PPL Options History — November 2016

In November 2016, PPL traded between $32.81 and $34.86. ATM implied volatility averaged 20.9%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.0% (HV 20d: 17.8%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2016-11-18: Highest Volume — 6,465 contracts
  • 2016-11-10: Largest IV spike — 12.5% change
  • 2016-11-07: Highest IV Rank — 65.5%
  • 2016-11-14: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.56$32.81$34.86$34.02$33.52
Max Pain$33.29$33.00$34.00$34.00$33.00
ATM IV20.9%19.3%23.0%20.9%20.0%
Expected Move5.9%5.5%6.5%6.0%5.7%
HV 20d17.8%12.7%22.5%13.8%22.1%
HV 60d19.9%18.8%20.8%19.4%20.7%
IV Rank49.4%37.5%65.5%49.7%42.6%
IV Percentile81.3%63.9%96.4%86.1%73.8%
Term Structure-1.1%-2.7%0.3%-0.2%-1.0%
VWIV21.2%19.2%24.0%20.2%20.8%
Skew 25d5.3%2.6%7.0%2.6%3.8%
Skew 10d10.6%-3.7%15.3%7.5%-3.7%
Call IV 25d18.1%16.0%20.7%20.7%19.3%
Put IV 25d23.3%21.3%26.0%23.3%23.1%
Bid-Ask Spread %39.5522.89102.37102.3734.55
Gamma HHI0.170.140.210.170.17
Net GEX2.7M701.1K4.9M3.7M1.8M
Net DEX-3.3M-36.3M20.2M-16.2M455.0K
Net VEX-271.4K-336.1K-220.9K-310.8K-243.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.271.480.710.52
Total Volume3,809.9522,8256,4653,9384,903
Total OI83,438.28677,09388,47781,38281,952

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$34.02$34.0020.9%6.0%13.8%49.7%20.2%2.6%-0.2%3.7M-16.2M-310.8K0.71102.37N/AN/A2,3081,63061,11720,265
2016-11-02$34.01$34.0020.6%5.9%13.4%47.8%19.9%4.8%-0.8%3.9M-16.7M-310.8K0.6569.62N/AN/A1,9101,24561,92520,382
2016-11-03$34.08$33.0022.2%5.8%13.1%59.3%21.3%4.8%-1.0%4.0M-20.1M-329.0K0.8626.20N/AN/A1,6621,43562,30420,701
2016-11-04$34.03$33.0022.4%5.9%12.8%61.4%20.4%5.3%-0.7%3.9M-19.7M-326.8K1.0326.82N/AN/A1,9812,03462,39021,047
2016-11-07$34.47$34.0023.0%6.0%13.3%65.5%21.0%6.0%-2.2%4.2M-24.6M-315.2K0.6933.46N/AN/A1,8551,27162,66821,731
2016-11-08$34.86$34.0021.5%5.5%12.7%54.0%20.5%6.1%-0.5%4.9M-36.3M-336.1K0.4326.82N/AN/A2,8371,21362,73221,724
2016-11-09$33.64$34.0019.4%5.6%18.8%38.0%20.6%6.3%-0.0%3.6M-7.9M-292.8K1.0247.58N/AN/A1,7621,80563,44821,901
2016-11-10$33.10$34.0021.8%6.2%18.9%56.5%22.0%6.0%-0.9%2.6M4.9M-262.1K0.8039.07N/AN/A2,1281,70463,43121,649
2016-11-11$33.17$33.0022.2%6.4%18.8%59.4%21.3%5.5%-1.9%2.7M4.9M-275.2K0.5145.27N/AN/A2,3631,21363,95622,352
2016-11-14$32.97$33.0022.7%6.5%18.9%63.6%24.0%6.4%-2.7%2.3M9.3M-258.1K0.7022.89N/AN/A1,8921,31764,27122,680
2016-11-15$33.21$33.0021.6%6.2%18.6%55.2%21.8%6.6%-1.3%2.7M7.0M-258.0K0.5926.35N/AN/A1,9271,13864,32722,932
2016-11-16$32.90$33.0021.3%6.1%18.9%53.2%23.0%7.0%-1.6%1.7M15.1M-235.7K1.4836.18N/AN/A1,6482,43664,01522,935
2016-11-17$32.84$33.0019.9%5.7%18.8%42.0%22.0%4.4%0.1%1.6M15.1M-259.7K0.6439.92N/AN/A2,3341,48264,09124,386
2016-11-18$32.85$33.0019.9%5.7%18.7%41.9%22.1%5.3%0.3%701.1K20.2M-220.9K0.2751.51N/AN/A5,0861,37964,13523,571
2016-11-21$33.30$33.0019.3%5.5%19.2%37.5%19.2%4.9%-0.8%1.5M4.2M-237.9K0.2834.42N/AN/A4,1161,17256,82820,265
2016-11-22$33.35$33.0020.1%5.8%19.2%43.9%20.6%5.4%-1.9%1.7M3.1M-239.0K0.5445.84N/AN/A2,0421,10858,55120,507
2016-11-23$32.81$33.0019.5%5.6%19.8%38.9%21.5%4.1%-0.5%983.0K10.2M-225.0K0.7638.24N/AN/A1,7621,33758,81920,613
2016-11-25$33.32$33.0020.0%5.7%20.6%42.6%21.7%4.7%-1.4%1.6M3.7M-240.9K0.6928.62N/AN/A1,6741,15158,99021,047
2016-11-28$34.16$33.0020.1%5.7%22.5%43.2%21.5%5.3%-2.0%3.4M-14.2M-263.2K0.9625.66N/AN/A2,0061,93359,06321,172
2016-11-29$34.18$33.0019.8%5.7%21.4%41.6%20.9%5.4%-1.8%3.1M-12.2M-258.2K0.6329.19N/AN/A2,3381,47259,33521,996
2016-11-30$33.52$33.0020.0%5.7%22.1%42.6%20.8%3.8%-1.0%1.8M455.0K-243.1K0.5234.55N/AN/A3,2181,68559,59722,355