PPL Options History — February 2016

In February 2016, PPL traded between $34.83 and $36.63. ATM implied volatility averaged 22.3%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.9% (HV 20d: 21.4%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2016-02-19: Highest Volume — 10,772 contracts
  • 2016-02-08: Largest IV spike — 23.2% change
  • 2016-02-08: Highest IV Rank — 90.4%
  • 2016-02-11: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.02$34.83$36.63$35.87$35.09
Max Pain$34.85$34.00$35.00$34.00$35.00
ATM IV22.3%19.6%27.5%19.6%21.9%
Expected Move6.4%5.6%7.5%5.6%6.3%
HV 20d21.4%16.5%24.8%24.8%22.0%
HV 60d20.9%19.9%22.2%22.1%21.8%
IV Rank57.3%39.5%90.4%39.5%54.5%
IV Percentile87.7%75.0%99.2%75.0%87.3%
Term Structure-1.2%-2.8%0.5%0.5%-1.4%
VWIV22.3%19.3%25.2%20.6%21.9%
Skew 25d4.8%2.5%6.9%2.7%4.5%
Skew 10d11.1%5.0%19.5%13.6%7.3%
Call IV 25d20.1%16.3%23.1%19.6%19.5%
Put IV 25d24.9%22.3%29.2%22.3%24.1%
Bid-Ask Spread %58.4935.0572.8843.9744.13
Gamma HHI0.270.220.330.320.31
Net GEX4.7M3.8M5.7M4.5M4.0M
Net DEX-68.4M-93.1M-26.4M-69.3M-29.5M
Net VEX-247.8K-277.0K-226.5K-227.2K-229.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.111.170.410.44
Total Volume4,190.22,45710,7724,3292,695
Total OI51,784.3542,03258,97142,03250,126

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$35.87$34.0019.6%5.6%24.8%39.5%20.6%2.7%0.5%4.5M-69.3M-227.2K0.4143.97N/AN/A3,0771,25233,4518,581
2016-02-02$36.34$34.0020.8%6.0%24.1%47.7%22.4%5.0%0.0%4.6M-79.8M-229.8K0.7848.46N/AN/A2,0271,57435,2669,058
2016-02-03$36.63$34.0021.0%6.0%24.1%49.0%21.9%2.5%0.0%4.2M-86.5M-226.5K1.1749.09N/AN/A3,6624,30035,9109,528
2016-02-04$36.63$35.0021.7%6.2%24.0%53.4%20.5%5.4%-1.2%4.1M-84.7M-255.3K0.4555.43N/AN/A4,1631,87638,15612,251
2016-02-05$36.21$35.0022.3%6.6%24.3%57.3%22.6%4.4%-1.9%4.6M-78.3M-264.9K0.8962.83N/AN/A1,6981,51239,86012,566
2016-02-08$35.83$35.0027.5%7.1%24.4%90.4%24.5%4.8%-2.6%4.5M-69.3M-265.9K0.6769.21N/AN/A2,1681,44340,29912,840
2016-02-09$36.12$35.0026.1%7.4%23.9%81.2%22.5%6.5%-2.1%4.5M-77.1M-268.3K0.3670.93N/AN/A3,4261,25041,18313,170
2016-02-10$36.28$35.0024.6%7.1%23.2%72.2%23.7%4.2%-1.6%5.0M-81.5M-268.4K0.5572.88N/AN/A2,6081,43542,92813,261
2016-02-11$35.91$35.0026.0%7.5%23.7%81.0%25.2%6.6%-2.8%5.0M-75.3M-277.0K0.6171.14N/AN/A2,1601,32543,93613,403
2016-02-12$35.71$35.0023.0%6.6%23.2%61.5%24.8%4.8%-0.1%5.4M-71.3M-268.8K0.8170.93N/AN/A1,4521,18344,32513,518
2016-02-16$35.96$35.0023.6%6.8%20.9%65.2%24.1%5.1%-1.8%5.6M-77.3M-256.2K0.7163.69N/AN/A1,5251,08844,36513,607
2016-02-17$35.95$35.0021.8%6.3%20.7%54.1%21.8%4.9%-0.6%5.7M-79.3M-245.8K0.3861.34N/AN/A1,78067744,61313,824
2016-02-18$36.53$35.0020.2%5.8%17.5%43.8%21.7%4.5%-0.7%5.4M-93.1M-247.1K0.2054.16N/AN/A4,97198045,07013,901
2016-02-19$36.21$35.0021.5%6.2%17.8%51.8%19.3%5.0%-1.1%3.8M-88.1M-235.5K0.1162.92N/AN/A9,7101,06244,02414,064
2016-02-22$36.03$35.0020.3%5.8%16.9%44.4%21.2%3.8%-0.3%4.7M-50.3M-240.1K0.9959.75N/AN/A1,3821,37036,5229,937
2016-02-23$36.10$35.0020.1%5.8%16.5%43.1%21.2%4.3%-0.8%4.8M-51.1M-241.2K0.7560.49N/AN/A1,5121,14136,81510,361
2016-02-24$35.91$35.0021.3%6.1%16.7%50.6%22.3%3.8%-1.8%4.7M-46.3M-240.9K0.4455.07N/AN/A1,81980137,01510,701
2016-02-25$36.34$35.0021.5%6.2%17.0%52.0%21.9%6.9%-2.8%5.0M-54.0M-240.0K0.3258.34N/AN/A2,50879637,08810,855
2016-02-26$34.83$35.0021.6%6.2%23.0%52.9%22.4%5.7%-1.5%3.8M-26.4M-228.4K0.5635.05N/AN/A2,8171,57938,28011,029
2016-02-29$35.09$35.0021.9%6.3%22.0%54.5%21.9%4.5%-1.4%4.0M-29.5M-229.0K0.4444.13N/AN/A1,87182438,29411,832