PPL Options History — February 2020

In February 2020, PPL traded between $29.93 and $36.32. ATM implied volatility averaged 19.3%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.5% (HV 20d: 15.8%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.56.

Notable Days

  • 2020-02-27: Highest Volume — 8,538 contracts
  • 2020-02-28: Largest IV spike — 26.7% change
  • 2020-02-27: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.14$29.93$36.32$36.23$29.93
Max Pain$35.84$35.00$36.00$36.00$35.00
ATM IV19.3%16.2%35.5%17.7%35.5%
Expected Move5.6%4.7%10.2%5.1%10.2%
HV 20d15.8%10.3%32.7%11.2%32.7%
HV 60d18.0%16.2%25.6%16.4%25.6%
IV Rank47.2%31.3%100.0%40.3%100.0%
IV Percentile66.5%33.3%100.0%62.3%100.0%
Term Structure-1.2%-5.5%0.9%0.8%-5.5%
VWIV19.3%15.8%37.0%16.7%37.0%
Skew 25d2.9%1.1%6.1%4.5%6.1%
Skew 10d7.5%3.7%13.5%11.8%5.8%
Call IV 25d18.0%14.7%34.7%15.2%34.7%
Put IV 25d20.9%16.9%40.8%19.7%40.8%
Bid-Ask Spread %17.0410.0458.1510.4258.15
Gamma HHI0.470.130.780.740.13
Net GEX4.9M-110.3K11.6M8.9M603.9K
Net DEX-41.8M-69.5M12.4M-69.5M12.4M
Net VEX-263.8K-304.0K-214.3K-304.0K-214.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.012.720.070.93
Total Volume2,980.7893708,5384,7144,808
Total OI60,11049,18275,57360,40157,653

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$36.23$36.0017.7%5.1%11.2%40.3%16.7%4.5%0.8%8.9M-69.5M-304.0K0.0710.42N/AN/A4,41430046,71713,684
2020-02-04$36.09$36.0017.2%4.9%11.4%37.3%17.3%2.1%0.9%7.6M-62.2M-287.2K0.3810.04N/AN/A34913343,43913,666
2020-02-05$36.30$36.0017.7%5.1%11.1%40.6%17.0%2.9%0.7%8.5M-68.0M-290.2K0.1610.78N/AN/A3185244,02713,663
2020-02-06$36.12$36.0016.5%5.2%10.7%32.8%18.9%3.5%-1.3%8.4M-62.0M-285.7K0.4914.53N/AN/A25112344,19113,705
2020-02-07$36.07$36.0017.3%5.2%10.6%37.8%17.9%2.9%-1.4%7.9M-58.7M-276.9K1.7117.80N/AN/A23640344,26913,763
2020-02-10$36.00$36.0017.5%5.3%10.7%39.2%18.8%3.2%-1.7%7.7M-56.6M-270.3K0.4112.56N/AN/A58424244,27114,091
2020-02-11$36.15$36.0017.6%5.2%10.7%40.1%16.2%3.1%-1.6%8.6M-60.7M-266.0K0.0112.94N/AN/A7,1648944,38314,169
2020-02-12$36.32$36.0017.7%5.1%10.7%40.6%17.5%1.1%-0.9%11.6M-69.0M-271.4K0.1816.36N/AN/A62210948,13714,223
2020-02-13$36.26$36.0018.3%5.3%10.3%44.5%17.5%2.0%-1.4%10.7M-67.9M-274.1K2.7218.58N/AN/A1,6044,36848,43414,328
2020-02-14$35.17$36.0016.2%4.7%15.0%31.3%16.7%2.9%-0.3%313.8K-20.1M-245.5K0.2813.13N/AN/A2,34065849,05218,619
2020-02-18$35.84$36.0016.4%4.7%16.6%32.3%16.2%1.4%-0.3%410.6K-36.7M-243.6K0.3313.73N/AN/A64021350,46418,834
2020-02-19$35.18$36.0016.9%4.8%17.8%35.4%16.5%1.5%-0.7%384.0K-20.4M-240.2K0.1714.01N/AN/A71312050,44018,885
2020-02-20$35.38$36.0018.0%5.2%17.9%42.4%15.8%2.9%-1.5%-110.3K-23.9M-244.8K0.0115.75N/AN/A6,2056650,61718,903
2020-02-21$35.68$36.0017.4%5.0%17.3%38.9%17.2%2.6%-0.5%453.4K-36.6M-264.2K0.0413.64N/AN/A6,75624256,64518,928
2020-02-24$35.25$36.0019.4%5.6%17.6%50.9%19.8%1.4%-1.1%4.3M-46.1M-282.6K0.6517.97N/AN/A54235137,44011,742
2020-02-25$34.75$36.0019.7%5.7%18.1%46.5%19.5%3.7%-0.9%3.6M-36.3M-275.1K1.1414.06N/AN/A9681,10237,54112,057
2020-02-26$33.41$35.0022.4%6.4%21.6%65.7%21.9%3.5%-2.2%2.0M-15.3M-257.6K0.4415.06N/AN/A70131137,85112,674
2020-02-27$31.46$35.0028.0%8.0%29.1%100.0%28.4%4.2%-3.7%886.9K3.4M-218.2K0.4324.25N/AN/A5,9862,55237,82312,762
2020-02-28$29.93$35.0035.5%10.2%32.7%100.0%37.0%6.1%-5.5%603.9K12.4M-214.3K0.9358.15N/AN/A2,4852,32342,59515,058