PPL Options History — August 2020

In August 2020, PPL traded between $26.49 and $29.04. ATM implied volatility averaged 26.0%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.0% (HV 20d: 28.0%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2020-08-21: Highest Volume — 12,556 contracts
  • 2020-08-07: Largest IV drop — 11.0% change
  • 2020-08-06: Highest IV Rank — 21.0%
  • 2020-08-06: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.92$26.49$29.04$26.54$27.61
Max Pain$26.14$25.00$27.00$26.00$27.00
ATM IV26.0%22.4%31.5%29.6%22.4%
Expected Move7.5%6.4%8.9%8.5%6.4%
HV 20d28.0%23.3%32.5%32.5%25.9%
HV 60d35.7%32.7%41.1%41.1%32.7%
IV Rank14.7%10.6%21.0%18.7%10.6%
IV Percentile53.8%48.8%62.3%58.7%48.8%
Term Structure0.2%-1.1%2.2%-0.6%0.9%
VWIV25.5%22.4%29.7%29.7%23.5%
Skew 25d5.1%2.6%7.7%5.2%2.8%
Skew 10d11.9%4.1%19.1%8.7%16.5%
Call IV 25d23.7%19.1%29.0%29.0%22.9%
Put IV 25d28.8%25.1%34.2%34.2%25.7%
Bid-Ask Spread %18.8612.6224.7317.0013.06
Gamma HHI0.310.210.730.240.22
Net GEX7.0M3.5M24.0M3.5M5.4M
Net DEX-51.0M-91.0M-17.9M-18.9M-25.1M
Net VEX-271.0K-300.9K-239.1K-257.7K-239.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.020.690.110.06
Total Volume2,932.85787312,5562,1364,945
Total OI83,358.57176,09589,79679,03479,967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$26.54$26.0029.6%8.5%32.5%18.7%29.7%5.2%-0.6%3.5M-18.9M-257.7K0.1117.00N/AN/A1,92321359,67419,360
2020-08-04$26.77$26.0029.4%8.4%31.9%18.5%29.2%6.5%-1.1%4.0M-23.6M-265.4K0.2016.34N/AN/A1,63933160,70219,449
2020-08-05$26.72$26.0028.5%8.2%31.8%17.5%29.0%5.7%-0.1%4.2M-22.9M-262.1K0.4014.91N/AN/A73629462,09119,580
2020-08-06$26.49$25.0031.5%8.9%24.7%21.0%28.0%7.7%-0.9%3.8M-17.9M-250.9K0.6921.24N/AN/A89361262,30219,693
2020-08-07$27.20$25.0028.1%8.5%23.3%17.0%28.8%7.2%-0.5%5.2M-31.5M-278.5K0.1120.59N/AN/A4,43748462,61920,115
2020-08-10$28.68$26.0027.4%7.5%29.0%16.2%26.2%7.3%0.5%6.2M-78.4M-300.9K0.1121.67N/AN/A6,09068165,03720,199
2020-08-11$28.34$26.0027.2%8.0%29.3%16.1%26.5%4.3%-0.7%6.6M-68.8M-299.9K0.2917.47N/AN/A1,55545765,80320,225
2020-08-12$28.95$26.0025.4%7.3%29.9%13.9%25.0%5.1%1.2%6.3M-88.8M-297.8K0.1121.04N/AN/A1,68818266,15820,265
2020-08-13$29.03$26.0025.6%7.3%29.9%14.2%26.1%5.8%0.1%6.3M-89.9M-293.9K0.2915.97N/AN/A1,46542966,18020,272
2020-08-14$29.04$26.0025.7%7.4%30.0%14.4%25.1%4.1%0.5%6.4M-91.0M-287.3K0.0812.62N/AN/A3,55827066,48120,458
2020-08-17$28.76$26.0027.3%7.8%28.7%16.2%25.9%4.6%-0.7%7.0M-84.1M-289.5K0.2221.70N/AN/A1,63936467,13520,587
2020-08-18$28.34$26.0026.4%7.6%29.4%15.1%24.3%5.1%-0.1%9.2M-69.6M-278.3K0.5820.39N/AN/A55132267,43520,652
2020-08-19$28.31$26.0026.5%7.6%27.6%15.2%25.0%4.8%0.1%9.4M-70.0M-274.2K0.2516.17N/AN/A88222367,63920,766
2020-08-20$28.06$26.0024.4%7.0%27.3%12.8%23.3%3.9%-0.8%13.4M-60.4M-260.4K0.1017.80N/AN/A3,53234067,93520,875
2020-08-21$28.10$26.0025.1%7.2%27.1%13.6%23.9%4.1%0.9%24.0M-67.4M-254.5K0.0223.85N/AN/A12,31524168,73821,058
2020-08-24$28.39$26.0023.9%6.8%25.7%12.2%22.9%6.5%0.5%5.9M-44.3M-267.0K0.1823.37N/AN/A2,79950059,77116,324
2020-08-25$27.86$27.0024.2%6.9%25.9%12.6%24.6%2.6%0.1%5.2M-32.8M-260.7K0.4820.00N/AN/A83739861,50916,588
2020-08-26$27.72$27.0022.8%6.5%25.9%11.0%22.5%5.1%0.8%5.2M-31.8M-280.2K0.2624.73N/AN/A89023161,93416,712
2020-08-27$27.71$27.0022.7%6.5%25.8%10.9%22.4%3.5%1.4%5.2M-28.3M-248.8K0.2419.99N/AN/A75718262,09116,837
2020-08-28$27.63$27.0022.8%6.5%25.9%11.0%22.8%5.2%2.2%5.1M-26.0M-244.0K0.4916.12N/AN/A1,14855762,36416,950
2020-08-31$27.61$27.0022.4%6.4%25.9%10.6%23.5%2.8%0.9%5.4M-25.1M-239.1K0.0613.06N/AN/A4,65628962,75317,214