PPL Options History — January 2020

In January 2020, PPL traded between $35.16 and $36.76. ATM implied volatility averaged 15.6%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.2% (HV 20d: 15.7%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2020-01-16: Highest Volume — 24,272 contracts
  • 2020-01-15: Largest IV drop — 20.6% change
  • 2020-01-14: Highest IV Rank — 45.9%
  • 2020-01-31: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.90$35.16$36.76$35.43$36.07
Max Pain$35.05$33.00$36.00$33.00$36.00
ATM IV15.6%13.2%18.6%16.0%17.3%
Expected Move4.5%4.1%5.0%4.6%5.0%
HV 20d15.7%9.5%25.1%25.1%11.3%
HV 60d16.5%15.8%18.3%18.3%16.4%
IV Rank27.3%12.5%45.9%30.1%38.1%
IV Percentile23.2%0.4%79.0%25.8%54.4%
Term Structure0.6%-0.2%1.6%0.5%1.1%
VWIV15.6%13.4%18.9%16.0%17.0%
Skew 25d2.6%1.3%5.7%4.2%1.3%
Skew 10d6.0%2.9%10.8%7.9%2.9%
Call IV 25d14.4%12.4%17.1%13.0%17.1%
Put IV 25d17.1%15.7%18.4%17.2%18.4%
Bid-Ask Spread %14.578.7919.8413.9418.26
Gamma HHI0.560.300.700.440.70
Net GEX9.5M4.7M13.7M11.7M7.4M
Net DEX-112.7M-172.7M-56.7M-133.0M-64.7M
Net VEX-286.6K-317.9K-240.1K-317.9K-311.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.014.650.280.05
Total Volume2,688.57147324,2727112,094
Total OI75,930.04847,66495,65191,83458,701

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$35.43$33.0016.0%4.6%25.1%30.1%16.0%4.2%0.5%11.7M-133.0M-317.9K0.2813.94N/AN/A55715460,38931,445
2020-01-03$35.32$33.0015.6%4.5%24.7%27.1%15.6%2.3%1.6%12.2M-131.3M-316.7K1.9614.34N/AN/A27153260,52531,515
2020-01-06$35.41$35.0016.5%4.8%24.4%33.3%16.8%2.7%0.3%12.2M-134.8M-303.6K0.2119.84N/AN/A56811760,66631,960
2020-01-07$35.16$35.0016.2%4.7%24.5%31.3%16.9%2.7%0.4%13.7M-125.7M-307.8K0.1717.66N/AN/A4056860,76332,025
2020-01-08$35.56$35.0013.2%4.5%23.5%12.5%15.0%3.8%0.3%12.2M-145.2M-284.5K0.1317.23N/AN/A86510960,83332,013
2020-01-09$35.44$35.0014.7%4.7%23.6%22.0%16.6%2.8%-0.2%13.0M-142.7M-287.2K0.1015.01N/AN/A1,43914261,32132,039
2020-01-10$35.50$35.0014.8%4.7%23.6%22.5%15.9%2.7%0.2%12.2M-148.1M-284.7K0.1112.81N/AN/A4755161,79132,154
2020-01-13$35.41$35.0017.8%4.5%23.6%41.1%15.2%2.5%0.5%13.7M-146.0M-274.1K0.7110.41N/AN/A61043261,86932,686
2020-01-14$35.48$35.0018.6%4.6%11.5%45.9%15.8%2.7%0.3%13.6M-149.7M-263.2K0.6810.92N/AN/A46831961,91932,905
2020-01-15$35.83$35.0014.7%4.2%10.9%22.0%14.9%2.4%0.9%8.1M-170.2M-244.0K0.5514.18N/AN/A93251062,02133,062
2020-01-16$35.95$35.0014.4%4.1%10.9%19.8%14.4%1.3%0.8%4.7M-172.7M-240.1K0.0114.55N/AN/A23,97829461,99433,329
2020-01-17$36.02$35.0014.5%4.2%10.8%20.8%13.4%2.6%-0.2%11.4M-149.2M-276.2K0.0510.95N/AN/A5,88527962,16133,490
2020-01-21$35.99$35.0014.9%4.3%10.3%22.9%14.2%2.7%0.9%5.3M-56.7M-279.7K0.1814.11N/AN/A2,83550736,40011,264
2020-01-22$36.15$35.0014.8%4.2%9.5%22.1%15.1%1.4%0.5%6.1M-62.9M-284.2K0.2317.10N/AN/A70816138,66011,452
2020-01-23$36.69$35.0014.2%4.1%9.6%18.6%15.0%2.2%1.1%7.2M-76.0M-285.2K0.8113.22N/AN/A56845938,97511,624
2020-01-24$36.45$35.0015.8%4.5%10.0%28.3%15.4%2.5%1.0%6.9M-70.1M-292.9K0.5214.14N/AN/A62732839,21211,971
2020-01-27$36.24$36.0016.3%4.7%10.1%31.6%18.9%1.7%0.9%6.3M-64.2M-293.3K4.6518.69N/AN/A2961,37739,47812,265
2020-01-28$36.67$36.0015.3%4.4%10.8%25.2%15.8%1.9%0.7%7.1M-75.8M-293.0K0.3213.09N/AN/A39712739,58013,420
2020-01-29$36.76$36.0015.4%4.4%10.8%26.0%15.5%3.1%0.8%7.3M-79.1M-287.6K0.4116.70N/AN/A36315039,76113,454
2020-01-30$36.47$36.0016.4%4.7%11.2%32.5%15.3%5.7%0.6%7.1M-68.6M-290.9K0.038.79N/AN/A5,84116239,86813,571
2020-01-31$36.07$36.0017.3%5.0%11.3%38.1%17.0%1.3%1.1%7.4M-64.7M-311.1K0.0518.26N/AN/A1,9979745,06613,635