PPL Options History — January 2018

In January 2018, PPL traded between $30.58 and $32.26. ATM implied volatility averaged 17.7%, placing in the 80.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.3% (HV 20d: 17.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2018-01-08: Highest Volume — 10,818 contracts
  • 2018-01-08: Largest IV spike — 15.4% change
  • 2018-01-30: Highest IV Rank — 100.0%
  • 2018-01-30: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.37$30.58$32.26$30.58$31.86
Max Pain$31.33$30.00$35.00$35.00$31.00
ATM IV17.7%15.4%20.5%16.4%18.1%
Expected Move5.2%4.7%5.9%4.7%5.2%
HV 20d17.4%11.0%22.4%19.7%12.5%
HV 60d16.7%16.4%17.1%16.7%17.1%
IV Rank80.4%60.5%100.0%69.0%80.4%
IV Percentile92.4%73.8%100.0%84.9%96.0%
Term Structure-0.4%-1.6%1.2%0.8%1.1%
VWIV17.8%16.6%19.3%16.8%18.1%
Skew 25d2.7%1.5%5.2%2.7%2.8%
Skew 10d6.5%1.9%12.3%3.9%8.8%
Call IV 25d16.9%12.8%18.5%16.1%17.2%
Put IV 25d19.5%18.0%21.7%18.8%19.9%
Bid-Ask Spread %16.446.3647.706.3615.23
Gamma HHI0.300.250.410.380.26
Net GEX697.6K-850.7K2.0M-812.2K1.8M
Net DEX18.3M-7.3M39.6M39.4M-1.9M
Net VEX-200.7K-236.1K-152.3K-152.3K-236.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.110.280.250.16
Total Volume7,3125,06910,8186,0835,069
Total OI61,229.76240,42674,12765,40548,853

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$30.58$35.0016.4%4.7%19.7%69.0%16.8%2.7%0.8%-812.2K39.4M-152.3K0.256.36N/AN/A4,8541,22940,97524,430
2018-01-03$30.63$35.0016.4%4.7%20.0%69.3%17.0%5.2%1.2%-850.7K39.6M-155.3K0.158.26N/AN/A7,9261,22541,24224,737
2018-01-04$30.71$30.0015.4%4.9%19.9%60.8%18.4%2.0%-0.6%-606.8K36.2M-171.8K0.2415.27N/AN/A7,4201,77943,06624,865
2018-01-05$30.95$31.0015.4%5.0%20.3%60.5%16.6%2.0%-0.6%-383.2K34.0M-172.4K0.2415.13N/AN/A5,3471,27343,56825,148
2018-01-08$31.38$31.0017.8%5.3%21.4%81.1%18.0%2.2%-1.0%-48.2K30.2M-189.7K0.1310.44N/AN/A9,5371,28143,62625,201
2018-01-09$31.32$31.0016.9%5.3%21.3%73.4%18.0%2.0%-1.0%453.8K26.5M-199.0K0.2311.89N/AN/A6,3491,43146,43425,326
2018-01-10$30.90$31.0018.0%5.2%21.4%83.4%17.6%2.6%-0.6%5.7K31.6M-191.2K0.2831.80N/AN/A5,9731,67545,97825,487
2018-01-11$30.88$31.0017.4%5.0%21.2%77.6%17.1%2.7%-0.1%-187.6K32.8M-187.1K0.2522.85N/AN/A5,2931,32446,04425,704
2018-01-12$31.05$31.0017.2%4.9%21.5%76.3%16.7%1.8%-0.1%108.8K30.3M-191.1K0.2524.05N/AN/A5,8271,43746,12925,938
2018-01-16$31.24$31.0018.7%5.4%21.8%89.1%18.1%2.6%-1.2%482.0K28.1M-191.9K0.2616.87N/AN/A5,7081,49046,63026,263
2018-01-17$31.56$31.0018.0%5.2%22.4%83.1%18.7%2.9%-1.6%888.9K23.9M-199.9K0.229.86N/AN/A6,4111,41646,90926,442
2018-01-18$31.61$31.0017.4%5.0%22.3%77.6%17.6%1.5%-0.9%1.0M22.3M-206.2K0.2222.18N/AN/A5,8011,26246,95626,594
2018-01-19$31.57$31.0017.2%4.9%15.2%76.4%17.2%2.5%-0.7%988.4K22.7M-206.6K0.2113.02N/AN/A6,1251,28347,43426,693
2018-01-22$31.49$31.0019.5%5.6%12.5%95.8%17.9%2.9%-1.3%970.7K4.4M-198.9K0.1114.71N/AN/A9,3861,04726,75113,675
2018-01-23$31.79$31.0018.2%5.2%11.8%84.9%18.5%2.9%-0.7%1.8M-2.4M-220.1K0.2216.13N/AN/A5,5221,20231,11013,960
2018-01-24$32.02$31.0017.9%5.1%12.0%82.0%17.7%2.8%0.2%1.9M-5.5M-231.5K0.1312.07N/AN/A5,81577831,47714,374
2018-01-25$32.26$31.0018.4%5.3%11.0%86.2%17.5%3.2%-0.5%2.0M-7.3M-230.1K0.2111.37N/AN/A4,8961,00831,66614,514
2018-01-26$32.00$31.0019.1%5.5%11.6%93.0%19.0%2.4%-0.6%1.9M-4.2M-233.4K0.189.57N/AN/A4,47278931,83214,887
2018-01-29$31.56$31.0018.6%5.3%12.9%88.3%19.0%2.7%0.5%1.6M1.5M-226.2K0.2047.70N/AN/A5,3121,04932,06715,117
2018-01-30$31.45$31.0020.5%5.9%13.0%100.0%19.3%3.2%0.0%1.5M2.9M-224.5K0.2310.42N/AN/A5,3081,22332,16715,556
2018-01-31$31.86$31.0018.1%5.2%12.5%80.4%18.1%2.8%1.1%1.8M-1.9M-236.1K0.1615.23N/AN/A4,37669332,81616,037