PPL Options History — June 2016

In June 2016, PPL traded between $36.60 and $39.69. ATM implied volatility averaged 17.3%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.5% (HV 20d: 17.8%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2016-06-15: Highest Volume — 43,725 contracts
  • 2016-06-24: Largest IV spike — 28.6% change
  • 2016-06-24: Highest IV Rank — 65.7%
  • 2016-06-24: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.65$36.60$39.69$38.60$37.76
Max Pain$37.18$36.00$39.00$37.00$38.00
ATM IV17.3%14.9%23.6%15.2%16.4%
Expected Move4.9%4.3%6.8%4.4%4.7%
HV 20d17.8%13.4%26.1%15.3%26.1%
HV 60d16.1%14.8%19.5%14.8%19.5%
IV Rank25.1%9.5%65.7%11.8%19.2%
IV Percentile29.8%2.0%93.7%2.4%13.9%
Term Structure0.7%-0.7%2.8%0.6%2.8%
VWIV18.6%15.1%24.2%18.4%18.5%
Skew 25d4.1%2.6%7.5%5.1%2.6%
Skew 10d10.0%5.4%14.1%13.0%10.9%
Call IV 25d15.8%13.0%21.6%13.0%16.8%
Put IV 25d19.9%16.3%28.2%18.1%19.4%
Bid-Ask Spread %22.6114.1536.0733.2329.06
Gamma HHI0.620.150.990.810.21
Net GEX46.6M-321.8K321.2M33.8M1.4M
Net DEX-114.2M-228.7M19.5M-135.3M-5.8M
Net VEX-338.4K-424.6K-267.5K-415.7K-294.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.053.490.970.67
Total Volume8,987.1362,21943,7252,2194,703
Total OI89,048.86445,284115,364108,01766,717

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$38.60$37.0015.2%4.4%15.3%11.8%18.4%5.1%0.6%33.8M-135.3M-415.7K0.9733.23N/AN/A1,1271,09297,47210,545
2016-06-02$38.54$36.0015.1%4.3%15.1%10.8%15.8%3.9%1.7%33.7M-123.6M-397.2K0.3919.39N/AN/A1,65264497,58710,892
2016-06-03$39.29$36.0016.3%4.5%16.5%18.8%16.0%2.7%0.9%38.2M-201.8M-424.6K0.2628.66N/AN/A3,16081797,68610,923
2016-06-06$39.24$36.0016.5%4.5%16.5%20.1%16.3%3.2%1.0%40.3M-199.2M-391.1K0.5218.20N/AN/A1,79993898,51811,085
2016-06-07$39.21$36.0015.8%4.6%16.5%15.6%22.1%3.5%0.3%40.9M-193.8M-385.0K0.0514.15N/AN/A18,89297099,01411,350
2016-06-08$38.85$36.0014.9%4.3%16.9%9.5%15.1%3.8%1.4%45.9M-162.0M-388.9K0.1318.66N/AN/A7,39693693,70411,457
2016-06-09$39.25$36.0015.1%4.3%17.1%10.9%15.7%2.9%0.8%47.4M-220.3M-388.2K0.1520.58N/AN/A4,85774795,74511,471
2016-06-10$39.34$36.0016.0%4.6%17.1%17.0%18.3%3.4%0.2%44.6M-228.7M-378.7K0.2222.74N/AN/A4,62299996,26011,516
2016-06-13$38.74$36.0017.0%4.9%18.0%23.2%21.1%3.4%0.4%50.0M-148.6M-350.4K0.8221.37N/AN/A4,7283,85496,73211,828
2016-06-14$38.96$37.0017.4%5.0%18.1%25.5%21.0%4.0%0.7%62.4M-176.0M-374.6K0.7021.89N/AN/A4,7353,31798,08614,761
2016-06-15$38.81$37.0016.8%4.8%18.0%21.7%18.3%4.3%1.0%79.3M-146.1M-350.2K0.1532.89N/AN/A38,0715,65498,40314,899
2016-06-16$39.01$38.0017.1%4.9%14.1%23.8%19.7%4.4%0.9%160.9M-174.1M-335.1K1.7222.52N/AN/A2,2063,79997,56517,282
2016-06-17$39.03$38.0016.8%4.8%13.6%21.9%18.1%4.4%1.0%321.2M-200.7M-282.2K0.1917.57N/AN/A6,7891,26897,58017,784
2016-06-20$39.68$38.0016.0%4.6%14.6%16.5%16.2%2.9%1.3%4.8M-62.5M-271.5K0.2415.52N/AN/A4,4061,07331,21114,073
2016-06-21$39.69$38.0016.0%4.6%13.8%16.6%15.9%4.2%0.6%5.6M-65.0M-290.3K0.1617.00N/AN/A5,64993133,52514,299
2016-06-22$39.37$38.0018.1%5.2%13.5%30.2%19.0%4.2%-0.1%6.5M-60.5M-309.6K0.4125.36N/AN/A2,9531,21937,69814,517
2016-06-23$39.43$38.0018.4%5.3%13.4%32.0%18.8%5.8%-0.3%6.6M-62.6M-300.3K1.8236.07N/AN/A6,19511,24938,10014,927
2016-06-24$37.31$39.0023.6%6.8%23.7%65.7%20.9%7.5%-0.7%1.4M4.1M-304.2K3.4928.52N/AN/A3,66712,80941,06523,491
2016-06-27$36.60$38.0023.3%6.7%24.4%63.4%24.2%6.6%-0.7%217.5K17.0M-276.6K0.3121.01N/AN/A6,0421,89941,17424,443
2016-06-28$36.62$38.0019.9%5.7%24.5%41.8%20.6%4.5%1.0%-76.1K19.5M-268.5K0.4915.77N/AN/A3,6921,80341,62525,176
2016-06-29$37.04$38.0019.0%5.4%24.9%35.8%19.0%3.7%1.0%-321.8K14.3M-267.5K0.6217.21N/AN/A2,6851,67341,79425,095
2016-06-30$37.76$38.0016.4%4.7%26.1%19.2%18.5%2.6%2.8%1.4M-5.8M-294.8K0.6729.06N/AN/A2,8211,88241,84224,875