PPL Options History — March 2017

In March 2017, PPL traded between $36.03 and $37.64. ATM implied volatility averaged 14.2%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.8% (HV 20d: 12.4%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.29.

Notable Days

2017-03-07: Highest Volume — 21,433 contracts
2017-03-14: Largest IV spike — 25.2% change
2017-03-14: Highest IV Rank — 49.4%
2017-03-02: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.96	$36.03	$37.64	$36.76	$37.45
Max Pain	$35.39	$34.00	$36.00	$34.00	$36.00
ATM IV	14.2%	12.4%	17.7%	14.9%	12.7%
Expected Move	4.0%	3.6%	4.5%	4.3%	3.6%
HV 20d	12.4%	8.6%	14.8%	9.1%	14.3%
HV 60d	11.6%	10.9%	12.3%	11.2%	11.8%
IV Rank	19.3%	4.7%	49.4%	25.4%	6.8%
IV Percentile	5.1%	0.4%	49.6%	3.2%	0.8%
Term Structure	1.3%	-0.5%	2.8%	0.4%	2.6%
VWIV	15.0%	12.5%	19.5%	15.5%	12.5%
Skew 25d	3.5%	1.7%	5.9%	5.5%	3.9%
Skew 10d	8.9%	6.8%	11.7%	9.2%	10.6%
Call IV 25d	12.3%	10.1%	13.9%	11.4%	10.3%
Put IV 25d	15.8%	13.4%	17.7%	16.9%	14.2%
Bid-Ask Spread %	34.53	20.80	49.80	47.99	36.15
Gamma HHI	0.30	0.26	0.34	0.26	0.31
Net GEX	5.6M	3.9M	7.2M	5.0M	7.2M
Net DEX	-67.4M	-79.4M	-46.7M	-71.9M	-71.1M
Net VEX	-362.3K	-378.0K	-329.5K	-360.7K	-360.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.17	3.42	0.76	2.66
Total Volume	7,662.783	1,434	21,433	2,512	5,558
Total OI	62,838.826	57,299	65,424	60,107	65,187

