PPL Options History — March 2016

In March 2016, PPL traded between $34.76 and $38.08. ATM implied volatility averaged 17.9%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.0% (HV 20d: 18.9%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2016-03-07: Highest Volume — 13,907 contracts
  • 2016-03-16: Largest IV drop — 11.5% change
  • 2016-03-01: Highest IV Rank — 47.0%
  • 2016-03-01: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.62$34.76$38.08$34.76$38.08
Max Pain$34.82$34.00$35.00$35.00$35.00
ATM IV17.9%16.0%20.7%20.7%16.2%
Expected Move5.1%4.6%5.9%5.9%4.6%
HV 20d18.9%11.4%20.8%20.5%11.6%
HV 60d20.1%19.5%20.9%20.9%19.5%
IV Rank28.8%16.6%47.0%47.0%18.1%
IV Percentile35.1%5.2%78.6%78.6%6.7%
Term Structure0.4%-0.7%1.6%0.1%0.7%
VWIV19.8%16.8%31.2%20.6%18.2%
Skew 25d4.0%2.1%7.2%4.2%2.1%
Skew 10d9.9%2.9%15.6%6.2%13.3%
Call IV 25d16.1%13.1%19.7%19.7%14.6%
Put IV 25d20.0%16.8%23.9%23.9%16.8%
Bid-Ask Spread %39.5032.8751.1144.0439.54
Gamma HHI0.320.250.670.330.30
Net GEX6.6M3.5M17.4M3.5M6.5M
Net DEX-63.4M-94.6M-22.5M-23.0M-94.6M
Net VEX-243.4K-267.7K-218.0K-224.8K-228.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.080.620.410.42
Total Volume5,161.4092,51013,9072,5104,711
Total OI50,764.18244,51155,72250,69548,353

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$34.76$35.0020.7%5.9%20.5%47.0%20.6%4.2%0.1%3.5M-23.0M-224.8K0.4144.04N/AN/A1,78372738,64512,050
2016-03-02$34.93$35.0020.2%5.8%19.9%43.4%21.6%5.9%-0.1%3.8M-22.5M-218.0K0.6251.11N/AN/A1,58198138,76412,107
2016-03-03$35.23$34.0019.7%5.3%20.0%40.7%18.2%3.9%0.9%4.2M-28.4M-220.8K0.2034.91N/AN/A4,18382038,82012,079
2016-03-04$35.70$34.0018.7%5.2%20.7%34.1%18.8%4.2%0.1%4.9M-40.8M-235.4K0.3339.31N/AN/A2,43781339,51412,078
2016-03-07$36.03$34.0020.0%5.1%20.6%42.1%19.7%4.8%0.4%5.4M-50.4M-231.0K0.0835.23N/AN/A12,8401,06739,83012,145
2016-03-08$35.94$34.0019.4%5.3%20.3%38.4%16.8%4.6%-0.2%4.8M-45.8M-246.5K0.1137.36N/AN/A9,3841,03339,15912,352
2016-03-09$36.43$35.0018.5%5.3%20.7%33.0%19.3%4.5%-0.3%6.1M-60.0M-264.5K0.1435.23N/AN/A5,57575540,17412,525
2016-03-10$36.52$35.0017.7%5.1%20.6%27.6%21.1%3.8%0.0%6.4M-62.0M-267.7K0.1838.55N/AN/A4,30675441,23712,723
2016-03-11$36.53$35.0016.9%4.8%20.3%22.3%21.5%3.6%0.6%6.7M-64.0M-265.0K0.1737.10N/AN/A4,27071541,34112,751
2016-03-14$36.38$35.0018.8%5.4%20.2%34.6%17.6%2.9%-0.4%6.3M-58.9M-255.0K0.1634.86N/AN/A4,24167941,44612,806
2016-03-15$36.49$35.0018.7%5.4%20.1%33.9%22.8%3.7%-0.7%6.7M-61.3M-252.9K0.1839.85N/AN/A4,26375241,49312,839
2016-03-16$36.93$35.0016.5%4.7%20.5%20.2%20.8%4.5%0.7%8.9M-75.6M-246.6K0.1541.38N/AN/A4,81471341,61912,848
2016-03-17$37.49$35.0017.1%4.9%20.4%24.1%18.0%3.0%0.1%9.7M-92.4M-237.4K0.2437.57N/AN/A3,01072741,83012,880
2016-03-18$37.07$35.0017.1%4.9%20.6%23.5%17.2%3.8%0.5%17.4M-83.7M-242.1K0.1734.53N/AN/A5,70999942,67413,048
2016-03-21$37.32$35.0017.0%4.9%20.5%23.4%17.7%3.3%0.8%5.8M-74.9M-242.6K0.2845.45N/AN/A4,0681,13335,2639,248
2016-03-22$37.03$35.0017.1%4.9%20.8%24.0%18.1%3.2%0.7%5.9M-70.4M-254.0K0.3035.08N/AN/A3,3841,02235,9799,638
2016-03-23$37.09$35.0016.5%4.7%20.7%19.8%17.8%3.0%1.4%6.4M-72.0M-254.3K0.3732.87N/AN/A2,6801,00337,1429,865
2016-03-24$37.19$35.0016.7%4.8%20.3%21.1%31.2%5.1%1.6%6.4M-72.7M-249.4K0.3944.93N/AN/A2,6591,04736,82510,073
2016-03-28$37.17$35.0017.7%5.1%12.2%27.9%18.8%2.5%0.5%6.4M-73.2M-240.3K0.3738.28N/AN/A2,7591,03436,89610,265
2016-03-29$37.56$35.0016.0%4.6%12.4%16.6%19.4%7.2%1.0%6.6M-80.7M-239.9K0.3444.06N/AN/A3,2731,11737,03510,272
2016-03-30$37.72$35.0016.2%4.7%11.4%18.3%20.3%3.6%0.6%6.9M-87.1M-237.1K0.4147.69N/AN/A2,6411,08937,73810,443
2016-03-31$38.08$35.0016.2%4.6%11.6%18.1%18.2%2.1%0.7%6.5M-94.6M-228.7K0.4239.54N/AN/A3,3251,38637,80810,545