PPL Options History — April 2017

In April 2017, PPL traded between $37.08 and $38.14. ATM implied volatility averaged 13.7%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.8% (HV 20d: 10.9%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-04-21: Highest Volume — 12,800 contracts
  • 2017-04-12: Largest IV spike — 16.9% change
  • 2017-04-13: Highest IV Rank — 26.6%
  • 2017-04-07: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.69$37.08$38.14$37.08$38.09
Max Pain$36.84$36.00$37.00$36.00$37.00
ATM IV13.7%11.8%14.9%13.7%14.0%
Expected Move4.1%3.7%4.4%3.9%4.0%
HV 20d10.9%8.6%15.0%14.8%8.6%
HV 60d11.3%10.9%12.0%12.0%10.9%
IV Rank15.6%0.0%26.6%15.0%18.3%
IV Percentile7.0%0.0%13.5%4.8%9.1%
Term Structure-0.1%-1.5%1.6%1.3%0.1%
VWIV14.3%12.4%16.0%14.1%12.4%
Skew 25d2.7%1.2%4.0%3.1%2.7%
Skew 10d7.4%2.5%15.0%8.0%2.6%
Call IV 25d12.8%10.7%14.4%12.4%12.6%
Put IV 25d15.6%13.9%17.1%15.5%15.3%
Bid-Ask Spread %47.2424.51124.2335.3625.48
Gamma HHI0.410.330.650.330.36
Net GEX7.8M5.1M11.3M7.6M6.6M
Net DEX-74.0M-100.9M-52.2M-57.6M-60.1M
Net VEX-323.3K-368.4K-288.2K-368.4K-355.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.162.201.980.40
Total Volume4,569.8421,97912,8004,1084,958
Total OI63,680.63249,76970,61465,22458,561

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$37.08$36.0013.7%3.9%14.8%15.0%14.1%3.1%1.3%7.6M-57.6M-368.4K1.9835.36N/AN/A1,3792,72939,14226,082
2017-04-04$37.37$36.0013.1%3.8%15.0%10.5%14.1%3.2%1.6%7.8M-69.2M-348.3K1.9934.39N/AN/A1,3472,68439,13826,106
2017-04-05$37.46$36.0012.9%3.7%12.8%8.7%12.9%3.2%1.4%8.2M-72.6M-338.7K2.2024.51N/AN/A1,4153,10639,20326,087
2017-04-06$37.38$37.0012.4%4.1%12.8%4.6%13.7%2.0%-0.4%8.4M-72.3M-337.4K1.7025.28N/AN/A1,6162,74839,40826,324
2017-04-07$37.31$37.0012.6%4.4%12.8%5.8%14.3%3.0%-1.1%8.7M-71.0M-326.9K1.0725.17N/AN/A2,4942,66739,68826,407
2017-04-10$37.27$37.0012.0%4.1%12.8%1.4%14.0%2.3%-1.0%9.3M-70.8M-327.2K1.4130.39N/AN/A1,7032,39639,74626,441
2017-04-11$37.35$37.0011.8%4.2%12.7%0.0%14.8%2.6%-1.1%9.4M-71.5M-336.0K1.1152.12N/AN/A1,7061,89839,78327,098
2017-04-12$37.69$37.0013.8%4.0%11.3%16.8%15.6%4.0%-0.1%8.6M-84.8M-299.2K1.1341.69N/AN/A1,6221,83439,79227,252
2017-04-13$37.58$37.0014.9%4.3%10.9%26.6%15.8%3.0%-1.5%8.7M-80.0M-328.7K1.2867.56N/AN/A1,4521,85639,82627,361
2017-04-17$37.71$37.0014.5%4.2%10.3%23.1%16.0%2.8%-0.6%8.3M-86.1M-310.5K1.2525.59N/AN/A1,4471,81039,83727,541
2017-04-18$38.11$37.0014.6%4.2%10.2%23.6%14.9%3.5%-0.6%6.3M-99.2M-299.0K0.9960.05N/AN/A1,9291,90339,91027,738
2017-04-19$37.71$37.0014.5%4.2%8.9%22.7%14.4%1.8%-0.7%7.7M-91.2M-288.2K0.73115.13N/AN/A2,5511,86740,41527,854
2017-04-20$37.81$37.0014.5%4.2%8.8%22.8%14.6%2.8%-0.8%8.2M-93.6M-308.4K0.54124.23N/AN/A3,2361,73541,67127,916
2017-04-21$37.98$37.0014.3%4.1%8.9%20.9%13.9%3.1%-0.4%11.3M-100.9M-300.9K0.1650.45N/AN/A11,0671,73342,66027,954
2017-04-24$38.05$37.0014.4%4.1%8.9%22.4%14.2%2.9%-0.4%5.1M-52.2M-304.6K0.3230.49N/AN/A4,3551,38430,63019,139
2017-04-25$38.14$37.0013.7%3.9%8.9%16.2%14.0%2.3%0.6%6.2M-57.3M-317.6K1.4065.00N/AN/A8251,15434,26019,553
2017-04-26$37.99$37.0014.0%4.0%9.1%18.9%14.0%2.2%0.1%6.2M-56.9M-321.0K1.3230.23N/AN/A1,2221,61734,38519,802
2017-04-27$38.08$37.0014.0%4.0%8.9%18.6%13.6%1.2%0.9%6.2M-58.2M-326.8K0.4834.48N/AN/A3,6331,74934,81020,412
2017-04-28$38.09$37.0014.0%4.0%8.6%18.3%12.4%2.7%0.1%6.6M-60.1M-355.4K0.4025.48N/AN/A3,5441,41437,61720,944