	631	32,492	7,386
2015-12-14	$32.75	$32.00	20.8%	6.0%	23.3%	47.3%	23.0%	4.5%	-0.7%	2.6M	-13.6M	-150.9K	0.31	59.77	N/A	N/A	1,927	589	32,517	7,535
2015-12-15	$33.24	$32.00	19.9%	5.7%	21.4%	42.0%	19.3%	3.8%	-0.2%	3.4M	-22.0M	-158.0K	0.28	46.88	N/A	N/A	2,084	593	32,674	7,568
2015-12-16	$33.83	$32.00	18.0%	5.1%	21.3%	29.3%	20.6%	4.0%	1.2%	4.2M	-30.1M	-163.2K	0.51	58.34	N/A	N/A	1,909	973	32,133	7,529
2015-12-17	$33.95	$32.00	17.6%	5.1%	21.1%	27.2%	19.4%	2.6%	1.1%	4.6M	-33.4M	-167.9K	0.38	53.99	N/A	N/A	2,624	984	32,221	8,004
2015-12-18	$33.71	$32.00	17.1%	4.9%	20.9%	23.8%	16.4%	3.3%	1.5%	3.7M	-26.4M	-163.5K	0.14	52.44	N/A	N/A	4,531	618	31,714	8,059
2015-12-21	$33.36	$32.00	18.7%	5.4%	20.6%	33.9%	18.2%	2.9%	2.1%	3.6M	-23.5M	-159.7K	0.21	51.28	N/A	N/A	1,969	419	28,241	7,230
2015-12-22	$33.81	$32.00	17.1%	4.9%	20.5%	23.8%	17.5%	3.5%	0.8%	4.4M	-28.8M	-163.5K	0.23	59.39	N/A	N/A	2,257	527	28,497	7,284
2015-12-23	$34.28	$32.00	17.2%	4.9%	21.1%	24.5%	17.0%	5.0%	0.9%	4.8M	-37.8M	-170.7K	0.23	64.27	N/A	N/A	2,335	530	28,603	7,412
2015-12-24	$34.26	$32.00	16.5%	4.7%	20.9%	19.8%	16.5%	2.3%	1.8%	5.1M	-38.8M	-165.7K	0.25	61.45	N/A	N/A	2,061	518	29,319	7,540
2015-12-28	$34.13	$32.00	18.6%	5.3%	21.0%	33.1%	20.0%	3.8%	-0.3%	4.9M	-36.3M	-160.7K	0.23	58.83	N/A	N/A	1,956	446	29,338	7,570
2015-12-29	$34.43	$32.00	17.8%	5.1%	20.8%	28.3%	16.8%	4.6%	0.1%	5.5M	-42.8M	-158.3K	0.16	53.42	N/A	N/A	2,051	330	29,434	7,657
2015-12-30	$34.34	$32.00	17.7%	5.1%	20.8%	27.9%	15.8%	4.0%	0.5%	5.4M	-38.7M	-159.0K	0.18	50.46	N/A	N/A	4,360	799	29,605	7,661
2015-12-31	$34.17	$32.00	17.8%	5.1%	17.2%	28.5%	17.4%	2.1%	0.2%	6.0M	-41.4M	-163.5K	0.29	42.92	N/A	N/A	3,662	1,070	32,036	8,106