PPL Options History — August 2016

In August 2016, PPL traded between $34.59 and $37.57. ATM implied volatility averaged 17.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.7% (HV 20d: 13.8%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.55.

Notable Days

2016-08-12: Highest Volume — 12,784 contracts
2016-08-02: Largest IV spike — 11.6% change
2016-08-15: Highest IV Rank — 30.1%
2016-08-15: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.82	$34.59	$37.57	$37.57	$34.74
Max Pain	$36.61	$36.00	$37.00	$37.00	$36.00
ATM IV	17.5%	15.6%	18.7%	15.6%	16.0%
Expected Move	5.0%	4.5%	5.4%	4.5%	4.6%
HV 20d	13.8%	11.5%	15.6%	12.8%	15.4%
HV 60d	18.5%	18.0%	19.0%	18.6%	18.4%
IV Rank	21.7%	9.1%	30.1%	9.1%	11.4%
IV Percentile	34.3%	6.0%	55.2%	6.0%	6.3%
Term Structure	-0.2%	-1.3%	1.5%	0.0%	1.2%
VWIV	17.7%	15.9%	20.0%	18.3%	20.0%
Skew 25d	4.9%	3.7%	7.9%	4.2%	7.9%
Skew 10d	9.6%	6.3%	15.8%	9.1%	15.8%
Call IV 25d	15.1%	13.1%	16.8%	15.0%	13.1%
Put IV 25d	20.0%	19.0%	21.1%	19.2%	21.0%
Bid-Ask Spread %	29.48	17.57	54.21	30.30	27.52
Gamma HHI	0.23	0.14	0.42	0.42	0.15
Net GEX	2.9M	624.6K	6.2M	6.2M	624.6K
Net DEX	-1.8M	-37.1M	18.6M	-37.1M	17.8M
Net VEX	-264.5K	-335.9K	-202.8K	-335.9K	-207.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.05	1.86	0.89	0.20
Total Volume	4,504.217	1,645	12,784	2,536	3,647
Total OI	74,073.261	64,035	80,146	64,035	78,759

