PPL Options History — October 2017

In October 2017, PPL traded between $37.30 and $38.35. ATM implied volatility averaged 14.5%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.8% (HV 20d: 13.7%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2017-10-23: Highest Volume — 9,312 contracts
  • 2017-10-11: Largest IV spike — 21.0% change
  • 2017-10-30: Highest IV Rank — 61.5%
  • 2017-10-30: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.67$37.30$38.35$37.71$37.55
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV14.5%11.9%17.4%14.5%14.3%
Expected Move4.3%3.4%5.0%4.2%4.1%
HV 20d13.7%12.4%15.1%13.5%12.5%
HV 60d11.3%10.7%11.9%10.7%11.5%
IV Rank41.6%23.6%61.5%42.1%40.3%
IV Percentile51.5%5.6%77.8%54.4%52.0%
Term Structure0.0%-1.1%2.6%0.8%-0.5%
VWIV14.6%11.7%16.4%14.8%15.8%
Skew 25d3.0%1.7%3.9%1.7%3.1%
Skew 10d7.3%1.8%11.1%6.1%2.2%
Call IV 25d13.7%12.3%14.8%14.3%14.6%
Put IV 25d16.7%14.9%18.6%16.1%17.7%
Bid-Ask Spread %20.8210.7856.1137.6910.78
Gamma HHI0.290.200.510.270.39
Net GEX3.3M1.6M7.8M2.8M3.0M
Net DEX-9.4M-30.0M-2.5M-9.3M-7.9M
Net VEX-223.1K-244.0K-207.9K-244.0K-215.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.143.351.263.35
Total Volume3,107.9551,5909,3122,3293,159
Total OI57,486.81835,93965,46460,15345,721

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$37.71$38.0014.5%4.2%13.5%42.1%14.8%1.7%0.8%2.8M-9.3M-244.0K1.2637.69N/AN/A1,0321,29735,66024,493
2017-10-03$37.44$38.0014.8%4.2%13.6%43.6%14.3%1.7%1.5%1.6M-3.3M-233.2K1.7711.94N/AN/A6851,21235,60024,550
2017-10-04$37.66$38.0011.9%3.4%13.9%23.6%11.7%2.6%2.6%1.8M-5.4M-233.3K0.1910.85N/AN/A6,8081,31635,61524,708
2017-10-05$37.30$38.0014.0%4.3%14.0%38.4%14.8%3.9%0.4%2.4M-3.0M-229.0K1.8016.86N/AN/A6981,25839,40724,826
2017-10-06$37.33$38.0013.4%4.6%13.4%34.5%15.1%3.1%-1.1%2.3M-2.5M-227.0K1.8818.86N/AN/A6271,17839,36724,839
2017-10-09$37.42$38.0013.7%4.5%13.1%36.1%14.1%3.1%-0.1%2.6M-4.6M-219.0K0.8717.09N/AN/A1,4131,23439,41224,846
2017-10-10$37.84$38.0012.2%4.2%12.4%25.7%14.5%2.2%0.1%4.6M-14.8M-229.4K0.9813.52N/AN/A1,0601,04139,63024,885
2017-10-11$37.93$38.0014.7%4.2%12.4%43.4%13.8%3.4%-0.2%4.5M-15.0M-227.3K0.5415.48N/AN/A1,9641,05639,60024,875
2017-10-12$38.35$38.0014.8%4.2%12.8%44.0%14.5%2.4%0.1%7.8M-30.0M-240.0K0.9617.16N/AN/A1,1431,09240,16824,888
2017-10-13$37.51$38.0014.4%4.1%14.7%41.4%14.1%3.6%-0.3%3.2M-8.1M-226.6K1.3914.78N/AN/A8611,19440,25024,882
2017-10-16$37.40$38.0015.8%4.5%14.7%50.4%15.6%2.7%-0.6%2.3M-4.0M-210.2K1.3718.33N/AN/A8091,10940,32224,898
2017-10-17$37.49$38.0015.8%4.5%14.7%50.7%15.7%3.2%-0.5%3.0M-6.9M-209.7K0.8719.32N/AN/A84974140,31024,957
2017-10-18$37.50$38.0015.5%4.4%14.4%48.6%14.8%2.6%0.0%2.6M-4.7M-209.0K0.7818.35N/AN/A93072340,36624,970
2017-10-19$37.83$38.0014.6%4.2%14.9%42.3%15.1%3.3%-0.3%7.4M-13.5M-211.5K1.0514.72N/AN/A9801,02740,41324,760
2017-10-20$37.78$38.0014.2%4.1%14.6%39.5%15.2%3.6%-0.2%1.6M-8.1M-215.5K0.9617.48N/AN/A1,0421,00440,53324,931
2017-10-23$38.16$38.0014.6%4.2%15.1%42.7%13.4%3.6%0.5%2.0M-10.3M-207.9K0.1417.65N/AN/A8,1671,14520,20415,735
2017-10-24$37.94$38.0014.5%4.1%15.1%41.5%14.4%2.8%0.3%3.7M-14.1M-226.5K1.0116.57N/AN/A96197527,48415,976
2017-10-25$37.72$38.0014.2%4.1%13.3%39.7%13.9%3.7%-0.1%3.2M-10.8M-225.4K0.3818.06N/AN/A2,7921,06027,66316,072
2017-10-26$37.70$38.0014.5%4.2%13.1%42.0%15.4%3.1%-0.3%3.4M-11.2M-224.9K2.1150.24N/AN/A9932,09328,83816,157
2017-10-27$37.74$38.0014.6%4.2%12.7%42.4%14.8%2.5%-0.2%3.5M-11.2M-227.2K0.6126.28N/AN/A3,4152,09628,99317,223
2017-10-30$37.49$38.0017.4%5.0%12.8%61.5%16.4%3.8%-0.9%3.0M-9.1M-216.9K0.9856.11N/AN/A2,0872,04929,33916,344
2017-10-31$37.55$38.0014.3%4.1%12.5%40.3%15.8%3.1%-0.5%3.0M-7.9M-215.0K3.3510.78N/AN/A7262,43329,36616,355