PPL Options History — July 2016

In July 2016, PPL traded between $36.95 and $37.71. ATM implied volatility averaged 17.7%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 4.6% (HV 20d: 22.3%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2016-07-29: Highest Volume — 13,213 contracts
  • 2016-07-12: Largest IV spike — 22.3% change
  • 2016-07-12: Highest IV Rank — 48.1%
  • 2016-07-07: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.33$36.95$37.71$37.55$37.71
Max Pain$37.95$37.00$38.00$38.00$37.00
ATM IV17.7%14.8%20.9%16.1%14.8%
Expected Move5.1%4.3%5.6%4.6%4.3%
HV 20d22.3%12.9%25.5%25.0%12.9%
HV 60d19.2%18.5%19.7%19.5%18.6%
IV Rank27.8%9.4%48.1%17.2%9.4%
IV Percentile39.8%1.6%81.3%9.9%1.6%
Term Structure0.1%-0.7%1.5%1.5%-0.1%
VWIV18.4%15.6%20.6%16.1%17.0%
Skew 25d4.4%2.2%5.4%2.2%3.8%
Skew 10d9.5%6.4%12.1%6.4%10.2%
Call IV 25d15.9%14.1%17.6%16.4%14.1%
Put IV 25d20.4%17.9%22.1%18.5%17.9%
Bid-Ask Spread %25.2117.6537.9425.2925.74
Gamma HHI0.260.130.310.200.31
Net GEX2.6M469.3K4.8M762.5K4.8M
Net DEX-11.7M-31.5M14.2M173.8K-31.5M
Net VEX-280.8K-303.6K-245.5K-280.5K-296.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.070.650.170.10
Total Volume5,105.552,43813,2136,10713,213
Total OI63,284.5546,99479,43166,70754,106

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$37.55$38.0016.1%4.6%25.0%17.2%16.1%2.2%1.5%762.5K173.8K-280.5K0.1725.29N/AN/A5,23886942,04824,659
2016-07-05$37.62$38.0018.1%5.3%25.0%30.1%20.6%4.4%-0.4%2.1M-6.6M-279.9K0.3123.07N/AN/A2,30372044,72524,656
2016-07-06$37.27$38.0019.9%5.5%25.1%41.9%20.0%4.5%-0.5%709.7K8.7M-253.1K0.5124.04N/AN/A2,3321,19244,76624,669
2016-07-07$36.95$38.0019.4%5.6%25.1%38.6%19.9%4.8%-0.5%469.3K14.2M-245.5K0.1026.27N/AN/A10,8591,06344,24224,983
2016-07-08$37.45$38.0017.5%5.3%25.4%26.6%18.7%5.3%-0.4%1.8M-2.8M-303.6K0.1024.45N/AN/A10,7911,03853,32525,111
2016-07-11$37.65$38.0017.1%5.1%25.5%23.7%19.2%5.4%-0.2%1.4M-8.0M-296.8K0.0728.54N/AN/A10,74373053,48925,173
2016-07-12$37.32$38.0020.9%5.4%25.1%48.1%18.0%4.9%-0.2%1.8M-1.1M-292.9K0.4727.45N/AN/A2,01794053,69025,212
2016-07-13$37.50$38.0018.9%5.4%25.1%35.1%18.7%5.0%-0.7%1.8M-4.8M-290.2K0.5930.55N/AN/A1,58994254,13925,249
2016-07-14$37.10$38.0018.3%5.2%25.3%31.3%19.0%3.9%-0.1%2.1M8.1M-270.0K0.4025.02N/AN/A1,96879154,18425,247
2016-07-15$37.15$38.0017.6%5.1%25.1%27.3%17.8%4.9%0.1%2.7M2.5M-269.3K0.4535.81N/AN/A2,4891,12354,67724,738
2016-07-18$37.33$38.0017.9%5.1%25.3%29.1%17.9%4.2%0.9%3.0M-22.5M-277.1K0.2837.94N/AN/A3,29292934,31512,679
2016-07-19$37.11$38.0017.6%5.1%24.3%27.2%18.8%4.4%0.7%3.2M-21.6M-275.6K0.5622.47N/AN/A1,57187636,42312,927
2016-07-20$36.97$38.0017.4%5.0%24.3%25.9%18.8%3.3%0.4%3.1M-19.6M-270.3K0.4022.54N/AN/A2,03881336,89813,039
2016-07-21$37.12$38.0017.6%5.1%24.3%27.3%19.1%5.3%-0.6%3.2M-19.6M-275.7K0.2925.07N/AN/A2,97787537,31213,175
2016-07-22$37.67$38.0014.9%4.3%25.1%10.0%15.6%3.9%1.1%4.4M-31.1M-302.0K0.3321.86N/AN/A2,83892338,81313,270
2016-07-25$37.47$38.0017.6%5.0%15.6%26.8%16.8%5.0%-0.2%4.2M-28.6M-290.9K0.3618.46N/AN/A2,51891239,33713,520
2016-07-26$37.35$38.0017.4%5.0%13.9%25.5%18.5%4.3%1.1%4.0M-25.0M-280.3K0.3721.46N/AN/A2,53794639,56513,674
2016-07-27$36.99$38.0017.8%5.1%14.4%28.6%18.1%3.8%-0.2%3.5M-21.6M-283.2K0.5620.51N/AN/A1,71696239,78313,921
2016-07-28$37.25$38.0017.6%5.1%14.0%27.3%20.1%5.1%0.2%3.9M-23.8M-283.9K0.6517.65N/AN/A1,48095839,91914,033
2016-07-29$37.71$37.0014.8%4.3%12.9%9.4%17.0%3.8%-0.1%4.8M-31.5M-296.2K0.1025.74N/AN/A11,9751,23840,05214,054