PPL Options History — October 2016

In October 2016, PPL traded between $32.21 and $34.41. ATM implied volatility averaged 19.9%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.1% (HV 20d: 19.7%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2016-10-27: Highest Volume — 7,546 contracts
  • 2016-10-11: Largest IV spike — 20.0% change
  • 2016-10-11: Highest IV Rank — 62.9%
  • 2016-10-11: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.21$32.21$34.41$34.00$34.41
Max Pain$34.33$34.00$35.00$35.00$34.00
ATM IV19.9%17.7%22.6%19.5%19.8%
Expected Move5.7%5.1%6.3%5.6%5.7%
HV 20d19.7%17.3%24.9%23.0%17.5%
HV 60d18.8%17.7%19.3%17.7%19.3%
IV Rank42.0%25.3%62.9%39.4%41.3%
IV Percentile75.0%38.1%94.8%76.6%75.0%
Term Structure-0.4%-1.8%1.5%0.9%-0.5%
VWIV20.0%17.8%21.8%19.7%19.2%
Skew 25d3.9%1.7%5.4%3.0%3.9%
Skew 10d10.0%3.0%15.5%3.0%9.2%
Call IV 25d18.7%17.3%20.8%18.3%18.2%
Put IV 25d22.6%21.3%24.1%21.3%22.1%
Bid-Ask Spread %30.5420.5048.8731.7734.93
Gamma HHI0.170.150.220.220.18
Net GEX1.5M425.6K4.2M2.3M4.2M
Net DEX16.9M-23.9M37.2M9.9M-23.9M
Net VEX-249.8K-307.5K-206.6K-305.1K-307.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.230.920.920.84
Total Volume4,809.6192,8207,5463,0243,967
Total OI94,662.33368,337105,56398,26980,449

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$34.00$35.0019.5%5.6%23.0%39.4%19.7%3.0%0.9%2.3M9.9M-305.1K0.9231.77N/AN/A1,5771,44774,76123,508
2016-10-04$32.96$35.0020.6%5.9%24.9%48.1%21.8%1.7%1.5%906.2K29.1M-246.6K0.6525.61N/AN/A2,7871,81074,89723,977
2016-10-05$32.72$35.0019.6%5.6%24.5%39.8%21.7%5.2%1.5%558.9K33.9M-228.4K0.3939.78N/AN/A3,5201,37875,21724,544
2016-10-06$32.53$35.0020.0%5.9%24.3%43.2%20.5%3.6%-1.1%614.2K33.0M-236.4K0.2720.59N/AN/A4,7511,28575,72324,705
2016-10-07$32.33$35.0020.7%6.1%21.1%48.6%20.2%4.3%-0.8%513.9K35.7M-217.8K0.7528.03N/AN/A1,9791,48476,39624,841
2016-10-10$32.52$35.0018.9%5.9%20.2%34.5%21.1%4.3%-1.8%688.6K34.1M-228.1K0.7422.32N/AN/A1,9601,45776,73824,933
2016-10-11$32.21$35.0022.6%6.3%19.9%62.9%21.3%3.8%-1.3%425.6K37.2M-206.6K0.6723.44N/AN/A2,3421,57676,93424,937
2016-10-12$32.52$34.0019.9%5.7%19.8%42.2%20.8%3.2%-0.5%769.8K32.7M-226.9K0.2745.28N/AN/A5,4341,44777,31125,125
2016-10-13$33.08$34.0021.1%6.0%19.8%51.1%21.3%3.3%-1.1%1.4M23.1M-257.6K0.2330.12N/AN/A5,6491,27578,53925,197
2016-10-14$32.91$34.0020.5%5.9%19.1%46.9%19.9%3.5%-0.7%1.1M27.4M-240.5K0.3322.59N/AN/A3,5401,18578,95525,394
2016-10-17$33.04$34.0021.1%6.1%19.2%51.4%19.7%4.6%-0.6%1.3M25.5M-246.8K0.2720.50N/AN/A3,72499279,08325,465
2016-10-18$33.40$34.0020.9%6.0%19.7%50.1%19.8%4.2%-0.8%1.5M21.1M-245.5K0.4723.35N/AN/A2,1441,00479,31925,540
2016-10-19$33.38$34.0021.0%6.0%18.1%50.5%20.5%3.3%-0.8%1.6M20.7M-248.1K0.5948.87N/AN/A1,7791,04179,40425,628
2016-10-20$33.53$34.0019.5%5.6%17.6%39.2%19.7%3.3%-0.7%1.7M18.5M-249.3K0.4227.61N/AN/A2,7151,14779,57425,738
2016-10-21$33.34$34.0019.4%5.6%17.6%38.2%19.3%3.3%0.0%1.3M21.6M-238.1K0.7121.88N/AN/A2,4151,70579,87025,693
2016-10-24$33.58$34.0018.1%5.2%17.9%28.2%18.8%4.8%-0.2%1.5M16.1K-237.2K0.2935.38N/AN/A3,9821,17450,60517,732
2016-10-25$33.64$34.0018.7%5.4%17.3%33.1%18.9%4.2%-0.3%2.0M-3.2M-251.6K0.2634.50N/AN/A5,0621,34153,00718,002
2016-10-26$33.88$34.0018.7%5.4%17.6%32.8%18.9%3.5%-0.6%2.4M-6.0M-272.3K0.3035.62N/AN/A5,6761,70754,55018,613
2016-10-27$33.67$34.0017.7%5.1%17.6%25.3%17.8%5.2%0.2%2.6M-5.7M-277.2K0.2637.69N/AN/A5,9881,55857,98019,107
2016-10-28$33.76$34.0019.1%5.5%17.6%35.6%19.5%5.4%-1.1%3.2M-9.3M-277.6K0.7431.42N/AN/A2,2961,70260,48019,438
2016-10-31$34.41$34.0019.8%5.7%17.5%41.3%19.2%3.9%-0.5%4.2M-23.9M-307.5K0.8434.93N/AN/A2,1551,81260,65419,795