PPL Options History — December 2017

In December 2017, PPL traded between $30.77 and $36.26. ATM implied volatility averaged 16.8%, placing in the 66.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.7% (HV 20d: 16.2%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2017-12-20: Highest Volume — 11,023 contracts
  • 2017-12-13: Largest IV drop — 21.8% change
  • 2017-12-26: Highest IV Rank — 82.9%
  • 2017-12-26: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.33$30.77$36.26$36.26$31.00
Max Pain$36.35$35.00$37.00$37.00$35.00
ATM IV16.8%13.9%20.0%16.6%16.0%
Expected Move4.6%4.0%5.2%4.8%4.6%
HV 20d16.2%12.0%20.7%14.2%19.6%
HV 60d14.9%13.4%17.0%13.6%16.7%
IV Rank66.3%47.9%82.9%57.3%65.7%
IV Percentile82.5%44.4%99.2%83.3%79.8%
Term Structure0.3%-0.7%1.8%-0.7%1.8%
VWIV16.1%14.0%18.3%17.0%15.9%
Skew 25d3.0%0.6%4.6%3.4%1.8%
Skew 10d6.5%1.5%11.1%10.0%9.6%
Call IV 25d15.1%12.8%18.1%14.1%15.2%
Put IV 25d18.1%15.5%20.1%17.6%17.1%
Bid-Ask Spread %14.768.0035.2810.9312.47
Gamma HHI0.220.110.350.230.33
Net GEX-124.2K-767.1K1.3M1.3M-547.3K
Net DEX26.8M2.3M39.7M2.3M37.2M
Net VEX-175.9K-216.1K-135.9K-216.1K-158.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.151.430.890.32
Total Volume5,289.951,60311,0231,6636,129
Total OI57,373.4550,91364,92550,91364,925

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$36.26$37.0016.6%4.8%14.2%57.3%17.0%3.4%-0.7%1.3M2.3M-216.1K0.8910.93N/AN/A87978432,44118,472
2017-12-04$35.97$37.0017.5%4.5%14.4%63.0%15.0%4.0%-0.6%894.6K7.7M-201.6K0.9511.30N/AN/A82278132,50918,585
2017-12-05$35.31$37.0019.9%4.7%15.5%80.2%16.5%4.6%0.0%332.4K15.5M-185.9K1.4335.28N/AN/A1,7692,53732,57918,715
2017-12-06$35.43$37.0018.1%4.7%13.7%67.7%16.3%3.1%-0.0%395.0K15.5M-209.5K0.8913.54N/AN/A1,7901,58833,51720,338
2017-12-07$35.00$37.0016.3%4.6%14.1%54.9%16.0%3.9%0.1%221.2K17.7M-212.6K1.1812.26N/AN/A1,4271,68434,38320,911
2017-12-08$34.58$37.0016.0%4.4%14.4%52.5%15.4%3.0%0.5%-90.8K22.2M-191.9K0.1812.52N/AN/A4,90586134,33520,747
2017-12-11$34.59$37.0016.9%4.2%14.0%59.3%15.6%3.4%0.7%91.0K20.4M-197.2K0.2713.56N/AN/A3,03282334,82220,761
2017-12-12$34.07$37.0020.0%4.7%14.0%80.4%16.2%2.1%-0.2%-182.3K25.6M-182.4K0.9915.83N/AN/A90289334,85620,907
2017-12-13$33.92$37.0015.6%4.5%12.7%56.4%15.8%2.9%0.2%-343.6K28.3M-174.5K0.2320.47N/AN/A4,20595734,90221,116
2017-12-14$33.83$37.0014.9%4.3%12.1%56.3%14.9%2.9%0.7%-181.8K26.6M-179.7K0.9113.06N/AN/A1,03193835,63721,150
2017-12-15$33.80$37.0014.8%4.2%12.0%55.3%14.5%2.7%1.1%-245.9K27.2M-177.0K0.8814.67N/AN/A1,3251,17235,79421,218
2017-12-18$33.97$37.0013.9%4.0%12.3%47.9%14.0%2.8%1.4%-200.5K23.4M-175.4K0.2823.90N/AN/A5,1041,41831,89220,413
2017-12-19$32.41$36.0016.9%4.8%19.8%73.4%16.5%2.8%0.3%-339.1K33.6M-149.6K0.5419.72N/AN/A4,7942,60335,95921,034
2017-12-20$31.62$36.0017.1%4.9%20.7%74.9%16.8%3.1%-0.2%-767.1K39.0M-135.9K0.1511.87N/AN/A9,5721,45136,39122,289
2017-12-21$31.17$36.0017.3%5.0%20.7%76.9%17.1%3.1%0.3%-668.5K39.5M-146.9K0.258.00N/AN/A8,2062,03037,61622,537
2017-12-22$31.14$35.0017.0%4.9%20.2%74.3%16.3%3.2%-0.1%-346.6K36.9M-156.4K0.3410.75N/AN/A6,6542,29040,66622,759
2017-12-26$30.77$35.0018.0%5.2%19.3%82.9%18.0%0.6%0.4%-625.8K39.0M-152.1K0.4210.96N/AN/A5,4012,26839,49123,580
2017-12-27$30.84$35.0017.6%5.1%19.6%79.9%18.3%2.7%-0.4%-607.1K39.7M-156.0K0.3011.52N/AN/A5,1131,55640,25224,273
2017-12-28$30.92$35.0016.0%4.6%19.6%66.0%16.2%3.2%1.1%-568.4K37.9M-159.1K0.3412.59N/AN/A4,5481,55740,54824,149
2017-12-29$31.00$35.0016.0%4.6%19.6%65.7%15.9%1.8%1.8%-547.3K37.2M-158.8K0.3212.47N/AN/A4,6341,49540,60824,317