PPL Options History — October 2020

In October 2020, PPL traded between $27.45 and $29.09. ATM implied volatility averaged 26.9%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.4% (HV 20d: 21.5%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2020-10-15: Highest Volume — 11,518 contracts
  • 2020-10-13: Largest IV spike — 43.9% change
  • 2020-10-30: Highest IV Rank — 30.8%
  • 2020-10-30: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.34$27.45$29.09$27.45$27.46
Max Pain$27.73$27.00$28.00$27.00$28.00
ATM IV26.9%16.4%40.1%25.2%40.1%
Expected Move8.2%6.7%11.5%7.2%11.5%
HV 20d21.5%18.1%24.6%22.7%21.8%
HV 60d25.0%23.9%28.1%28.1%25.5%
IV Rank15.7%3.7%30.8%13.7%30.8%
IV Percentile49.8%16.3%77.8%46.0%77.8%
Term Structure-1.1%-13.1%10.9%3.0%-8.4%
VWIV28.0%23.2%37.7%24.0%36.7%
Skew 25d4.8%3.2%7.3%5.2%6.5%
Skew 10d7.1%-31.8%18.4%9.8%8.2%
Call IV 25d26.1%21.3%35.5%22.1%34.9%
Put IV 25d31.0%25.9%41.7%27.3%41.4%
Bid-Ask Spread %88.4511.23113.1411.3981.97
Gamma HHI0.260.190.410.220.19
Net GEX3.6M2.2M5.9M2.4M2.2M
Net DEX-30.7M-50.3M-9.7M-9.7M-14.0M
Net VEX-272.6K-318.8K-236.6K-236.6K-297.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.063.221.180.43
Total Volume2,483.77351511,5182,517515
Total OI75,952.09163,75888,44975,24676,628

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$27.45$27.0025.2%7.2%22.7%13.7%24.0%5.2%3.0%2.4M-9.7M-236.6K1.1811.39N/AN/A1,1571,36054,70620,540
2020-10-02$28.23$27.0023.3%6.7%24.4%11.6%23.2%4.6%4.5%3.3M-24.6M-266.3K0.1211.23N/AN/A2,49229855,37821,168
2020-10-05$28.45$27.0022.6%7.9%24.5%10.7%26.2%4.1%1.3%3.7M-32.0M-259.2K0.1674.50N/AN/A1,73027556,74920,538
2020-10-06$28.66$27.0023.2%7.7%24.6%11.5%27.2%4.6%2.1%4.8M-40.8M-284.9K0.0788.24N/AN/A3,78727857,77820,549
2020-10-07$28.76$27.0022.8%7.5%23.4%11.0%25.8%3.7%0.2%5.1M-42.3M-270.7K0.0681.55N/AN/A1,4938558,19020,579
2020-10-08$29.09$27.0019.6%7.6%22.6%7.3%26.4%3.2%-5.0%5.9M-50.3M-273.2K0.9577.42N/AN/A48346158,78920,581
2020-10-09$28.99$28.0018.7%7.6%22.7%6.3%25.7%5.4%-3.8%5.8M-47.2M-265.6K2.90100.86N/AN/A4001,16258,93320,950
2020-10-12$28.96$28.0016.4%7.4%22.3%3.7%25.1%4.3%2.1%5.3M-45.9M-260.4K0.37102.39N/AN/A1,48254458,88621,325
2020-10-13$28.48$28.0023.6%7.8%23.0%12.0%25.5%3.6%-3.0%4.3M-34.0M-247.9K0.24111.39N/AN/A1,37032859,07821,585
2020-10-14$28.40$28.0027.8%8.0%22.6%16.7%27.1%3.6%-1.8%3.9M-30.7M-248.3K0.74113.14N/AN/A1,05378259,20822,021
2020-10-15$28.60$28.0025.3%7.3%21.0%13.8%25.1%4.3%-4.1%4.1M-36.2M-239.9K0.12109.22N/AN/A10,2861,23259,41322,501
2020-10-16$28.59$28.0026.7%7.6%19.5%15.4%26.4%3.8%-4.0%2.8M-42.6M-274.9K0.18105.90N/AN/A1,74530765,77622,673
2020-10-19$27.81$28.0029.0%8.3%19.0%18.1%28.0%3.3%-0.2%2.4M-16.0M-249.1K0.4499.32N/AN/A3,2311,40846,85616,902
2020-10-20$28.05$28.0028.7%8.2%19.1%17.8%27.5%6.6%-0.5%2.7M-18.6M-257.2K0.53101.66N/AN/A1,68889049,09817,842
2020-10-21$28.02$28.0030.4%8.7%18.5%19.7%28.7%4.7%-1.6%2.7M-19.1M-264.0K2.0597.35N/AN/A6181,26750,29018,530
2020-10-22$28.36$28.0027.6%7.9%18.7%16.5%26.0%5.5%10.9%3.0M-28.6M-298.0K0.3895.13N/AN/A89434250,51719,650
2020-10-23$28.60$28.0026.6%7.6%18.2%15.4%26.2%4.5%1.6%3.3M-30.8M-292.0K1.0598.74N/AN/A43345551,11119,914
2020-10-26$28.72$28.0031.7%9.1%18.2%21.2%30.1%6.9%-0.8%3.2M-36.5M-300.1K0.1689.27N/AN/A2,82244651,41820,162
2020-10-27$28.65$28.0031.0%8.9%18.1%20.4%31.4%4.6%-2.0%3.4M-36.5M-303.8K0.4694.46N/AN/A88941353,84420,334
2020-10-28$27.45$28.0034.4%9.9%24.2%24.3%37.0%5.9%-13.1%2.2M-22.4M-318.8K3.22101.49N/AN/A4141,33553,99720,650
2020-10-29$27.66$28.0036.8%10.5%24.0%27.0%37.7%7.3%-2.0%2.5M-16.7M-288.7K1.3899.23N/AN/A8391,15453,97121,338
2020-10-30$27.46$28.0040.1%11.5%21.8%30.8%36.7%6.5%-8.4%2.2M-14.0M-297.5K0.4381.97N/AN/A36015554,47722,151