PPL Options History — May 2016

In May 2016, PPL traded between $37.45 and $38.89. ATM implied volatility averaged 17.4%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.3% (HV 20d: 16.1%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-05-03: Highest Volume — 65,749 contracts
  • 2016-05-18: Largest IV spike — 19.7% change
  • 2016-05-18: Highest IV Rank — 42.9%
  • 2016-05-18: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.32$37.45$38.89$38.33$38.55
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV17.4%14.4%20.1%18.0%15.3%
Expected Move5.0%4.1%5.8%5.2%4.4%
HV 20d16.1%14.8%17.6%17.6%15.5%
HV 60d16.2%14.9%17.4%16.9%14.9%
IV Rank25.6%6.4%42.9%29.5%12.0%
IV Percentile32.8%0.8%75.0%42.5%2.4%
Term Structure-0.3%-1.6%1.5%-0.0%0.9%
VWIV18.4%15.3%21.1%18.2%18.4%
Skew 25d4.7%3.0%6.7%5.4%6.1%
Skew 10d9.2%4.3%14.1%12.9%12.7%
Call IV 25d14.9%11.4%16.4%14.1%13.2%
Put IV 25d19.7%18.1%21.9%19.6%19.3%
Bid-Ask Spread %34.2417.4058.7342.4422.31
Gamma HHI0.640.280.800.280.80
Net GEX22.9M5.7M32.0M5.7M32.0M
Net DEX-132.1M-192.1M-65.1M-68.4M-132.5M
Net VEX-452.5K-557.6K-239.6K-239.6K-421.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.011.260.320.37
Total Volume6,027.9522,00065,7494,6422,757
Total OI100,100.61941,155109,43241,155107,585

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$38.33$37.0018.0%5.2%17.6%29.5%18.2%5.4%-0.0%5.7M-68.4M-239.6K0.3242.44N/AN/A3,5191,12332,7838,372
2016-05-03$38.09$37.0017.8%5.1%16.4%28.6%18.4%4.8%-0.9%6.1M-65.1M-251.8K0.0144.30N/AN/A64,91083934,5718,571
2016-05-04$38.39$37.0018.5%5.3%16.4%32.5%18.5%5.2%-0.9%22.2M-156.1M-557.6K0.3940.25N/AN/A2,24588195,9008,869
2016-05-05$38.30$37.0018.2%5.2%16.2%30.7%17.8%4.0%-0.5%21.6M-152.1M-555.8K0.5545.03N/AN/A1,9011,03896,5569,013
2016-05-06$38.30$37.0018.0%5.3%16.2%29.7%19.1%4.3%-1.4%21.5M-146.8M-551.5K0.5043.28N/AN/A1,95897496,8759,366
2016-05-09$38.46$37.0018.9%5.2%16.2%35.4%18.9%4.3%-0.3%23.0M-158.9M-528.6K0.6547.01N/AN/A1,29284196,8989,599
2016-05-10$38.47$37.0018.1%5.2%16.0%30.3%18.6%3.0%-1.4%23.3M-158.3M-519.3K0.6047.22N/AN/A1,25075096,9029,629
2016-05-11$38.70$37.0016.4%4.7%15.4%19.5%19.4%4.9%-0.3%25.0M-174.2M-524.5K0.5050.31N/AN/A1,50175596,8949,658
2016-05-12$38.89$37.0016.5%4.7%15.3%19.9%19.9%3.3%0.1%25.6M-192.1M-524.9K0.6419.93N/AN/A1,6111,02697,1449,804
2016-05-13$38.88$37.0016.7%4.8%14.8%21.2%19.8%4.3%-0.1%26.2M-187.2M-523.2K0.8726.16N/AN/A1,1831,02597,45610,267
2016-05-16$38.77$37.0016.7%4.8%14.9%21.3%19.3%4.1%-0.1%26.6M-179.7M-497.8K1.0922.63N/AN/A1,2121,32297,52210,310
2016-05-17$38.59$37.0016.8%4.8%15.0%21.7%21.1%4.0%0.3%27.3M-168.5M-490.2K1.2617.40N/AN/A1,0461,32297,66910,698
2016-05-18$37.45$37.0020.1%5.8%17.2%42.9%19.6%5.7%-1.6%18.0M-77.5M-398.8K1.2529.29N/AN/A1,1931,49297,66310,839
2016-05-19$37.89$37.0018.3%5.2%15.7%31.3%19.0%5.5%-0.2%25.4M-108.0M-434.0K1.0631.12N/AN/A1,4771,56197,68611,125
2016-05-20$37.93$37.0017.7%5.1%15.6%27.8%17.9%4.7%-0.2%28.0M-105.5M-421.4K0.8219.65N/AN/A1,7961,46497,86111,571
2016-05-23$37.50$37.0019.3%5.5%16.3%37.7%16.6%5.1%-1.0%16.1M-70.4M-351.5K0.3718.44N/AN/A2,62696989,9879,370
2016-05-24$38.07$37.0017.1%4.9%17.0%23.7%17.8%4.5%-0.1%22.3M-98.2M-393.3K0.2433.97N/AN/A5,0351,20891,3019,399
2016-05-25$38.00$37.0016.7%4.8%16.8%21.2%16.4%4.6%0.0%22.4M-98.1M-409.2K0.5658.73N/AN/A1,40178594,8869,811
2016-05-26$38.51$37.0015.6%4.5%17.1%14.1%15.3%5.1%0.0%29.7M-134.5M-449.9K0.3124.11N/AN/A2,73485595,1319,961
2016-05-27$38.66$37.0014.4%4.1%16.6%6.4%16.1%6.7%1.5%31.9M-142.8M-458.6K0.2735.46N/AN/A2,91479696,36910,242
2016-05-31$38.55$37.0015.3%4.4%15.5%12.0%18.4%6.1%0.9%32.0M-132.5M-421.4K0.3722.31N/AN/A2,01074797,19910,386