PPL Options History — November 2020

In November 2020, PPL traded between $27.61 and $30.65. ATM implied volatility averaged 26.2%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 7.1% (HV 20d: 33.3%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2020-11-20: Highest Volume — 12,274 contracts
  • 2020-11-05: Largest IV spike — 32.0% change
  • 2020-11-02: Highest IV Rank — 24.6%
  • 2020-11-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.12$27.61$30.65$28.03$28.47
Max Pain$28.45$28.00$29.00$28.00$29.00
ATM IV26.2%21.3%34.7%34.7%28.6%
Expected Move7.4%5.3%10.0%10.0%8.2%
HV 20d33.3%23.0%39.0%23.0%39.0%
HV 60d26.8%23.6%30.0%25.3%29.0%
IV Rank14.8%9.2%24.6%24.6%17.6%
IV Percentile42.5%26.6%67.9%67.9%51.6%
Term Structure-0.5%-4.2%9.9%-4.2%-1.7%
VWIV26.3%22.7%34.6%34.6%27.3%
Skew 25d2.5%-0.1%9.4%2.4%2.8%
Skew 10d-3.1%-46.8%15.5%-6.1%1.6%
Call IV 25d25.4%21.6%33.2%33.2%26.4%
Put IV 25d28.0%23.5%37.2%35.5%29.2%
Bid-Ask Spread %87.6540.91126.5390.1578.19
Gamma HHI0.290.180.510.210.18
Net GEX5.8M2.7M11.3M2.8M2.7M
Net DEX-47.3M-92.1M-9.9M-20.5M-18.5M
Net VEX-273.6K-297.9K-251.4K-284.0K-264.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.021.670.410.54
Total Volume2,521.551912,2746192,006
Total OI81,926.576,95788,56876,95781,022

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$28.03$28.0034.7%10.0%23.0%24.6%34.6%2.4%-4.2%2.8M-20.5M-284.0K0.4190.15N/AN/A43918054,72522,232
2020-11-03$28.90$28.0031.0%8.9%25.4%20.4%31.2%9.4%-1.4%3.8M-40.0M-297.9K0.3795.85N/AN/A55720454,72522,232
2020-11-04$28.10$28.0021.3%6.1%27.3%9.2%30.8%2.3%9.9%3.7M-18.2M-263.0K0.60113.59N/AN/A32519455,06222,456
2020-11-05$28.03$28.0028.1%8.1%26.9%17.0%27.4%5.3%-0.4%3.2M-18.7M-272.4K0.0294.08N/AN/A4,6989055,05922,532
2020-11-06$27.61$28.0024.9%7.9%27.3%13.4%28.0%-0.1%-3.0%3.2M-9.9M-262.5K0.2086.32N/AN/A62512459,16622,542
2020-11-09$28.91$28.0031.6%7.0%32.3%21.0%26.9%0.7%-1.1%5.4M-43.8M-284.3K0.6289.81N/AN/A1,09167659,36422,624
2020-11-10$29.65$28.0022.9%5.3%32.8%11.1%24.4%1.0%-0.0%6.7M-67.4M-265.6K0.54124.50N/AN/A58831759,76122,763
2020-11-11$29.36$28.0024.7%7.1%33.1%13.1%23.9%2.9%-0.1%6.9M-60.2M-272.7K0.42126.53N/AN/A80633659,95522,887
2020-11-12$28.80$28.0027.5%7.9%33.8%16.4%27.1%2.5%-2.1%6.7M-39.9M-279.6K1.6783.39N/AN/A29048360,33223,024
2020-11-13$29.90$28.0024.1%6.9%36.3%12.5%24.1%3.4%-0.1%6.7M-79.0M-264.4K0.32108.21N/AN/A2,57783460,40023,368
2020-11-16$30.20$28.0025.4%7.3%34.6%13.9%25.0%4.9%-1.0%6.7M-92.1M-258.9K1.0094.83N/AN/A1,1441,14162,42423,876
2020-11-17$29.49$29.0025.6%7.3%35.9%14.2%25.6%0.5%-1.3%8.2M-68.5M-270.8K0.2297.10N/AN/A1,12824862,56324,296
2020-11-18$29.44$29.0025.7%7.4%35.9%14.3%25.0%0.5%-1.2%8.3M-65.2M-263.2K0.1180.18N/AN/A4,03946462,62424,422
2020-11-19$29.27$29.0025.6%7.3%35.9%14.2%24.7%3.3%-1.8%11.3M-60.0M-251.4K0.3172.44N/AN/A2,89688662,86324,828
2020-11-20$29.27$29.0023.8%6.8%35.8%12.2%22.8%3.0%-0.8%11.2M-60.9M-262.2K0.0376.50N/AN/A11,97529963,04225,526
2020-11-23$29.90$29.0023.1%6.6%36.5%11.3%23.2%1.9%-0.3%4.9M-47.9M-283.7K0.2040.91N/AN/A1,64032654,55922,738
2020-11-24$30.65$29.0022.4%6.4%37.3%10.5%22.7%1.9%1.5%5.9M-68.3M-290.4K0.3765.60N/AN/A1,43953455,82122,884
2020-11-25$29.24$29.0026.5%7.6%38.0%15.2%25.0%2.0%-0.6%3.7M-33.8M-286.2K0.3565.68N/AN/A2,8281,00156,17123,208
2020-11-27$29.14$29.0025.6%7.3%38.1%14.2%25.6%0.4%0.7%3.5M-32.6M-294.2K0.1969.12N/AN/A84315956,73423,720
2020-11-30$28.47$29.0028.6%8.2%39.0%17.6%27.3%2.8%-1.7%2.7M-18.5M-264.8K0.5478.19N/AN/A1,30270457,26323,759