PPL Options History — May 2017

In May 2017, PPL traded between $37.91 and $39.97. ATM implied volatility averaged 13.4%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 5.0% (HV 20d: 8.5%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.64.

Notable Days

  • 2017-05-03: Highest Volume — 4,541 contracts
  • 2017-05-24: Largest IV drop — 16.1% change
  • 2017-05-03: Highest IV Rank — 23.1%
  • 2017-05-03: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.87$37.91$39.97$38.11$39.97
Max Pain$37.86$37.00$38.00$37.00$38.00
ATM IV13.4%11.8%14.5%14.4%13.1%
Expected Move3.9%3.4%4.2%4.1%3.8%
HV 20d8.5%7.3%9.3%8.5%8.6%
HV 60d10.8%10.7%11.0%10.8%10.7%
IV Rank13.8%0.2%23.1%21.8%10.8%
IV Percentile8.2%0.4%15.9%12.3%7.1%
Term Structure0.2%-1.0%1.2%-0.1%0.4%
VWIV14.3%13.4%16.1%14.1%14.1%
Skew 25d4.2%1.0%7.2%1.0%5.1%
Skew 10d8.3%0.8%12.1%9.1%10.2%
Call IV 25d11.0%9.3%14.1%14.1%9.4%
Put IV 25d15.2%14.4%16.5%15.1%14.5%
Bid-Ask Spread %25.0713.2264.6329.5313.22
Gamma HHI0.380.340.670.360.35
Net GEX5.9M2.9M8.1M6.7M4.0M
Net DEX-69.6M-80.2M-53.9M-58.1M-80.2M
Net VEX-361.9K-380.7K-336.1K-354.3K-341.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.482.761.251.14
Total Volume3,030.3181,9064,5412,1062,567
Total OI64,360.559,16870,80459,16864,704

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$38.11$37.0014.4%4.1%8.5%21.8%14.1%1.0%-0.1%6.7M-58.1M-354.3K1.2529.53N/AN/A9351,17137,73321,435
2017-05-02$37.99$37.0014.5%4.2%7.7%22.8%14.4%3.1%-0.5%6.5M-55.4M-355.5K1.5926.14N/AN/A8381,33337,93421,769
2017-05-03$37.91$37.0014.5%4.2%7.3%23.1%14.2%1.4%-0.3%6.5M-53.9M-356.4K1.9337.39N/AN/A1,5492,99238,11422,231
2017-05-04$38.40$38.0014.2%4.1%8.5%20.0%14.6%5.1%-0.7%6.9M-64.4M-369.7K2.4645.83N/AN/A1,2833,16238,53823,863
2017-05-05$38.48$38.0014.4%4.1%8.4%21.6%13.9%3.6%-1.0%7.1M-67.9M-372.0K2.7623.82N/AN/A9882,72838,55924,169
2017-05-08$38.69$38.0012.6%3.8%8.4%6.4%14.5%3.2%0.8%7.4M-73.1M-365.6K2.5720.21N/AN/A1,0022,57138,72824,890
2017-05-09$38.33$38.0013.2%4.1%9.3%11.6%14.1%4.0%-0.9%8.0M-65.3M-368.3K2.7424.97N/AN/A8792,40738,93325,433
2017-05-10$38.51$38.0013.1%3.7%9.3%10.8%13.6%5.2%-0.0%7.9M-67.5M-370.8K2.2120.36N/AN/A7101,57138,96125,835
2017-05-11$38.52$38.0013.0%3.7%8.9%10.5%13.4%3.8%1.0%7.9M-66.3M-369.2K2.1025.52N/AN/A1,1532,42639,03726,009
2017-05-12$38.74$38.0012.9%3.7%8.9%9.2%13.9%3.4%0.4%8.1M-76.6M-366.6K2.3119.85N/AN/A9742,25139,37926,951
2017-05-15$38.85$38.0013.2%3.8%8.9%11.7%14.5%3.1%0.6%7.7M-79.5M-356.4K2.2122.41N/AN/A9462,09539,62628,109
2017-05-16$38.58$38.0013.1%3.8%8.7%11.1%14.6%3.1%1.2%7.3M-71.1M-379.0K2.0719.34N/AN/A8051,66339,85128,996
2017-05-17$38.74$38.0013.6%3.9%7.7%15.4%15.2%5.9%0.9%6.9M-75.1M-372.9K0.8828.31N/AN/A1,4501,27839,95829,563
2017-05-18$38.85$38.0013.6%3.9%7.7%14.9%14.8%7.2%0.9%7.3M-78.5M-380.7K1.3216.08N/AN/A1,0541,39140,53229,738
2017-05-19$38.79$38.0014.3%4.1%7.7%20.8%15.8%6.2%0.4%2.9M-75.1M-380.1K1.3421.65N/AN/A1,1821,58940,80629,998
2017-05-22$39.20$38.0014.2%4.1%8.4%20.3%16.1%4.4%-0.6%3.3M-60.3M-360.9K0.8119.16N/AN/A1,3481,08732,91928,271
2017-05-23$39.28$38.0014.1%4.0%8.4%19.5%13.6%2.9%-0.6%3.4M-63.4M-354.0K0.4819.82N/AN/A2,5531,22032,89728,350
2017-05-24$39.56$38.0011.8%3.4%8.4%0.2%14.4%5.3%1.1%3.8M-70.1M-356.9K1.3521.63N/AN/A8121,09434,56928,483
2017-05-25$39.91$38.0012.6%3.6%8.7%6.6%13.5%5.2%0.5%3.7M-77.2M-349.0K0.6864.63N/AN/A1,9851,35234,67828,579
2017-05-26$39.84$38.0012.7%3.6%8.8%7.3%13.6%4.7%0.1%3.8M-76.0M-345.0K1.2615.99N/AN/A1,1681,47534,38228,913
2017-05-30$39.89$38.0012.7%3.7%8.8%7.9%14.3%5.7%0.8%3.7M-76.0M-336.1K0.6415.67N/AN/A2,2101,42034,41929,089
2017-05-31$39.97$38.0013.1%3.8%8.6%10.8%14.1%5.1%0.4%4.0M-80.2M-341.6K1.1413.22N/AN/A1,2021,36535,53629,168