PPL Options History — March 2018

In March 2018, PPL traded between $27.16 and $28.33. ATM implied volatility averaged 25.0%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.2% (HV 20d: 26.3%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2018-03-07: Highest Volume — 18,829 contracts
  • 2018-03-14: Largest IV drop — 25.4% change
  • 2018-03-06: Highest IV Rank — 100.0%
  • 2018-03-07: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.76$27.16$28.33$28.20$28.32
Max Pain$28.57$28.00$31.00$30.00$28.00
ATM IV25.0%20.5%36.4%26.1%21.5%
Expected Move6.6%5.9%8.1%7.5%6.2%
HV 20d26.3%20.3%30.5%29.1%20.3%
HV 60d22.6%21.6%23.5%22.4%22.1%
IV Rank65.0%43.3%100.0%97.1%46.7%
IV Percentile94.0%87.7%100.0%99.6%87.7%
Term Structure-0.7%-4.3%1.4%-4.3%0.9%
VWIV22.7%19.4%28.1%26.3%19.4%
Skew 25d2.4%0.4%5.8%4.2%1.9%
Skew 10d3.8%-6.7%29.1%1.7%7.1%
Call IV 25d22.1%19.0%29.5%22.9%20.0%
Put IV 25d24.5%20.3%31.8%27.0%21.9%
Bid-Ask Spread %22.089.2666.3718.2512.93
Gamma HHI0.320.130.600.200.43
Net GEX2.2M346.9K5.8M382.2K2.6M
Net DEX10.6M-10.0M28.7M28.5M-6.4M
Net VEX-214.3K-261.7K-155.4K-155.4K-257.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.090.690.220.49
Total Volume6,511.193,22118,8298,0495,130
Total OI69,016.57155,06882,87555,06867,903

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$28.20$30.0026.1%7.5%29.1%97.1%26.3%4.2%-4.3%382.2K28.5M-155.4K0.2218.25N/AN/A6,5791,47037,33217,736
2018-03-02$27.75$30.0024.6%7.1%29.0%89.0%23.3%5.8%-0.4%478.6K28.3M-165.0K0.5012.74N/AN/A5,1462,54939,50618,271
2018-03-05$28.33$31.0024.3%6.2%30.5%86.8%23.4%4.2%-1.4%400.3K26.8M-178.4K0.2615.37N/AN/A6,2191,62639,57919,605
2018-03-06$27.69$31.0029.2%7.1%30.1%100.0%24.4%3.8%-2.4%346.9K28.7M-178.5K0.0966.37N/AN/A16,5431,46040,46719,730
2018-03-07$27.63$29.0036.4%8.1%30.0%100.0%28.1%2.3%-2.3%1.9M16.3M-220.4K0.1360.41N/AN/A16,6852,14450,81620,407
2018-03-08$27.73$29.0031.1%7.4%29.8%80.9%26.2%1.6%-0.6%3.1M7.9M-250.0K0.3654.85N/AN/A4,0791,47258,24921,392
2018-03-09$27.52$28.0029.0%6.5%28.9%73.5%23.2%0.4%-0.4%3.2M13.4M-230.9K0.2614.68N/AN/A3,63093059,55921,216
2018-03-12$27.90$28.0030.9%6.8%28.5%80.1%23.6%2.0%-1.2%4.1M3.6M-237.9K0.3612.93N/AN/A3,1671,15360,66321,093
2018-03-13$27.77$28.0031.5%6.6%28.0%82.4%23.0%2.1%-1.7%4.0M9.3M-225.0K0.3437.79N/AN/A2,70591561,16921,215
2018-03-14$27.95$28.0023.5%6.7%27.8%53.9%23.4%1.7%-2.5%4.8M3.2M-231.2K0.2415.46N/AN/A3,94995461,48021,016
2018-03-15$27.86$28.0021.7%6.2%27.5%47.4%21.7%1.3%-0.5%5.8M7.8M-224.5K0.519.26N/AN/A2,2081,11561,75621,119
2018-03-16$28.18$28.0021.0%6.0%25.8%45.0%20.4%1.0%-0.6%1.6M-10.0M-219.4K0.2813.38N/AN/A3,49198361,74620,835
2018-03-19$27.41$28.0022.9%6.6%26.1%51.8%22.2%2.4%-0.9%1.2M10.9M-200.7K0.589.71N/AN/A2,3231,34640,98716,439
2018-03-20$27.24$28.0021.0%6.0%25.6%44.9%20.8%2.2%0.3%991.6K14.1M-186.4K0.6911.95N/AN/A2,1051,45541,36216,830
2018-03-21$27.24$28.0020.5%5.9%25.0%43.3%19.7%1.3%0.4%939.4K14.7M-194.8K0.1820.64N/AN/A6,3511,11541,66117,598
2018-03-22$27.39$28.0022.2%6.4%24.2%49.0%20.9%2.2%0.3%1.5M10.2M-212.0K0.2419.09N/AN/A4,6181,12546,04517,763
2018-03-23$27.16$28.0021.5%6.2%20.9%46.8%21.3%2.5%1.4%1.4M12.1M-210.1K0.5313.65N/AN/A2,1071,11447,61017,935
2018-03-26$27.50$28.0021.9%6.3%21.3%48.1%20.4%2.7%0.4%1.8M8.9M-218.9K0.269.48N/AN/A5,3521,41547,43118,109
2018-03-27$27.97$28.0021.8%6.3%21.7%47.8%22.1%1.9%0.5%2.5M-91.6K-241.7K0.3414.91N/AN/A3,1451,08549,64118,286
2018-03-28$28.16$28.0022.9%6.6%21.0%51.6%23.1%2.2%1.1%2.6M-5.9M-261.7K0.4119.75N/AN/A4,0911,68649,53518,256
2018-03-29$28.32$28.0021.5%6.2%20.3%46.7%19.4%1.9%0.9%2.6M-6.4M-257.6K0.4912.93N/AN/A3,4431,68749,09118,812