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$37.57	$37.00	15.6%	4.5%	12.8%	9.1%	18.3%	4.2%	0.0%	6.2M	-37.1M	-335.9K	0.89	30.30	N/A	N/A	1,345	1,191	49,535	14,500
2016-08-02	$37.19	$37.00	17.4%	5.0%	13.3%	21.5%	17.9%	4.4%	-0.2%	5.4M	-29.0M	-314.6K	1.04	21.53	N/A	N/A	1,536	1,595	49,564	14,675
2016-08-03	$37.05	$37.00	17.7%	5.1%	13.0%	23.4%	19.3%	4.7%	-0.6%	4.8M	-28.0M	-329.8K	0.99	28.45	N/A	N/A	1,358	1,338	49,843	15,264
2016-08-04	$36.99	$37.00	17.5%	4.9%	12.6%	21.9%	16.9%	4.8%	-0.5%	4.8M	-22.4M	-304.1K	0.34	23.67	N/A	N/A	3,868	1,307	49,969	15,476
2016-08-05	$36.74	$37.00	17.9%	4.9%	11.8%	24.4%	15.9%	5.9%	-0.9%	4.4M	-17.0M	-287.7K	0.08	33.26	N/A	N/A	10,401	873	50,214	15,501
2016-08-08	$36.65	$37.00	17.8%	4.9%	11.5%	23.6%	16.8%	3.7%	-0.6%	5.7M	-22.8M	-321.7K	1.86	21.32	N/A	N/A	1,573	2,932	58,691	15,651
2016-08-09	$36.26	$37.00	18.4%	5.1%	11.7%	27.7%	17.5%	5.4%	-0.7%	3.9M	-7.2M	-306.1K	0.52	36.93	N/A	N/A	1,587	826	59,123	17,763
2016-08-10	$36.00	$37.00	16.9%	4.8%	11.6%	17.7%	17.1%	5.3%	-0.6%	3.2M	-3.0M	-289.4K	0.56	34.93	N/A	N/A	1,680	943	59,316	17,815
2016-08-11	$36.38	$37.00	17.2%	4.9%	12.0%	19.6%	16.6%	4.9%	-0.4%	4.0M	-7.3M	-288.3K	0.60	26.96	N/A	N/A	1,928	1,152	59,353	17,931
2016-08-12	$36.29	$37.00	17.2%	4.9%	12.0%	19.5%	16.8%	4.8%	-0.2%	4.4M	-12.4M	-318.2K	0.11	44.82	N/A	N/A	11,567	1,217	59,789	18,237
2016-08-15	$35.42	$37.00	18.7%	5.4%	14.3%	30.1%	17.9%	4.9%	-1.3%	1.7M	8.3M	-240.7K	0.26	25.67	N/A	N/A	4,180	1,094	56,593	18,426
2016-08-16	$34.98	$37.00	18.4%	5.3%	14.6%	27.7%	18.8%	4.3%	-0.7%	1.0M	14.5M	-226.7K	0.73	18.33	N/A	N/A	1,801	1,312	57,351	18,756
2016-08-17	$35.37	$37.00	18.4%	5.3%	15.5%	28.2%	18.4%	5.3%	-0.2%	1.2M	13.1M	-224.6K	0.59	29.07	N/A	N/A	1,289	761	57,319	18,977
2016-08-18	$35.58	$37.00	16.7%	4.8%	15.6%	16.5%	17.9%	4.8%	0.4%	1.9M	9.8M	-234.6K	0.05	30.84	N/A	N/A	3,304	153	58,098	19,470
2016-08-19	$35.13	$36.00	18.2%	5.2%	14.7%	26.4%	17.7%	4.9%	-0.3%	2.3M	11.3M	-235.1K	0.39	19.77	N/A	N/A	2,560	986	60,627	19,519
2016-08-22	$35.35	$36.00	17.5%	5.0%	15.0%	21.6%	17.5%	4.6%	-0.1%	2.6M	1.3M	-238.8K	1.06	21.04	N/A	N/A	2,960	3,130	55,296	16,494
2016-08-23	$35.30	$36.00	17.5%	5.0%	15.1%	22.2%	16.6%	4.1%	-0.3%	2.4M	3.7M	-257.0K	1.01	36.80	N/A	N/A	2,886	2,924	56,579	18,870
2016-08-24	$35.26	$36.00	17.6%	5.1%	14.8%	22.8%	18.0%	5.2%	-0.8%	1.8M	9.5M	-235.9K	0.30	19.67	N/A	N/A	1,261	384	56,584	19,129
2016-08-25	$35.32	$36.00	18.0%	5.2%	14.5%	25.0%	17.2%	5.3%	-1.1%	2.0M	6.6M	-245.6K	0.14	17.57	N/A	N/A	5,875	810	56,411	19,362
2016-08-26	$34.68	$36.00	17.1%	4.9%	14.4%	19.0%	19.0%	4.2%	0.6%	742.0K	16.8M	-216.1K	0.40	45.32	N/A	N/A	2,413	966	57,342	19,410
2016-08-29	$34.98	$36.00	17.1%	4.9%	15.1%	19.2%	16.0%	4.6%	0.6%	900.0K	14.4M	-222.1K	0.14	30.02	N/A	N/A	4,814	682	57,970	19,700
2016-08-30	$34.59	$36.00	17.3%	5.0%	15.2%	20.5%	19.7%	5.1%	1.5%	634.5K	18.6M	-202.8K	0.29	54.21	N/A	N/A	2,462	726	58,729	19,704
2016-08-31	$34.74	$36.00	16.0%	4.6%	15.4%	11.4%	20.0%	7.9%	1.2%	624.6K	17.8M	-207.6K	0.20	27.52	N/A	N/A	3,028	619	58,952	19,807