PPL Options History — May 2020

In May 2020, PPL traded between $24.28 and $27.97. ATM implied volatility averaged 40.8%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 9.9% (HV 20d: 50.7%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2020-05-28: Highest Volume — 7,566 contracts
  • 2020-05-08: Largest IV drop — 24.5% change
  • 2020-05-06: Highest IV Rank — 42.9%
  • 2020-05-06: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.57$24.28$27.97$24.82$27.97
Max Pain$25.40$25.00$26.00$25.00$25.00
ATM IV40.8%32.5%50.7%44.1%32.5%
Expected Move11.3%9.3%13.3%12.7%9.3%
HV 20d50.7%45.3%59.7%59.7%51.2%
HV 60d84.6%82.6%86.7%82.6%84.8%
IV Rank31.6%22.1%42.9%35.5%22.1%
IV Percentile81.9%75.8%87.3%85.7%75.8%
Term Structure-0.8%-2.7%0.9%0.2%0.0%
VWIV38.1%30.8%45.2%45.0%33.1%
Skew 25d11.1%6.3%15.8%14.5%7.4%
Skew 10d20.8%3.0%29.2%3.0%12.7%
Call IV 25d34.2%29.9%40.2%40.2%29.9%
Put IV 25d45.3%37.3%54.7%54.7%37.3%
Bid-Ask Spread %26.2015.1945.7036.5026.84
Gamma HHI0.160.080.310.090.29
Net GEX596.6K-247.7K2.8M143.3K2.8M
Net DEX6.8M-29.3M18.0M12.8M-29.3M
Net VEX-185.8K-264.3K-151.9K-171.9K-264.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.032.061.940.20
Total Volume2,368.154617,5669971,577
Total OI60,141.3547,31867,97559,51067,975

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$24.82$25.0044.1%12.7%59.7%35.5%45.0%14.5%0.2%143.3K12.8M-171.9K1.9436.50N/AN/A33965840,00919,501
2020-05-04$25.05$26.0049.0%13.2%56.4%41.0%45.2%15.8%-2.7%104.5K12.8M-171.9K0.4820.64N/AN/A44621239,97220,133
2020-05-05$25.36$26.0048.8%12.8%46.6%40.8%42.0%12.9%-1.9%184.1K10.6M-177.7K0.2620.04N/AN/A83721640,14120,192
2020-05-06$24.28$26.0050.7%13.3%46.7%42.9%43.2%14.3%-2.7%-95.5K17.0M-152.4K0.2419.20N/AN/A69116440,35320,329
2020-05-07$24.40$25.0049.3%13.0%45.3%41.3%39.4%12.2%-2.4%-47.6K15.5M-159.5K0.5719.51N/AN/A67638640,43620,453
2020-05-08$26.07$25.0037.2%11.3%49.1%27.5%39.7%13.4%0.7%300.5K6.8M-181.8K2.0630.95N/AN/A1,2482,57040,43520,690
2020-05-11$25.30$26.0046.1%11.6%48.6%37.7%42.0%11.7%-1.1%49.9K11.6M-170.9K0.9135.36N/AN/A73566941,35321,391
2020-05-12$24.91$26.0045.4%11.1%48.0%36.9%39.6%11.2%0.4%-128.8K14.0M-163.5K0.4245.70N/AN/A64927441,68721,652
2020-05-13$24.45$26.0043.4%12.4%46.2%34.6%43.1%14.0%-1.3%-247.7K16.9M-158.5K0.7938.76N/AN/A74158642,13021,830
2020-05-14$25.26$26.0041.4%11.9%47.8%32.3%41.0%12.5%-2.1%-188.0K12.5M-159.4K0.3533.82N/AN/A67423442,20622,038
2020-05-15$24.36$26.0040.7%11.7%47.2%31.6%37.6%12.6%-1.6%-211.5K18.0M-151.9K0.4422.75N/AN/A2,4891,10642,31822,191
2020-05-18$26.34$25.0036.8%10.5%53.5%27.0%33.7%10.3%-1.2%449.8K6.5M-187.3K0.1026.27N/AN/A3,64034828,32418,994
2020-05-19$25.47$25.0038.8%11.1%53.5%29.3%32.5%8.1%-0.9%466.6K9.9M-178.2K0.0718.88N/AN/A5,81240331,15619,088
2020-05-20$25.63$25.0036.6%10.5%51.9%26.8%36.1%8.5%-1.1%852.5K6.7M-194.6K0.3525.82N/AN/A61721836,72819,330
2020-05-21$25.63$25.0036.1%10.4%51.9%26.3%37.3%9.0%0.1%883.9K6.5M-196.4K0.5615.19N/AN/A29516637,11219,392
2020-05-22$25.65$25.0034.5%9.9%51.7%24.4%36.2%9.4%0.5%867.3K7.8M-188.0K0.0318.74N/AN/A2,6959037,23119,505
2020-05-26$26.29$25.0036.6%10.5%52.4%26.8%30.8%6.3%-0.6%1.4M185.1K-208.5K0.0717.78N/AN/A5,43135839,73319,523
2020-05-27$26.64$25.0032.9%9.4%52.5%22.5%31.4%8.8%0.9%1.9M-4.4M-223.6K0.2817.38N/AN/A1,20933843,85019,569
2020-05-28$27.45$25.0035.0%10.0%53.2%24.9%33.1%9.2%0.6%2.4M-16.6M-255.2K0.0933.80N/AN/A6,95161544,07919,798
2020-05-29$27.97$25.0032.5%9.3%51.2%22.1%33.1%7.4%0.0%2.8M-29.3M-264.3K0.2026.84N/AN/A1,31326448,01319,962