PPL Options History — September 2017

In September 2017, PPL traded between $37.90 and $39.83. ATM implied volatility averaged 12.1%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.9% (HV 20d: 10.1%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2017-09-06: Highest Volume — 13,117 contracts
  • 2017-09-11: Largest IV spike — 33.3% change
  • 2017-09-12: Highest IV Rank — 38.1%
  • 2017-09-28: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.91$37.90$39.83$39.10$37.90
Max Pain$38.40$37.00$39.00$39.00$39.00
ATM IV12.1%8.4%14.0%11.3%12.7%
Expected Move3.5%3.1%4.0%3.3%3.6%
HV 20d10.1%7.1%13.5%7.4%13.5%
HV 60d10.0%9.2%10.7%9.5%10.7%
IV Rank22.3%0.0%38.1%5.7%29.2%
IV Percentile11.3%0.0%40.9%0.4%17.9%
Term Structure1.5%0.9%2.3%0.9%2.3%
VWIV12.3%7.8%15.1%14.1%13.8%
Skew 25d3.0%2.3%5.2%5.2%2.3%
Skew 10d7.6%4.1%11.1%5.0%7.0%
Call IV 25d11.0%8.3%12.6%8.3%12.0%
Put IV 25d14.1%13.1%15.4%13.6%14.2%
Bid-Ask Spread %14.9010.5818.9112.7113.95
Gamma HHI0.360.290.430.410.29
Net GEX6.7M3.3M8.8M7.3M3.3M
Net DEX-36.4M-70.0M-6.0M-43.7M-6.0M
Net VEX-285.4K-309.2K-255.4K-273.8K-255.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.052.590.851.27
Total Volume3,467.151,34713,1171,3472,331
Total OI60,160.2557,27663,35857,27661,625

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$39.10$39.0011.3%3.3%7.4%5.7%14.1%5.2%0.9%7.3M-43.7M-273.8K0.8512.71N/AN/A73061734,83622,440
2017-09-05$39.16$37.0012.7%3.5%7.4%16.5%13.6%4.1%2.3%7.6M-43.8M-263.8K0.7918.69N/AN/A80763534,85022,458
2017-09-06$39.13$37.0011.7%3.5%7.4%8.2%13.2%3.5%1.5%8.0M-43.2M-261.7K0.0515.09N/AN/A12,46065734,92722,487
2017-09-07$39.22$37.0011.8%3.6%7.1%9.1%11.5%2.3%0.9%8.4M-53.9M-291.6K0.2718.91N/AN/A2,55968335,63822,575
2017-09-08$39.58$37.008.4%3.1%7.7%0.0%12.0%3.0%1.7%7.9M-62.5M-295.0K0.5813.20N/AN/A1,9151,11434,84622,639
2017-09-11$39.83$37.0011.2%3.1%7.3%19.3%11.8%2.9%1.9%7.6M-70.0M-281.3K0.4616.90N/AN/A2,2681,04434,98623,136
2017-09-12$39.04$37.0014.0%3.6%10.5%38.1%11.3%2.4%1.3%7.6M-46.2M-289.8K0.7816.61N/AN/A3,6032,81434,80723,187
2017-09-13$38.85$39.0012.1%3.5%10.5%25.0%11.2%2.8%1.8%7.5M-35.1M-297.7K0.2614.87N/AN/A3,68295136,89225,346
2017-09-14$39.15$39.0011.9%3.4%10.8%24.0%7.9%3.7%1.9%8.8M-42.4M-303.1K0.3212.48N/AN/A3,1661,01037,04425,628
2017-09-15$39.28$39.0011.9%3.4%10.7%23.9%7.8%3.3%1.9%7.0M-50.0M-309.2K0.4616.11N/AN/A2,8251,29137,62725,731
2017-09-18$39.10$39.0011.9%3.4%10.8%23.7%12.3%2.3%1.5%6.8M-36.3M-307.3K1.7514.40N/AN/A9141,60335,24724,891
2017-09-19$39.22$39.0012.3%3.5%10.8%26.9%12.7%4.3%1.1%7.1M-42.1M-308.4K1.9415.36N/AN/A8001,55035,31625,216
2017-09-20$38.83$39.0011.4%3.3%11.4%20.5%12.9%2.4%1.7%6.4M-31.0M-297.5K2.5914.59N/AN/A5901,53035,41525,229
2017-09-21$38.77$39.0011.6%3.3%10.5%21.5%12.2%2.6%1.4%6.3M-28.9M-294.7K1.8916.40N/AN/A7881,49035,44625,265
2017-09-22$38.46$39.0013.1%3.7%10.8%31.9%12.3%2.5%1.3%5.2M-19.6M-276.7K1.7010.58N/AN/A9431,60635,43825,484
2017-09-25$38.62$39.0012.2%3.5%10.8%25.6%13.3%2.5%0.9%5.8M-24.5M-286.5K1.6513.79N/AN/A1,0401,71435,73025,840
2017-09-26$38.78$39.0012.1%3.5%11.0%25.0%13.3%3.5%1.2%6.3M-27.0M-285.5K1.5614.01N/AN/A9741,52035,71726,138
2017-09-27$37.99$39.0013.4%3.9%13.0%34.4%13.5%2.5%1.2%3.8M-9.8M-262.3K0.9018.44N/AN/A1,5521,39235,74525,801
2017-09-28$38.25$39.0013.8%4.0%13.2%36.8%15.1%2.7%1.3%4.3M-12.6M-266.1K1.2310.87N/AN/A9751,20035,61925,963
2017-09-29$37.90$39.0012.7%3.6%13.5%29.2%13.8%2.3%2.3%3.3M-6.0M-255.4K1.2713.95N/AN/A1,0271,30435,62426,001