PPL Options History — November 2019

In November 2019, PPL traded between $33.19 and $34.25. ATM implied volatility averaged 17.2%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.5% (HV 20d: 11.7%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2019-11-15: Highest Volume — 25,195 contracts
  • 2019-11-05: Largest IV drop — 20.3% change
  • 2019-11-04: Highest IV Rank — 56.1%
  • 2019-11-04: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.69$33.19$34.25$33.59$34.07
Max Pain$32.95$32.00$33.00$32.00$33.00
ATM IV17.2%15.5%21.4%18.4%15.5%
Expected Move5.0%4.5%5.7%5.3%4.5%
HV 20d11.7%8.6%17.9%17.7%8.8%
HV 60d16.4%16.1%16.9%16.9%16.1%
IV Rank32.9%23.7%56.1%39.5%23.7%
IV Percentile36.5%11.5%88.1%58.3%11.5%
Term Structure-0.2%-1.0%1.0%-0.2%0.5%
VWIV17.6%15.7%20.9%18.2%16.4%
Skew 25d2.7%1.4%3.4%2.7%2.4%
Skew 10d6.0%2.5%10.6%3.9%5.3%
Call IV 25d16.3%14.1%18.2%18.2%14.8%
Put IV 25d19.0%17.1%20.9%20.9%17.2%
Bid-Ask Spread %20.8312.6830.8720.2220.23
Gamma HHI0.380.300.600.370.33
Net GEX12.3M7.2M18.0M12.6M10.9M
Net DEX-125.7M-172.5M-88.5M-140.3M-109.8M
Net VEX-371.5K-434.0K-332.7K-434.0K-336.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.0111.490.320.86
Total Volume2,961.4529925,195592448
Total OI110,186.3594,765125,222115,392100,316

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$33.59$32.0018.4%5.3%17.7%39.5%18.2%2.7%-0.2%12.6M-140.3M-434.0K0.3220.22N/AN/A45014278,22037,172
2019-11-04$33.41$33.0021.4%5.7%17.9%56.1%20.2%2.7%-0.6%13.6M-133.9M-409.7K0.6326.99N/AN/A1,33984778,33337,171
2019-11-05$33.52$33.0017.1%5.3%15.8%32.2%19.5%3.2%-1.0%14.7M-138.3M-407.2K0.2924.88N/AN/A1,88554078,28137,944
2019-11-06$33.19$33.0018.1%5.3%16.7%38.0%17.3%2.2%-0.3%15.6M-119.7M-403.6K0.0625.49N/AN/A1,75410778,26138,379
2019-11-07$33.25$33.0017.7%5.3%16.6%35.5%18.2%3.0%-0.8%16.3M-122.8M-392.0K0.4220.72N/AN/A39316478,19738,421
2019-11-08$33.59$33.0016.4%5.1%13.2%28.2%17.5%2.8%-0.7%16.5M-145.0M-380.1K0.0418.27N/AN/A5,59325178,22938,491
2019-11-11$33.61$33.0016.1%5.1%11.8%26.5%17.6%3.1%0.1%18.0M-150.8M-369.5K1.7322.46N/AN/A25644381,11738,618
2019-11-12$33.68$33.0017.3%5.4%11.1%33.2%20.9%3.2%-0.5%17.4M-158.4M-362.9K11.4930.87N/AN/A3844,41481,34438,724
2019-11-13$33.85$33.0018.1%5.2%10.5%38.1%18.9%3.4%-0.1%16.7M-172.5M-342.6K1.3625.53N/AN/A1,2291,67781,40642,731
2019-11-14$33.61$33.0017.5%5.0%10.5%34.5%17.9%2.9%0.6%11.7M-156.8M-358.2K0.1330.11N/AN/A5497281,29543,783
2019-11-15$33.84$33.0017.6%5.0%10.6%34.8%17.1%2.9%0.2%11.0M-166.9M-332.7K0.0122.01N/AN/A25,02317281,42543,797
2019-11-18$33.60$33.0017.4%5.0%10.0%34.1%18.0%2.4%-0.2%7.2M-88.5M-377.3K2.2817.11N/AN/A5661,28862,41432,351
2019-11-19$33.68$33.0016.4%4.7%10.0%28.4%16.7%3.0%0.3%7.5M-91.1M-373.9K0.0513.60N/AN/A3,64217962,91833,342
2019-11-20$33.78$33.0017.5%5.0%8.9%34.2%17.0%2.4%-0.9%8.6M-98.4M-378.0K0.3316.78N/AN/A2257466,30633,423
2019-11-21$33.66$33.0017.3%4.9%8.9%33.1%17.2%2.8%0.3%8.1M-94.0M-373.6K0.2515.79N/AN/A65916766,40833,459
2019-11-22$33.83$33.0016.0%4.6%9.1%26.3%15.7%2.5%1.0%9.3M-99.5M-366.0K0.2418.97N/AN/A3448166,55933,522
2019-11-25$33.84$33.0016.5%4.7%8.8%28.8%16.1%2.0%-0.3%9.6M-101.3M-353.6K0.2916.38N/AN/A57716766,64533,583
2019-11-26$34.00$33.0015.9%4.5%8.8%25.5%15.9%3.0%0.3%10.3M-107.2M-344.3K0.4212.68N/AN/A2269466,89833,616
2019-11-27$34.25$33.0016.2%4.6%8.6%27.4%16.2%1.4%-0.8%11.5M-119.2M-334.5K0.0717.43N/AN/A2,62218666,99233,636
2019-11-29$34.07$33.0015.5%4.5%8.8%23.7%16.4%2.4%0.5%10.9M-109.8M-336.3K0.8620.23N/AN/A24120766,62933,687