PPL Options History — September 2016

In September 2016, PPL traded between $33.68 and $35.84. ATM implied volatility averaged 17.8%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.7% (HV 20d: 21.5%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2016-09-23: Highest Volume — 42,469 contracts
  • 2016-09-09: Largest IV spike — 23.9% change
  • 2016-09-13: Highest IV Rank — 58.9%
  • 2016-09-14: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.88$33.68$35.84$34.39$34.70
Max Pain$36.00$36.00$36.00$36.00$36.00
ATM IV17.8%15.3%22.1%18.5%16.1%
Expected Move5.0%4.4%5.5%5.3%4.6%
HV 20d21.5%15.6%23.8%15.6%22.9%
HV 60d18.9%17.4%20.9%18.4%17.5%
IV Rank26.5%8.0%58.9%31.6%13.3%
IV Percentile41.2%4.0%92.9%54.4%9.9%
Term Structure0.9%-0.7%2.2%-0.7%2.2%
VWIV17.3%13.8%19.3%17.0%16.3%
Skew 25d4.0%2.6%7.5%2.6%4.9%
Skew 10d8.9%3.0%12.5%3.0%10.6%
Call IV 25d16.0%11.7%18.3%16.2%15.3%
Put IV 25d20.0%18.6%21.9%18.7%20.2%
Bid-Ask Spread %28.9315.8247.6537.8535.16
Gamma HHI0.200.130.320.150.25
Net GEX2.0M170.4K5.4M468.1K2.5M
Net DEX3.9M-34.9M32.2M19.6M-2.0M
Net VEX-277.3K-428.2K-205.0K-205.0K-342.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.030.910.350.31
Total Volume7,551.812,92242,4693,2765,541
Total OI87,066.38179,31295,91579,60795,915

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$34.39$36.0018.5%5.3%15.6%31.6%17.0%2.6%-0.7%468.1K19.6M-205.0K0.3537.85N/AN/A2,42085659,75019,857
2016-09-02$35.03$36.0015.3%4.4%17.4%8.0%13.8%7.5%1.8%868.3K13.6M-217.1K0.2925.36N/AN/A2,57673759,86020,113
2016-09-06$35.35$36.0016.2%4.8%17.9%14.3%16.3%4.0%1.0%1.4M7.4M-221.6K0.6319.92N/AN/A4,3772,77960,08520,185
2016-09-07$34.76$36.0016.5%4.7%18.4%16.7%17.5%3.7%1.2%985.6K18.4M-219.8K0.6523.58N/AN/A4,2922,80862,14622,174
2016-09-08$34.92$36.0015.7%4.8%18.4%10.3%14.9%3.9%1.1%1.2M15.7M-222.6K0.6833.44N/AN/A5,7013,85862,05922,288
2016-09-09$33.68$36.0019.4%5.4%21.6%38.6%18.7%2.7%0.4%170.4K32.2M-206.6K0.6918.95N/AN/A4,8523,33163,07523,475
2016-09-12$34.22$36.0021.5%5.3%22.7%54.9%17.7%4.6%0.2%548.3K25.3M-223.1K0.5047.65N/AN/A6,5863,30263,20723,830
2016-09-13$33.71$36.0022.1%5.5%21.8%58.9%19.3%3.3%-0.1%236.7K30.3M-217.8K0.6728.88N/AN/A4,7013,13164,29823,904
2016-09-14$34.08$36.0019.3%5.5%21.9%38.3%18.5%4.2%-0.5%194.5K26.1M-225.6K0.8621.12N/AN/A4,3003,69765,19924,046
2016-09-15$34.67$36.0017.5%5.0%22.5%24.4%18.1%4.1%0.8%1.1M17.0M-249.7K0.9031.55N/AN/A3,9103,52865,42824,716
2016-09-16$35.07$36.0017.9%5.1%22.8%27.2%18.2%4.4%0.5%2.0M8.2M-264.7K0.9128.70N/AN/A4,1803,79065,62824,734
2016-09-19$35.10$36.0018.1%5.2%22.3%28.6%18.4%4.7%0.9%1.9M-855.5K-262.7K0.4446.17N/AN/A3,4641,53358,47420,838
2016-09-20$34.80$36.0018.1%5.2%22.4%28.6%18.1%4.1%1.3%1.6M2.0M-265.2K0.5215.82N/AN/A2,2881,20060,35021,537
2016-09-21$35.47$36.0018.0%5.2%23.5%28.4%18.8%3.6%0.6%3.1M-11.8M-296.4K0.3038.66N/AN/A3,33799061,47921,841
2016-09-22$35.84$36.0016.0%4.6%23.7%12.8%17.5%3.9%1.9%3.5M-18.7M-301.1K0.4431.11N/AN/A2,6101,14462,00222,003
2016-09-23$35.69$36.0015.8%4.5%23.8%11.6%16.7%3.2%2.0%4.1M-21.4M-317.8K0.0322.43N/AN/A41,2871,18262,72122,247
2016-09-26$35.76$36.0016.7%4.8%22.7%18.5%16.1%4.1%1.5%5.4M-34.9M-428.2K0.5231.18N/AN/A2,4821,28571,68322,470
2016-09-27$35.18$36.0018.3%5.2%23.4%30.0%16.5%2.9%1.0%4.1M-20.3M-392.7K0.3829.38N/AN/A2,8341,06371,88022,798
2016-09-28$35.11$36.0018.4%5.3%23.1%31.5%16.8%5.1%0.1%3.7M-14.0M-375.4K0.6317.47N/AN/A1,7941,12872,13722,842
2016-09-29$34.90$36.0018.2%5.2%23.1%29.6%17.6%3.3%1.3%3.3M-10.1M-367.9K0.5423.15N/AN/A2,4171,29772,17722,943
2016-09-30$34.70$36.0016.1%4.6%22.9%13.3%16.3%4.9%2.2%2.5M-2.0M-342.5K0.3135.16N/AN/A4,2391,30272,64723,268