PPL Options History — June 2017

In June 2017, PPL traded between $38.65 and $40.07. ATM implied volatility averaged 12.9%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.3% (HV 20d: 8.5%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2017-06-06: Highest Volume — 18,069 contracts
  • 2017-06-14: Largest IV drop — 23.9% change
  • 2017-06-13: Highest IV Rank — 41.9%
  • 2017-06-09: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.32$38.65$40.07$39.91$38.80
Max Pain$38.82$38.00$39.00$38.00$39.00
ATM IV12.9%11.4%16.8%11.9%11.9%
Expected Move3.6%3.3%3.7%3.4%3.4%
HV 20d8.5%7.2%9.6%8.5%9.6%
HV 60d9.1%8.4%10.7%10.7%8.8%
IV Rank10.8%0.0%41.9%1.0%4.5%
IV Percentile9.2%0.0%44.0%1.2%2.4%
Term Structure1.1%0.4%1.8%1.6%1.7%
VWIV14.0%11.6%17.4%14.5%12.6%
Skew 25d3.1%2.1%5.7%5.7%2.1%
Skew 10d8.4%5.5%11.9%9.5%5.6%
Call IV 25d11.2%9.0%12.2%9.8%11.7%
Put IV 25d14.3%13.3%15.5%15.5%13.7%
Bid-Ask Spread %18.6113.9725.0323.8919.42
Gamma HHI0.270.220.350.350.23
Net GEX3.0M1.5M4.7M4.1M2.2M
Net DEX-45.9M-84.3M-26.8M-78.4M-30.1M
Net VEX-326.8K-342.0K-308.0K-342.0K-317.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.151.171.170.23
Total Volume4,905.1822,42518,0692,4255,861
Total OI61,486.68259,40067,20964,94561,698

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$39.91$38.0011.9%3.4%8.5%1.0%14.5%5.7%1.6%4.1M-78.4M-342.0K1.1723.89N/AN/A1,1191,30635,68629,259
2017-06-02$40.07$38.0012.7%3.6%7.6%7.3%13.0%5.1%0.7%4.2M-84.3M-332.9K0.4017.54N/AN/A3,4481,38835,82729,304
2017-06-05$40.04$38.0013.2%3.6%7.7%11.9%17.4%3.3%0.6%4.5M-83.3M-332.4K0.2916.28N/AN/A4,4341,28236,50729,396
2017-06-06$39.92$38.0012.6%3.6%7.8%6.8%15.5%3.0%0.5%4.7M-81.2M-339.9K0.1523.98N/AN/A15,6932,37637,67329,536
2017-06-07$39.69$39.0012.0%3.5%7.2%1.7%14.3%2.2%0.7%2.9M-50.0M-335.0K0.2517.82N/AN/A4,8781,24029,86830,281
2017-06-08$39.33$39.0014.4%3.7%8.1%22.4%16.0%2.8%0.6%2.3M-38.2M-331.3K0.2518.58N/AN/A5,1601,27129,21430,306
2017-06-09$39.16$39.0014.0%3.7%8.3%18.2%14.7%2.5%0.9%2.3M-38.1M-338.6K0.4925.03N/AN/A2,8111,37429,99130,289
2017-06-12$38.81$39.0016.3%3.7%8.8%38.3%13.8%3.6%1.2%1.5M-26.8M-332.4K0.6020.67N/AN/A2,2661,35729,69730,513
2017-06-13$38.99$39.0016.8%3.7%8.9%41.9%14.7%3.2%1.1%1.9M-30.4M-334.3K0.5413.97N/AN/A2,4591,32329,95930,605
2017-06-14$39.35$39.0012.8%3.7%9.0%8.0%14.7%3.5%1.2%2.7M-41.2M-330.3K0.9023.45N/AN/A1,4351,29630,37330,565
2017-06-15$39.46$39.0012.2%3.5%8.9%3.7%12.6%2.4%1.4%3.1M-44.6M-335.7K0.8915.82N/AN/A1,3631,21630,46130,556
2017-06-16$39.53$39.0011.4%3.3%8.9%0.0%12.6%2.7%1.8%3.3M-48.0M-323.1K0.8518.66N/AN/A1,5311,30830,48730,535
2017-06-19$39.53$39.0011.6%3.3%8.9%1.9%12.7%2.7%0.9%3.4M-46.2M-318.7K0.6517.23N/AN/A1,8211,18230,04229,358
2017-06-20$39.34$39.0012.9%3.7%8.3%12.7%13.0%2.1%0.5%3.4M-43.2M-324.8K0.6617.04N/AN/A1,6641,10030,36029,447
2017-06-21$39.28$39.0012.3%3.5%8.3%7.9%13.4%3.3%1.2%3.2M-39.5M-315.4K0.6415.86N/AN/A1,7001,08630,42529,476
2017-06-22$39.06$39.0011.8%3.4%8.1%3.7%13.8%2.9%1.5%3.0M-36.2M-312.2K0.5214.43N/AN/A2,0131,05230,57429,495
2017-06-23$38.77$39.0011.7%3.4%7.6%3.1%13.4%2.9%1.8%2.0M-27.1M-319.5K0.5616.82N/AN/A1,8281,02030,70629,499
2017-06-26$39.29$39.0013.0%3.7%9.3%13.1%14.2%3.2%0.4%3.6M-42.4M-308.0K0.2216.37N/AN/A5,1131,10730,83929,513
2017-06-27$39.09$39.0012.5%3.6%9.4%9.2%14.0%3.3%1.1%3.2M-37.1M-322.4K0.1920.18N/AN/A5,4601,03731,84029,489
2017-06-28$38.93$39.0012.1%3.5%9.3%6.2%11.6%2.9%1.7%2.9M-36.5M-318.1K0.2220.57N/AN/A4,6451,04331,88929,627
2017-06-29$38.65$39.0013.0%3.7%9.6%14.4%16.3%3.3%0.6%2.0M-26.8M-324.8K0.2215.84N/AN/A4,7831,06531,93329,609
2017-06-30$38.80$39.0011.9%3.4%9.6%4.5%12.6%2.1%1.7%2.2M-30.1M-317.0K0.2319.42N/AN/A4,7621,09932,06829,630