PPL Options History — December 2019

In December 2019, PPL traded between $33.67 and $36.17. ATM implied volatility averaged 15.7%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 2.7% (HV 20d: 18.5%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2019-12-06: Highest Volume — 39,740 contracts
  • 2019-12-13: Largest IV drop — 26.3% change
  • 2019-12-12: Highest IV Rank — 52.1%
  • 2019-12-12: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.03$33.67$36.17$34.28$35.81
Max Pain$32.71$30.00$33.00$33.00$33.00
ATM IV15.7%14.0%20.7%16.5%14.7%
Expected Move4.5%4.0%5.9%4.7%4.2%
HV 20d18.5%8.8%25.0%8.9%24.7%
HV 60d17.2%14.5%19.1%16.0%18.1%
IV Rank25.0%15.3%52.1%29.0%22.0%
IV Percentile18.4%2.0%88.1%27.8%6.0%
Term Structure1.1%-1.9%2.8%-0.5%1.0%
VWIV15.8%12.2%21.4%17.3%15.3%
Skew 25d2.6%1.1%4.2%2.1%3.4%
Skew 10d6.9%3.6%14.2%7.9%6.4%
Call IV 25d15.0%13.9%19.4%15.5%14.2%
Put IV 25d17.6%16.1%23.6%17.7%17.7%
Bid-Ask Spread %14.078.4427.9517.568.44
Gamma HHI0.380.330.430.350.40
Net GEX9.9M7.1M14.0M11.3M9.6M
Net DEX-129.6M-182.7M-60.0M-118.6M-146.2M
Net VEX-348.8K-431.0K-312.5K-325.6K-313.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.005.310.210.77
Total Volume4,933.85733939,7401,142339
Total OI101,631.04890,515117,125100,48691,643

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$34.28$33.0016.5%4.7%8.9%29.0%17.3%2.1%-0.5%11.3M-118.6M-325.6K0.2117.56N/AN/A94020266,66733,819
2019-12-03$34.14$33.0016.9%4.8%8.8%30.9%15.7%2.3%-0.6%10.8M-113.0M-325.3K0.0821.77N/AN/A1,41411566,73433,870
2019-12-04$34.60$33.0015.6%4.5%9.8%24.1%16.8%2.6%-0.0%12.5M-133.0M-312.5K0.9511.40N/AN/A1,03098366,83233,903
2019-12-05$34.23$30.0015.8%4.5%9.9%25.2%14.2%1.8%1.5%12.5M-116.4M-312.9K0.0517.07N/AN/A9,68448767,07634,707
2019-12-06$34.41$30.0014.7%4.4%10.0%19.0%12.2%1.1%1.8%14.0M-126.1M-351.0K0.0011.16N/AN/A39,6479368,83735,015
2019-12-09$33.75$33.0017.1%4.7%12.0%32.2%16.7%3.0%1.0%9.0M-68.0M-376.3K0.3913.13N/AN/A73628557,98935,063
2019-12-10$33.70$33.0016.5%4.7%12.0%28.9%16.8%3.3%1.0%9.1M-65.0M-371.7K0.9215.22N/AN/A61456558,03535,147
2019-12-11$33.75$33.0017.0%4.9%12.0%31.7%15.9%3.1%1.2%9.0M-67.7M-381.5K0.6227.95N/AN/A6,1363,81158,41535,658
2019-12-12$33.67$33.0020.7%5.9%11.9%52.1%21.4%4.2%-1.9%7.1M-60.0M-431.0K3.0621.43N/AN/A2,3857,30063,81041,237
2019-12-13$35.67$33.0015.3%4.4%23.5%22.3%16.6%3.6%1.6%10.0M-160.4M-350.5K0.4111.75N/AN/A7,8893,25064,73347,393
2019-12-16$36.17$33.0014.8%4.2%23.8%19.5%16.0%3.1%2.3%8.1M-182.7M-338.2K0.319.50N/AN/A2,40074867,53048,325
2019-12-17$36.07$33.0015.7%4.5%23.6%24.7%15.7%2.8%1.4%8.4M-176.8M-352.6K0.388.60N/AN/A69626667,29248,897
2019-12-18$35.93$33.0015.7%4.5%23.7%24.8%15.8%2.5%1.7%8.7M-173.5M-350.3K5.319.18N/AN/A6803,61367,30049,041
2019-12-19$35.60$33.0015.4%4.4%24.1%22.9%15.7%2.7%1.9%9.4M-162.2M-367.5K0.4513.01N/AN/A72432567,33449,476
2019-12-20$36.02$33.0014.3%4.1%24.2%17.2%14.8%2.1%2.8%8.1M-177.3M-346.4K0.1014.27N/AN/A2,52025667,59949,526
2019-12-23$35.57$33.0014.4%4.1%24.9%17.7%14.4%2.0%1.9%9.6M-136.1M-352.9K0.6211.66N/AN/A68842659,88930,626
2019-12-24$35.59$33.0014.0%4.0%24.9%15.3%14.1%2.6%2.1%9.7M-135.8M-351.1K3.3115.87N/AN/A15049659,98630,883
2019-12-26$35.43$33.0015.4%4.4%25.0%22.9%15.2%2.0%1.1%10.3M-129.9M-346.3K0.1611.33N/AN/A4857660,04231,221
2019-12-27$35.51$33.0015.1%4.3%24.9%21.1%16.2%2.6%0.5%9.9M-132.4M-347.4K0.5610.71N/AN/A32618460,12831,260
2019-12-30$35.66$33.0014.8%4.2%24.8%20.7%15.5%2.0%1.4%10.0M-141.3M-320.2K0.5014.37N/AN/A43221560,12731,187
2019-12-31$35.81$33.0014.7%4.2%24.7%22.0%15.3%3.4%1.0%9.6M-146.2M-313.7K0.778.44N/AN/A19114860,30831,335