PPL Options History — March 2020 In March 2020, PPL traded between $18.36 and $32.03. ATM implied volatility averaged 64.7%, placing in the 83.9% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 10.7% (HV 20d: 75.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.72.
Notable Days 2020-03-26 : Highest Volume — 7,907 contracts2020-03-09 : Largest IV spike — 42.7% change2020-03-06 : Highest IV Rank — 100.0%2020-03-19 : Largest Expected Move — 28.8%Monthly Statistics Metric Avg Min Max Open Close Price $26.14 $18.36 $32.03 $31.53 $24.70 Max Pain $31.77 $30.00 $35.00 $35.00 $30.00 ATM IV 64.7% 27.4% 100.4% 29.5% 64.1% Expected Move 18.2% 7.9% 28.8% 8.5% 18.4% HV 20d 75.4% 39.2% 122.2% 39.4% 121.2% HV 60d 47.3% 27.8% 73.1% 27.9% 73.1% IV Rank 83.9% 58.3% 100.0% 73.1% 58.3% IV Percentile 99.0% 95.6% 100.0% 99.6% 95.6% Term Structure -10.1% -29.0% 0.5% -4.2% -7.4% VWIV 60.5% 28.2% 93.0% 28.8% 64.3% Skew 25d 14.4% 2.1% 30.7% 6.0% 14.0% Skew 10d 23.4% -12.3% 68.9% 16.7% 31.1% Call IV 25d 59.3% 25.7% 99.0% 28.1% 57.2% Put IV 25d 73.6% 32.5% 112.0% 34.1% 71.2% Bid-Ask Spread % 56.98 17.26 80.32 17.26 62.33 Gamma HHI 0.11 0.08 0.16 0.14 0.10 Net GEX 665.2K 18.0K 2.0M 1.0M 253.8K Net DEX 12.2M -12.3M 28.1M -1.7M 17.1M Net VEX -226.2K -304.7K -92.5K -249.2K -185.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.05 2.54 0.05 1.53 Total Volume 3,107.682 432 7,907 7,386 925 Total OI 70,134.545 60,561 75,977 60,561 71,850
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $31.53 $35.00 29.5% 8.5% 39.4% 73.1% 28.8% 6.0% -4.2% 1.0M -1.7M -249.2K 0.05 17.26 N/A N/A 7,059 327 43,968 16,593 2020-03-03 $31.36 $34.00 33.6% 9.6% 39.2% 91.3% 32.1% 7.9% -4.6% 1.5M -2.6M -262.7K 0.42 53.62 N/A N/A 2,576 1,080 48,028 16,739 2020-03-04 $32.03 $33.00 27.4% 7.9% 40.4% 63.7% 28.2% 6.8% -1.3% 2.0M -12.3M -284.0K 0.19 28.54 N/A N/A 1,764 330 49,510 17,508 2020-03-05 $31.52 $32.00 32.8% 8.3% 40.3% 88.0% 34.7% 7.0% -4.9% 1.8M -7.2M -287.1K 2.30 39.19 N/A N/A 131 301 49,874 17,585 2020-03-06 $31.49 $32.00 42.2% 10.8% 40.4% 100.0% 34.6% 6.3% -8.3% 1.6M -8.9M -304.7K 0.71 55.79 N/A N/A 2,222 1,585 49,978 17,808 2020-03-09 $29.37 $32.00 60.2% 13.5% 46.0% 100.0% 47.0% 12.2% -14.2% 1.0M 7.9M -280.8K 1.49 45.91 N/A N/A 728 1,085 51,276 19,255 2020-03-10 $29.65 $32.00 53.8% 12.6% 46.5% 86.3% 45.1% 10.9% -10.0% 1.0M 5.8M -289.9K 0.75 35.75 N/A N/A 1,882 1,405 51,505 19,611 2020-03-11 $29.27 $32.00 49.5% 14.2% 46.2% 77.3% 50.3% 12.4% -10.4% 979.9K 6.2M -298.3K 1.33 46.51 N/A N/A 2,165 2,882 51,973 20,555 2020-03-12 $26.56 $32.00 56.1% 16.1% 55.0% 91.2% 56.6% 12.8% -4.0% 449.9K 19.6M -257.7K 0.32 68.83 N/A N/A 1,124 365 53,812 21,136 2020-03-13 $26.39 $32.00 64.0% 18.4% 54.9% 100.0% 52.9% 20.4% 0.5% 433.2K 16.0M -271.3K 2.54 80.32 N/A N/A 501 1,273 54,084 21,188 2020-03-16 $24.04 $32.00 82.2% 23.6% 61.3% 100.0% 79.1% 2.1% -24.4% 268.3K 24.4M -221.0K 0.68 60.70 N/A N/A 787 535 54,209 21,581 2020-03-17 $25.53 $32.00 71.6% 20.5% 66.2% 84.7% 74.8% 16.0% -18.0% 345.4K 20.0M -249.0K 0.53 57.06 N/A N/A 1,157 611 54,278 21,699 2020-03-18 $21.21 $32.00 99.6% 28.6% 89.2% 100.0% 69.9% 23.7% -29.0% 129.3K 27.9M -166.0K 0.08 59.58 N/A N/A 5,661 444 53,826 21,651 2020-03-19 $21.76 $32.00 100.4% 28.8% 90.4% 100.0% 93.0% 12.9% -21.4% 103.9K 27.0M -174.9K 0.38 65.30 N/A N/A 519 198 53,213 21,275 2020-03-20 $20.72 $32.00 77.6% 22.2% 90.0% 73.8% 74.0% 30.7% -10.4% 61.9K 28.1M -132.7K 0.44 79.52 N/A N/A 2,438 1,069 53,350 19,872 2020-03-23 $18.36 $31.00 91.5% 26.2% 95.6% 89.7% 82.3% 22.4% -3.8% 18.0K 25.6M -92.5K 0.28 64.00 N/A N/A 1,313 374 43,835 18,213 2020-03-24 $21.13 $31.00 80.0% 22.9% 113.7% 76.6% 78.8% 21.8% -9.4% 40.8K 25.7M -120.7K 0.34 66.91 N/A N/A 3,594 1,204 44,380 18,270 2020-03-25 $22.82 $31.00 81.8% 23.4% 119.1% 78.6% 79.6% 17.2% -11.0% 170.4K 18.8M -176.1K 0.62 73.48 N/A N/A 1,865 1,155 46,196 19,096 2020-03-26 $24.38 $30.00 82.0% 23.5% 121.7% 78.9% 80.2% 20.4% -11.6% 295.4K 14.9M -198.3K 0.13 65.46 N/A N/A 7,016 891 47,162 19,854 2020-03-27 $25.35 $30.00 78.7% 22.6% 122.2% 75.0% 78.9% 15.2% -12.5% 592.0K 6.6M -244.6K 0.65 60.20 N/A N/A 908 590 53,070 20,198 2020-03-30 $25.85 $30.00 65.8% 18.9% 120.6% 60.2% 65.2% 16.4% -3.0% 504.1K 9.4M -229.9K 0.09 67.24 N/A N/A 3,975 355 53,241 20,655 2020-03-31 $24.70 $30.00 64.1% 18.4% 121.2% 58.3% 64.3% 14.0% -7.4% 253.8K 17.1M -185.1K 1.53 62.33 N/A N/A 366 559 50,991 20,859
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