PPL Options History — April 2016

In April 2016, PPL traded between $36.29 and $38.16. ATM implied volatility averaged 17.5%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.6% (HV 20d: 13.9%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2016-04-15: Highest Volume — 11,686 contracts
  • 2016-04-11: Largest IV spike — 17.4% change
  • 2016-04-26: Highest IV Rank — 41.5%
  • 2016-04-26: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.25$36.29$38.16$38.16$37.65
Max Pain$37.38$35.00$38.00$35.00$37.00
ATM IV17.5%15.3%19.9%15.3%16.5%
Expected Move5.1%4.4%5.7%4.4%4.7%
HV 20d13.9%11.3%16.4%11.5%16.4%
HV 60d18.1%16.4%19.8%19.4%16.6%
IV Rank26.4%12.5%41.5%12.5%20.0%
IV Percentile32.1%2.4%70.6%2.4%15.1%
Term Structure-0.2%-0.9%1.9%1.9%-0.0%
VWIV17.9%15.7%19.1%15.7%18.4%
Skew 25d3.4%2.2%4.6%3.0%4.0%
Skew 10d8.1%1.3%13.8%4.3%11.8%
Call IV 25d16.3%14.2%17.5%14.7%14.6%
Put IV 25d19.7%17.7%20.9%17.7%18.6%
Bid-Ask Spread %48.3733.6692.1033.6652.60
Gamma HHI0.290.190.550.330.28
Net GEX5.8M2.4M8.6M6.5M5.4M
Net DEX-61.9M-98.3M-29.9M-98.3M-52.8M
Net VEX-226.0K-243.3K-201.7K-229.4K-240.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.090.750.470.75
Total Volume3,453.9521,82511,6864,4802,443
Total OI44,971.09531,57651,52749,33340,539

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$38.16$35.0015.3%4.4%11.5%12.5%15.7%3.0%1.9%6.5M-98.3M-229.4K0.4733.66N/AN/A3,0571,42338,14011,193
2016-04-04$38.00$38.0016.6%4.9%11.3%20.5%17.8%2.9%0.2%7.1M-94.6M-227.5K0.5740.98N/AN/A2,5331,43738,35611,474
2016-04-05$37.31$38.0018.5%5.3%13.4%32.6%18.3%3.5%-0.5%7.4M-79.0M-231.4K0.5743.24N/AN/A2,1571,22238,43511,486
2016-04-06$37.59$38.0016.2%4.9%13.4%18.1%18.7%3.3%-0.3%7.9M-83.3M-230.3K0.6443.96N/AN/A1,7781,13038,80911,679
2016-04-07$37.37$38.0018.6%5.4%13.0%33.7%18.8%3.8%-0.6%7.6M-79.6M-228.2K0.7042.74N/AN/A1,6451,15138,91611,803
2016-04-08$37.35$38.0016.9%5.2%13.0%22.3%18.0%3.6%-0.2%7.9M-80.1M-224.9K0.5847.40N/AN/A1,8341,05638,94711,933
2016-04-11$37.23$38.0019.8%5.4%13.1%41.1%18.4%4.3%-0.9%8.0M-76.7M-219.1K0.6142.26N/AN/A1,64299539,06911,993
2016-04-12$37.50$38.0016.6%5.3%13.2%20.8%18.4%3.5%-0.9%8.6M-84.3M-212.5K0.6252.73N/AN/A1,7711,09139,12812,001
2016-04-13$37.07$38.0018.0%5.2%13.9%29.9%19.1%3.1%-0.4%7.9M-70.7M-210.8K0.4643.47N/AN/A2,2571,03339,28112,200
2016-04-14$37.03$38.0017.8%5.1%13.3%28.0%18.6%3.6%-0.2%8.5M-69.3M-208.9K0.4551.29N/AN/A2,4241,08338,99812,255
2016-04-15$37.52$38.0016.6%4.8%13.0%20.9%16.1%2.9%-0.6%2.4M-83.3M-201.7K0.0949.04N/AN/A10,69199539,17712,350
2016-04-18$37.72$37.0016.0%4.6%12.4%16.9%16.3%4.0%0.7%3.4M-45.5M-215.9K0.1892.10N/AN/A7,4811,34625,0436,533
2016-04-19$37.78$37.0016.3%4.7%12.2%18.9%17.0%3.1%0.1%4.7M-53.2M-242.7K0.5349.52N/AN/A1,8931,00030,3977,161
2016-04-20$37.04$37.0017.9%5.1%14.0%29.3%17.5%2.2%-0.2%4.3M-42.3M-243.3K0.6449.82N/AN/A1,39088331,3607,457
2016-04-21$36.29$37.0019.1%5.5%15.7%36.4%18.6%3.0%-0.3%3.6M-29.9M-227.2K0.5941.22N/AN/A1,28576331,5957,605
2016-04-22$36.53$37.0017.8%5.1%15.9%28.6%18.7%3.4%-0.3%3.8M-32.6M-230.8K0.6547.97N/AN/A1,24580531,8637,678
2016-04-25$36.53$37.0018.5%5.3%15.9%32.9%18.7%3.3%-0.8%3.8M-31.8M-231.7K0.6143.62N/AN/A1,15270131,9237,762
2016-04-26$36.50$37.0019.9%5.7%15.3%41.5%17.7%3.6%-0.9%3.8M-31.2M-223.2K0.5350.91N/AN/A1,19463132,0047,806
2016-04-27$36.87$37.0017.5%5.0%15.7%26.4%17.5%2.4%-0.5%4.5M-38.4M-230.9K0.4549.88N/AN/A1,29859032,0227,824
2016-04-28$37.16$37.0017.1%4.9%15.6%23.8%17.1%4.6%0.3%4.9M-42.2M-235.0K0.5047.39N/AN/A1,35367532,2457,953
2016-04-29$37.65$37.0016.5%4.7%16.4%20.0%18.4%4.0%-0.0%5.4M-52.8M-240.7K0.7552.60N/AN/A1,3981,04532,3968,143