PPL Options History — February 2017

In February 2017, PPL traded between $34.92 and $36.83. ATM implied volatility averaged 15.3%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.9% (HV 20d: 10.5%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2017-02-24: Highest Volume — 7,698 contracts
  • 2017-02-28: Largest IV spike — 23.6% change
  • 2017-02-28: Highest IV Rank — 23.9%
  • 2017-02-07: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.78$34.92$36.83$34.92$36.83
Max Pain$34.00$34.00$34.00$34.00$34.00
ATM IV15.3%11.9%16.9%16.2%14.7%
Expected Move4.4%3.4%4.9%4.6%4.2%
HV 20d10.5%9.2%12.0%11.5%9.9%
HV 60d14.1%11.6%16.4%16.3%11.6%
IV Rank11.7%0.0%23.9%13.8%23.9%
IV Percentile7.4%0.0%22.6%10.7%2.0%
Term Structure-0.1%-1.3%1.2%1.2%0.1%
VWIV15.9%14.8%16.9%16.1%15.8%
Skew 25d4.0%1.1%6.5%1.1%5.8%
Skew 10d7.9%2.5%13.3%9.2%9.0%
Call IV 25d13.3%10.8%15.7%15.7%11.3%
Put IV 25d17.3%16.4%18.3%16.8%17.1%
Bid-Ask Spread %37.9320.9070.1561.3439.73
Gamma HHI0.330.260.390.300.26
Net GEX5.9M4.2M8.1M4.2M5.1M
Net DEX-58.8M-74.9M-37.3M-37.3M-74.7M
Net VEX-324.6K-352.1K-301.6K-323.0K-352.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.251.610.720.91
Total Volume3,473.5261,5957,6983,7123,583
Total OI58,537.89550,71665,58854,97159,410

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$34.92$34.0016.2%4.6%11.5%13.8%16.1%1.1%1.2%4.2M-37.3M-323.0K0.7261.34N/AN/A2,1581,55436,43218,539
2017-02-02$35.23$34.0016.9%4.9%11.8%18.9%16.3%4.3%-1.2%5.0M-47.5M-330.1K1.3432.68N/AN/A1,2501,68137,94418,864
2017-02-03$35.49$34.0016.1%4.7%12.0%12.8%15.8%3.5%-0.7%5.7M-55.9M-316.4K1.2045.05N/AN/A1,6141,93538,39019,174
2017-02-06$35.28$34.0015.9%4.9%11.7%11.4%16.3%3.1%-0.8%5.7M-52.5M-324.8K1.0024.35N/AN/A1,4801,47538,66820,178
2017-02-07$35.35$34.0015.7%4.9%10.9%10.3%16.1%3.7%-1.3%6.0M-54.8M-326.9K0.9124.33N/AN/A1,1261,02138,79920,542
2017-02-08$35.62$34.0015.8%4.5%10.6%12.4%16.4%4.0%-0.1%6.1M-58.0M-324.5K1.4022.10N/AN/A8401,17638,86020,567
2017-02-09$35.39$34.0016.5%4.7%10.8%18.4%15.2%2.6%-0.3%6.4M-53.9M-314.5K1.4535.09N/AN/A66896638,90020,936
2017-02-10$35.49$34.0016.3%4.7%10.5%16.1%15.0%4.1%-0.6%6.8M-58.6M-307.8K1.6136.92N/AN/A61198438,98421,083
2017-02-13$35.69$34.0015.3%4.4%10.4%10.4%14.8%3.4%-0.0%7.6M-62.3M-301.6K1.2028.94N/AN/A1,0711,28039,04821,370
2017-02-14$35.45$34.0016.1%4.6%10.6%18.8%15.5%2.2%-1.2%7.6M-56.2M-317.7K1.1738.56N/AN/A8711,02139,54621,929
2017-02-15$35.51$34.0016.6%4.8%10.4%23.8%16.6%5.7%0.4%7.8M-56.5M-315.9K1.3152.89N/AN/A8981,17239,84422,161
2017-02-16$35.69$34.0014.1%4.0%9.3%0.0%16.2%6.5%1.2%8.1M-61.5M-315.3K0.2920.90N/AN/A5,1301,51240,16622,585
2017-02-17$35.64$34.0015.0%4.3%9.2%10.1%16.8%4.7%0.5%4.2M-64.9M-315.7K0.7833.79N/AN/A2,1861,71142,33323,255
2017-02-21$36.10$34.0014.9%4.3%9.9%9.3%15.3%3.9%0.3%4.6M-52.0M-321.0K0.2538.22N/AN/A4,7561,17634,04916,667
2017-02-22$36.22$34.0015.0%4.3%9.8%9.4%15.1%2.3%-0.2%5.2M-58.6M-343.3K0.7770.15N/AN/A1,5091,15837,37616,989
2017-02-23$36.52$34.0014.1%4.1%9.9%0.8%16.9%3.8%0.3%5.4M-67.8M-335.9K1.1227.62N/AN/A1,3271,49137,93717,001
2017-02-24$36.80$34.0014.2%4.1%9.7%1.8%16.0%6.2%0.3%5.1M-74.9M-330.6K0.3055.46N/AN/A5,9081,79038,42517,561
2017-02-27$36.59$34.0011.9%3.4%9.9%0.0%16.6%5.3%0.3%5.2M-68.6M-349.8K0.5332.64N/AN/A3,8702,03839,31418,394
2017-02-28$36.83$34.0014.7%4.2%9.9%23.9%15.8%5.8%0.1%5.1M-74.7M-352.1K0.9139.73N/AN/A1,8751,70839,97219,438