PPL Options History — January 2017

In January 2017, PPL traded between $33.97 and $34.78. ATM implied volatility averaged 17.8%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.8% (HV 20d: 12.1%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-01-30: Highest Volume — 8,630 contracts
  • 2017-01-09: Largest IV spike — 17.4% change
  • 2017-01-19: Highest IV Rank — 41.1%
  • 2017-01-09: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.36$33.97$34.78$33.99$34.78
Max Pain$34.00$34.00$34.00$34.00$34.00
ATM IV17.8%15.7%19.8%18.7%16.4%
Expected Move5.2%4.6%5.7%5.4%4.7%
HV 20d12.1%10.7%13.3%12.6%11.5%
HV 60d16.6%16.0%16.8%16.8%16.3%
IV Rank26.4%10.4%41.1%33.3%15.4%
IV Percentile41.0%5.2%71.4%56.0%13.5%
Term Structure-0.2%-1.5%1.7%0.7%0.1%
VWIV18.3%15.7%21.2%18.7%17.4%
Skew 25d2.8%0.0%5.0%3.3%3.1%
Skew 10d6.2%-1.8%12.8%12.8%10.1%
Call IV 25d17.0%15.1%18.4%17.5%15.7%
Put IV 25d19.8%17.5%21.9%20.8%18.9%
Bid-Ask Spread %43.6622.5370.0230.6843.26
Gamma HHI0.320.240.500.280.29
Net GEX2.7M1.5M4.7M2.2M3.8M
Net DEX-20.2M-33.8M-9.1M-11.4M-33.8M
Net VEX-253.6K-324.8K-229.0K-256.1K-324.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.202.661.661.67
Total Volume3,559.71,9288,6302,1253,601
Total OI77,683.6539,37797,46090,28354,561

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$33.99$34.0018.7%5.4%12.6%33.3%18.7%3.3%0.7%2.2M-11.4M-256.1K1.6630.68N/AN/A7991,32663,74926,534
2017-01-04$34.14$34.0018.4%5.3%12.5%30.3%18.8%4.6%1.7%2.3M-12.6M-257.0K1.2337.07N/AN/A9821,21263,88426,945
2017-01-05$34.18$34.0018.2%5.5%12.1%29.4%19.7%2.9%-0.5%2.5M-15.1M-254.1K2.6630.24N/AN/A9862,62064,21527,199
2017-01-06$34.57$34.0015.7%5.2%12.5%10.4%20.0%3.4%-0.4%3.2M-24.2M-254.0K1.9429.61N/AN/A1,3242,56464,39228,909
2017-01-09$34.21$34.0018.5%5.7%13.3%31.3%18.6%1.5%-1.0%2.4M-15.9M-252.1K0.6342.77N/AN/A1,7871,12764,84329,096
2017-01-10$33.97$34.0017.8%5.6%12.9%25.7%19.3%2.6%-1.5%1.9M-9.1M-241.9K1.0749.83N/AN/A1,2791,36465,52729,240
2017-01-11$34.26$34.0018.9%5.4%12.4%34.3%18.8%1.9%-0.3%2.7M-16.7M-246.5K1.3035.71N/AN/A8401,08865,72729,403
2017-01-12$34.55$34.0017.8%5.1%12.5%25.7%18.4%2.1%-0.9%3.6M-25.0M-246.6K0.8755.13N/AN/A1,3041,12965,81429,371
2017-01-13$34.41$34.0018.8%5.4%11.7%33.6%17.7%2.4%-1.0%3.5M-22.6M-239.4K0.6256.81N/AN/A1,55897166,24929,360
2017-01-17$34.68$34.0017.6%5.1%11.6%24.7%17.8%3.3%-0.9%4.7M-31.8M-234.4K0.6054.85N/AN/A1,46187966,50229,461
2017-01-18$34.57$34.0018.3%5.3%10.9%30.1%18.8%2.3%-1.1%4.4M-28.0M-229.0K0.3449.42N/AN/A3,4431,16866,70129,546
2017-01-19$34.16$34.0019.8%5.7%11.7%41.1%21.2%3.5%-1.5%1.5M-15.6M-232.5K0.7035.80N/AN/A2,0231,41967,28029,826
2017-01-20$34.38$34.0018.1%5.2%12.0%28.4%18.0%2.8%-0.5%1.5M-23.2M-231.4K0.2370.02N/AN/A5,2851,20467,35530,105
2017-01-23$34.37$34.0018.1%5.2%12.0%28.1%18.0%3.7%-0.1%1.7M-16.8M-237.1K0.2022.53N/AN/A5,1731,02325,59813,779
2017-01-24$34.60$34.0016.3%4.7%12.2%14.3%16.3%5.0%0.7%2.7M-23.7M-260.3K0.4739.38N/AN/A2,4851,16329,85914,179
2017-01-25$34.52$34.0016.0%4.6%12.2%12.4%15.7%3.2%0.7%2.8M-23.4M-267.7K0.8640.39N/AN/A1,6141,39231,19014,614
2017-01-26$34.39$34.0017.7%5.1%12.2%25.2%17.3%1.3%0.6%2.4M-21.1M-270.4K0.9039.13N/AN/A1,3921,25831,59215,146
2017-01-27$34.25$34.0017.3%5.0%11.6%22.4%17.5%0.0%0.7%2.1M-16.9M-269.3K1.2150.40N/AN/A1,0501,27131,85615,858
2017-01-30$34.27$34.0018.6%5.3%10.7%32.4%17.7%2.8%-0.8%2.1M-16.4M-267.3K0.4360.16N/AN/A6,0212,60931,98616,222
2017-01-31$34.78$34.0016.4%4.7%11.5%15.4%17.4%3.1%0.1%3.8M-33.8M-324.8K1.6743.26N/AN/A1,3472,25436,36418,197