PPL Options History — September 2020

In September 2020, PPL traded between $25.97 and $28.54. ATM implied volatility averaged 26.0%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.6% (HV 20d: 25.4%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2020-09-08: Highest Volume — 20,987 contracts
  • 2020-09-18: Largest IV spike — 11.3% change
  • 2020-09-18: Highest IV Rank — 19.9%
  • 2020-09-18: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.29$25.97$28.54$27.36$27.14
Max Pain$27.29$26.00$28.00$27.00$27.00
ATM IV26.0%22.3%30.6%23.9%26.4%
Expected Move7.5%6.9%8.8%6.9%7.6%
HV 20d25.4%21.8%30.3%26.1%27.3%
HV 60d28.6%27.6%32.5%32.5%28.1%
IV Rank14.6%10.4%19.9%12.2%15.1%
IV Percentile51.9%46.8%61.1%50.4%50.0%
Term Structure2.2%-5.3%6.9%1.2%1.5%
VWIV25.5%22.3%28.8%22.3%25.7%
Skew 25d4.4%0.8%7.2%3.5%4.8%
Skew 10d11.8%-2.7%27.1%12.3%17.5%
Call IV 25d24.0%19.0%27.6%22.2%22.5%
Put IV 25d28.4%25.5%30.5%25.7%27.4%
Bid-Ask Spread %19.0010.2931.2317.0414.14
Gamma HHI0.230.160.340.230.20
Net GEX3.7M489.5K8.4M5.0M2.0M
Net DEX-13.4M-56.2M10.0M-20.9M-5.2M
Net VEX-228.6K-263.9K-177.7K-234.2K-226.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.050.910.250.42
Total Volume2,743.61972620,9878901,248
Total OI77,96064,65184,45682,80174,566

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$27.36$27.0023.9%6.9%26.1%12.2%22.3%3.5%1.2%5.0M-20.9M-234.2K0.2517.04N/AN/A71417665,55517,246
2020-09-02$28.54$27.0025.4%7.3%29.9%14.0%22.6%6.5%4.0%7.4M-56.2M-263.3K0.1431.23N/AN/A2,16829665,47317,322
2020-09-03$28.10$26.0023.7%7.2%30.3%12.0%25.7%5.3%2.9%6.8M-42.4M-263.9K0.0729.10N/AN/A1,51010566,00017,698
2020-09-04$28.26$26.0022.3%7.6%29.1%10.4%25.3%3.3%-0.3%7.8M-48.6M-255.3K0.2329.33N/AN/A1,28630066,47217,720
2020-09-08$28.40$27.0024.4%7.4%22.0%12.8%25.2%4.2%4.6%8.4M-53.0M-250.2K0.1420.54N/AN/A18,4302,55766,64717,809
2020-09-09$27.84$28.0026.0%7.5%22.7%14.7%25.7%5.1%3.8%4.8M-21.6M-260.3K0.2727.73N/AN/A3,11384359,34019,605
2020-09-10$27.38$28.0026.6%7.6%21.8%15.3%26.1%5.9%1.8%3.6M-9.1M-248.8K0.9121.68N/AN/A1,07798560,34520,277
2020-09-11$27.55$28.0024.6%7.1%21.9%13.1%24.4%5.5%2.3%4.0M-11.2M-247.9K0.2219.25N/AN/A71315760,79920,469
2020-09-14$27.95$28.0024.6%7.0%22.7%13.0%23.6%4.7%3.6%5.4M-18.8M-244.7K0.2821.30N/AN/A81322760,85520,500
2020-09-15$27.73$28.0024.0%6.9%22.7%12.4%25.0%3.7%6.9%4.7M-13.8M-242.9K0.3218.65N/AN/A77324860,94220,671
2020-09-16$28.07$28.0025.3%7.3%22.6%13.9%25.1%5.4%1.9%6.0M-23.2M-254.1K0.4116.57N/AN/A51521161,25920,816
2020-09-17$27.44$28.0027.5%7.9%24.0%16.4%26.2%5.8%1.3%3.6M-7.0M-231.2K0.7415.21N/AN/A44332661,45220,955
2020-09-18$26.93$28.0030.6%8.8%24.6%19.9%28.8%7.2%-5.3%489.5K6.1M-200.5K0.5815.71N/AN/A1,33377561,36920,970
2020-09-21$26.13$27.0028.3%8.1%26.5%17.4%27.3%3.6%1.0%756.3K10.0M-177.7K0.2316.69N/AN/A1,73139945,61919,032
2020-09-22$26.23$27.0027.9%8.0%26.2%16.8%26.7%3.0%2.1%820.1K8.7M-182.1K0.0512.83N/AN/A6,33731046,05619,263
2020-09-23$25.97$27.0028.8%8.3%25.7%17.8%28.2%2.8%1.0%1.1M8.7M-187.7K0.9110.29N/AN/A1,05696451,96919,404
2020-09-24$26.01$27.0027.5%7.9%25.7%16.3%26.6%2.9%3.1%986.2K9.4M-193.7K0.2315.30N/AN/A99422652,41420,057
2020-09-25$26.44$27.0026.9%7.7%26.7%15.7%25.2%4.3%3.5%1.3M4.9M-205.5K0.1915.62N/AN/A1,03420152,73220,195
2020-09-28$26.65$27.0025.2%7.2%26.9%13.7%25.4%0.8%2.8%1.4M2.3M-210.0K0.2918.58N/AN/A1,07931153,23920,296
2020-09-29$26.96$27.0025.8%7.4%27.3%14.4%23.9%4.5%2.2%1.7M-1.3M-219.5K0.2112.32N/AN/A1,34628653,34120,411
2020-09-30$27.14$27.0026.4%7.6%27.3%15.1%25.7%4.8%1.5%2.0M-5.2M-226.9K0.4214.14N/AN/A87637254,02720,539