PPL Options History — January 2016

In January 2016, PPL traded between $32.80 and $35.06. ATM implied volatility averaged 20.8%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.5% (HV 20d: 19.3%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.34.

Notable Days

  • 2016-01-06: Highest Volume — 6,036 contracts
  • 2016-01-08: Largest IV spike — 20.4% change
  • 2016-01-20: Highest IV Rank — 62.6%
  • 2016-01-20: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.77$32.80$35.06$33.64$35.06
Max Pain$34.00$34.00$34.00$34.00$34.00
ATM IV20.8%18.9%23.2%19.2%18.9%
Expected Move5.8%5.4%6.6%5.6%5.4%
HV 20d19.3%16.1%23.7%18.2%23.7%
HV 60d21.0%20.1%22.4%20.2%21.6%
IV Rank47.5%35.2%62.6%37.4%35.2%
IV Percentile82.4%59.5%94.4%72.2%59.5%
Term Structure-0.1%-2.1%2.1%-0.5%1.0%
VWIV19.8%17.8%22.6%18.2%19.1%
Skew 25d4.3%1.9%6.0%4.5%3.7%
Skew 10d10.3%4.7%16.9%5.8%8.2%
Call IV 25d18.6%16.8%21.2%17.9%17.3%
Put IV 25d22.9%21.0%25.4%22.4%21.0%
Bid-Ask Spread %62.4648.0069.6865.0767.93
Gamma HHI0.290.250.400.270.30
Net GEX4.3M1.7M6.7M5.2M4.6M
Net DEX-28.2M-49.9M-9.9M-27.3M-49.9M
Net VEX-169.9K-215.9K-144.5K-149.2K-215.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.110.740.320.13
Total Volume3,884.9472,2176,0365,2373,932
Total OI40,620.21126,59548,14842,18239,606

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$33.64$34.0019.2%5.6%18.2%37.4%18.2%4.5%-0.5%5.2M-27.3M-149.2K0.3265.07N/AN/A3,9821,25533,7848,398
2016-01-05$34.00$34.0018.9%5.5%16.7%35.6%18.1%4.3%-0.8%6.1M-33.4M-160.4K0.2359.52N/AN/A3,59781734,2288,910
2016-01-06$33.92$34.0019.9%5.6%16.6%41.6%18.6%3.0%-0.5%6.1M-35.1M-157.2K0.1166.31N/AN/A5,45358334,3018,947
2016-01-07$33.65$34.0019.0%5.5%16.1%35.9%18.9%3.5%-0.5%5.5M-28.7M-158.1K0.1168.42N/AN/A3,69741935,5049,144
2016-01-08$33.35$34.0022.9%6.0%16.2%60.7%18.7%4.4%-2.1%4.8M-22.8M-150.6K0.2368.94N/AN/A2,71361735,8609,188
2016-01-11$33.94$34.0022.8%5.7%16.3%60.5%19.5%4.2%-0.6%6.7M-36.9M-166.1K0.1962.60N/AN/A3,22060136,7419,335
2016-01-12$33.52$34.0023.0%5.4%16.8%61.4%17.8%5.4%-0.3%5.2M-25.8M-152.3K0.2969.68N/AN/A2,26965237,9009,527
2016-01-13$33.54$34.0019.4%5.5%16.8%38.2%18.6%4.5%-0.4%5.2M-26.2M-155.2K0.2568.56N/AN/A1,76844937,9939,720
2016-01-14$34.17$34.0019.8%5.7%17.3%41.1%19.3%4.0%-0.4%6.5M-44.4M-162.3K0.2759.24N/AN/A2,11956438,0689,723
2016-01-15$33.34$34.0022.3%6.4%18.5%57.4%21.7%5.6%-1.0%1.7M-24.3M-144.5K0.4767.10N/AN/A2,2991,07038,3529,796
2016-01-19$33.75$34.0020.8%6.0%19.0%47.3%20.7%5.8%0.1%1.9M-14.8M-150.3K0.1865.88N/AN/A4,93389520,1786,417
2016-01-20$32.80$34.0023.2%6.6%21.4%62.6%22.4%4.4%0.5%1.8M-9.9M-150.7K0.5554.41N/AN/A2,5611,40423,6546,842
2016-01-21$33.27$34.0022.9%6.6%21.8%61.2%22.6%4.4%0.7%2.1M-13.4M-169.1K0.2248.00N/AN/A4,7181,05624,1477,517
2016-01-22$33.99$34.0020.6%5.9%22.6%46.4%19.7%6.0%-0.0%3.5M-27.2M-195.5K0.3552.07N/AN/A2,9781,03827,8827,542
2016-01-25$33.74$34.0021.7%6.2%22.2%53.5%22.1%1.9%-0.9%3.4M-27.0M-194.7K0.5765.57N/AN/A2,0171,14729,2377,658
2016-01-26$33.79$34.0020.4%5.9%22.2%45.0%21.8%3.3%-0.4%3.7M-26.6M-197.4K0.7458.23N/AN/A1,6241,19930,1228,009
2016-01-27$33.84$34.0019.7%5.7%22.2%40.7%18.6%5.6%1.1%3.7M-25.8M-195.8K0.6768.90N/AN/A1,6911,12730,4028,118
2016-01-28$34.36$34.0019.7%5.7%22.7%40.6%20.0%4.2%2.1%4.3M-36.8M-203.0K0.5350.38N/AN/A2,1931,15730,8068,228
2016-01-29$35.06$34.0018.9%5.4%23.7%35.2%19.1%3.7%1.0%4.6M-49.9M-215.9K0.1367.93N/AN/A3,48344931,2148,392