PPL Options History — December 2016

In December 2016, PPL traded between $32.99 and $34.54. ATM implied volatility averaged 19.0%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.5% (HV 20d: 18.5%). 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 19 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-12-19: Highest Volume — 5,475 contracts
  • 2016-12-12: Largest IV spike — 29.3% change
  • 2016-12-12: Highest IV Rank — 63.9%
  • 2016-12-02: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.87$32.99$34.54$33.04$33.98
Max Pain$33.90$33.00$34.00$33.00$34.00
ATM IV19.0%16.4%22.8%21.5%18.8%
Expected Move5.2%4.7%6.3%6.2%5.4%
HV 20d18.5%13.0%23.0%22.7%13.0%
HV 60d18.6%16.8%20.8%20.7%16.8%
IV Rank35.3%15.7%63.9%54.2%33.6%
IV Percentile53.6%12.7%94.4%86.9%57.1%
Term Structure0.9%-2.5%2.2%-2.3%1.6%
VWIV18.2%15.1%22.8%22.8%17.4%
Skew 25d3.8%2.4%6.1%6.1%3.1%
Skew 10d8.9%-0.6%13.9%5.8%8.3%
Call IV 25d16.9%15.8%19.2%19.2%17.5%
Put IV 25d20.7%19.3%25.3%25.3%20.6%
Bid-Ask Spread %32.1421.6542.4940.3225.78
Gamma HHI0.200.150.260.150.26
Net GEX2.5M358.4K4.4M854.7K2.3M
Net DEX-11.8M-33.4M13.7M11.1M-12.9M
Net VEX-258.9K-280.7K-228.3K-244.8K-269.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.361.680.681.09
Total Volume3,133.4761,8825,4753,7842,708
Total OI86,149.76280,14389,46083,64589,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$33.04$33.0021.5%6.2%22.7%54.2%22.8%6.1%-2.3%854.7K11.1M-244.8K0.6840.32N/AN/A2,2461,53860,66622,979
2016-12-02$33.37$33.0022.1%6.3%23.0%58.9%22.4%5.3%-2.5%1.5M4.7M-254.0K1.0739.60N/AN/A1,7951,91260,80823,077
2016-12-05$33.22$34.0022.3%5.5%23.0%60.0%20.7%4.8%0.7%781.3K10.2M-238.6K1.0732.42N/AN/A1,7601,87860,93723,406
2016-12-06$32.99$34.0020.5%5.5%22.5%46.5%19.0%4.0%0.4%358.4K13.7M-228.3K0.4527.09N/AN/A2,8761,30161,07223,448
2016-12-07$33.06$34.0019.2%5.3%22.0%37.0%18.3%4.2%0.7%1.1M5.1M-240.1K0.7222.68N/AN/A1,6051,15562,19323,533
2016-12-08$33.07$34.0019.7%5.2%18.2%40.9%17.9%3.9%1.3%1.3M3.4M-240.3K0.9924.99N/AN/A1,3751,36862,31323,529
2016-12-09$33.51$34.0017.6%4.9%17.9%24.6%19.5%3.9%0.7%1.9M-3.2M-245.5K0.8927.89N/AN/A1,7411,55562,34023,783
2016-12-12$33.96$34.0022.8%4.9%18.5%63.9%18.4%3.7%1.4%3.5M-16.2M-260.2K0.6642.49N/AN/A1,8761,23662,33824,087
2016-12-13$34.22$34.0021.1%5.0%18.4%51.6%16.7%3.9%0.9%4.4M-23.4M-261.7K0.6423.50N/AN/A1,39889162,94324,387
2016-12-14$33.82$34.0017.3%5.0%18.9%22.5%17.9%3.6%1.1%3.1M-14.0M-252.3K0.5438.08N/AN/A1,9111,03063,35624,475
2016-12-15$34.12$34.0017.5%5.0%18.7%23.8%16.0%3.6%0.9%4.1M-22.5M-261.7K0.5729.32N/AN/A1,46583963,94924,594
2016-12-16$34.53$34.0016.9%4.8%19.0%18.9%17.8%3.9%1.1%3.2M-33.4M-271.8K0.4233.58N/AN/A2,4731,03464,12724,659
2016-12-19$34.54$34.0016.4%4.7%19.0%15.7%17.0%4.2%2.1%3.0M-24.3M-255.8K0.3634.72N/AN/A4,0221,45358,07822,065
2016-12-20$34.48$34.0017.4%5.0%18.6%23.2%16.7%3.2%0.9%3.7M-28.1M-270.3K0.6737.15N/AN/A2,1271,43261,13022,662
2016-12-21$34.47$34.0018.2%5.2%18.6%29.2%16.6%2.4%1.2%3.7M-28.9M-280.1K1.2234.72N/AN/A1,7362,11861,71323,010
2016-12-22$34.39$34.0018.0%5.2%17.4%27.6%17.5%4.5%1.9%3.1M-23.1M-279.8K1.3421.65N/AN/A1,0671,43562,48124,181
2016-12-23$34.30$34.0017.3%5.0%16.8%22.1%17.3%3.6%2.2%2.9M-19.8M-280.7K1.6826.69N/AN/A9571,60662,60124,490
2016-12-27$34.18$34.0018.4%5.3%14.4%30.4%18.9%2.6%1.5%2.8M-18.5M-273.7K1.3134.64N/AN/A9341,22462,73824,840
2016-12-28$33.81$34.0017.5%5.0%14.9%24.0%15.1%3.0%2.1%2.0M-9.8M-256.9K1.4142.46N/AN/A7811,10162,99725,164
2016-12-29$34.24$34.0018.8%5.4%13.8%33.5%18.6%3.2%1.7%2.9M-18.9M-271.3K1.2235.11N/AN/A1,2831,56163,12025,416
2016-12-30$33.98$34.0018.8%5.4%13.0%33.6%17.4%3.1%1.6%2.3M-12.9M-269.6K1.0925.78N/AN/A1,2961,41263,48025,980