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$36.76	$34.00	14.9%	4.3%	9.1%	25.4%	15.5%	5.5%	0.4%	5.0M	-71.9M	-360.7K	0.76	47.99	N/A	N/A	1,429	1,083	40,223	19,884
2017-03-02	$36.80	$34.00	15.6%	4.5%	9.2%	31.4%	18.8%	5.9%	-0.5%	5.1M	-74.1M	-359.2K	0.94	30.83	N/A	N/A	1,084	1,016	40,617	19,926
2017-03-03	$36.62	$34.00	14.5%	4.2%	9.2%	22.6%	19.5%	4.4%	0.6%	5.3M	-69.1M	-360.9K	0.92	42.05	N/A	N/A	748	686	40,783	20,278
2017-03-06	$36.77	$35.00	15.3%	4.1%	9.0%	29.0%	14.9%	2.8%	1.3%	5.4M	-71.5M	-350.7K	1.68	20.80	N/A	N/A	2,006	3,362	40,877	20,313
2017-03-07	$36.77	$35.00	13.7%	4.0%	8.6%	15.8%	14.3%	3.2%	1.9%	5.4M	-72.8M	-370.9K	0.17	39.55	N/A	N/A	18,384	3,049	41,885	23,114
2017-03-08	$36.03	$35.00	15.4%	4.2%	11.7%	30.2%	14.8%	3.4%	0.6%	3.9M	-46.7M	-373.8K	0.29	22.43	N/A	N/A	11,086	3,240	39,948	23,148
2017-03-09	$36.08	$35.00	15.2%	4.1%	11.4%	27.9%	15.7%	3.7%	1.2%	4.4M	-47.1M	-377.9K	0.35	49.80	N/A	N/A	8,367	2,894	40,901	23,291
2017-03-10	$36.27	$35.00	15.4%	4.1%	11.2%	29.9%	14.6%	3.4%	1.3%	4.6M	-53.5M	-378.0K	0.32	40.66	N/A	N/A	7,995	2,592	41,066	23,304
2017-03-13	$36.43	$35.00	14.1%	4.2%	11.3%	19.1%	14.1%	4.2%	0.9%	4.3M	-59.9M	-362.5K	0.33	34.22	N/A	N/A	7,969	2,669	41,180	23,299
2017-03-14	$36.33	$35.00	17.7%	4.3%	11.2%	49.4%	14.0%	3.4%	0.6%	4.5M	-58.3M	-359.8K	0.34	23.01	N/A	N/A	7,961	2,696	41,337	23,254
2017-03-15	$37.03	$35.00	13.6%	3.9%	12.6%	14.2%	14.8%	2.4%	1.3%	6.1M	-75.3M	-372.1K	0.36	47.52	N/A	N/A	8,433	3,046	41,355	23,343
2017-03-16	$36.72	$36.00	13.6%	3.9%	13.1%	14.5%	14.7%	2.8%	0.9%	5.6M	-69.2M	-365.0K	0.27	27.95	N/A	N/A	8,177	2,248	41,561	23,796
2017-03-17	$37.10	$36.00	13.6%	3.9%	13.4%	14.5%	15.6%	3.7%	1.4%	6.4M	-79.4M	-358.0K	0.28	39.77	N/A	N/A	8,651	2,418	41,624	23,800
2017-03-20	$36.77	$36.00	12.4%	3.6%	13.9%	4.7%	12.6%	1.7%	2.8%	6.2M	-52.2M	-344.9K	1.26	29.94	N/A	N/A	1,935	2,430	36,376	20,923
2017-03-21	$37.48	$36.00	14.6%	4.2%	14.8%	22.9%	14.8%	2.4%	1.5%	5.8M	-71.4M	-329.5K	1.60	33.84	N/A	N/A	2,002	3,211	36,731	21,112
2017-03-22	$37.64	$36.00	12.9%	3.7%	14.8%	8.4%	14.6%	3.5%	1.9%	5.8M	-73.3M	-355.3K	1.00	25.79	N/A	N/A	2,759	2,758	37,257	21,874
2017-03-23	$37.56	$36.00	13.6%	3.9%	14.7%	14.2%	14.7%	2.1%	0.8%	5.9M	-73.9M	-357.8K	1.15	31.89	N/A	N/A	2,454	2,813	37,871	22,893
2017-03-24	$37.58	$36.00	13.2%	3.8%	14.5%	11.4%	15.4%	2.8%	2.1%	6.1M	-75.4M	-368.0K	2.57	22.17	N/A	N/A	1,579	4,055	38,703	23,186
2017-03-27	$37.57	$36.00	13.6%	3.9%	14.3%	14.2%	17.1%	3.2%	1.7%	5.9M	-72.5M	-373.4K	2.83	36.25	N/A	N/A	1,489	4,211	38,808	25,427
2017-03-28	$37.64	$36.00	13.1%	3.7%	14.1%	9.9%	13.9%	5.0%	1.5%	6.4M	-75.8M	-364.4K	3.42	32.02	N/A	N/A	1,220	4,172	39,016	25,760
2017-03-29	$37.47	$36.00	13.7%	3.9%	14.2%	15.2%	14.0%	3.8%	1.2%	6.7M	-71.5M	-360.8K	2.98	42.42	N/A	N/A	1,289	3,847	39,022	25,947
2017-03-30	$37.28	$36.00	13.4%	3.8%	14.4%	12.7%	14.6%	2.5%	1.6%	6.9M	-64.3M	-368.6K	3.18	37.12	N/A	N/A	1,238	3,935	39,116	25,977
2017-03-31	$37.45	$36.00	12.7%	3.6%	14.3%	6.8%	12.5%	3.9%	2.6%	7.2M	-71.1M	-360.8K	2.66	36.15	N/A	N/A	1,519	4,039	39,131	26,056