PPL Options History — December 2020

In December 2020, PPL traded between $26.30 and $29.06. ATM implied volatility averaged 25.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 2.9% (HV 20d: 28.4%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2020-12-04: Highest Volume — 8,397 contracts
  • 2020-12-08: Largest IV drop — 12.2% change
  • 2020-12-10: Highest IV Rank — 16.4%
  • 2020-12-10: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.76$26.30$29.06$28.38$28.10
Max Pain$28.09$28.00$29.00$29.00$28.00
ATM IV25.4%23.5%27.6%26.4%23.6%
Expected Move7.3%6.7%7.9%7.6%6.8%
HV 20d28.4%20.5%38.4%38.4%21.9%
HV 60d28.4%27.8%29.0%29.0%28.3%
IV Rank14.0%11.8%16.4%15.2%11.9%
IV Percentile35.8%21.8%48.0%42.9%21.8%
Term Structure0.4%-1.3%2.6%-0.2%1.8%
VWIV25.5%22.8%27.6%25.5%22.8%
Skew 25d2.1%-0.0%5.2%3.4%5.2%
Skew 10d4.7%-2.6%27.3%27.3%12.9%
Call IV 25d24.9%20.8%26.6%24.3%20.8%
Put IV 25d27.0%24.6%28.9%27.7%25.9%
Bid-Ask Spread %45.1518.5362.5062.5034.46
Gamma HHI0.210.160.270.170.25
Net GEX2.6M762.2K5.4M2.5M3.9M
Net DEX-9.9M-38.5M11.9M-15.0M-19.7M
Net VEX-241.3K-299.7K-196.1K-248.4K-242.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.051.290.390.31
Total Volume2,984.2734038,3971,5002,061
Total OI89,508.59181,72896,53081,72892,381

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$28.38$29.0026.4%7.6%38.4%15.2%25.5%3.4%-0.2%2.5M-15.0M-248.4K0.3962.50N/AN/A1,07642457,60724,121
2020-12-02$28.54$29.0024.6%7.0%36.8%13.0%24.8%0.8%0.8%2.8M-18.8M-245.9K0.2857.47N/AN/A2,35165558,07524,102
2020-12-03$28.46$28.0024.2%7.3%35.4%12.6%25.4%1.4%1.2%2.6M-17.3M-250.7K0.1543.86N/AN/A1,32720059,43524,372
2020-12-04$28.51$28.0024.5%7.5%35.4%12.9%26.0%1.5%0.6%2.8M-17.6M-244.9K0.0543.64N/AN/A7,99040759,71824,435
2020-12-07$28.80$28.0027.0%7.6%35.0%15.8%26.1%2.4%-0.7%4.4M-30.3M-271.0K0.0753.26N/AN/A5,96643366,77624,372
2020-12-08$29.06$28.0023.7%7.3%31.1%12.0%24.8%1.7%-0.1%5.4M-38.5M-279.0K0.0643.10N/AN/A4,96129468,33924,504
2020-12-09$28.93$28.0025.8%7.4%29.7%14.4%26.0%2.7%-0.3%4.9M-36.1M-299.7K0.0956.31N/AN/A2,21219866,79624,614
2020-12-10$28.21$28.0027.6%7.9%30.7%16.4%27.6%2.0%-1.3%3.4M-18.4M-276.7K0.3755.16N/AN/A1,31648167,37424,588
2020-12-11$28.15$28.0026.2%7.5%30.1%14.9%26.8%2.4%0.4%3.2M-16.8M-275.5K1.2951.03N/AN/A29838367,22024,641
2020-12-14$27.59$28.0025.4%7.3%27.0%14.0%26.1%1.8%1.0%2.0M-3.5M-243.7K0.6253.14N/AN/A1,06065967,32224,903
2020-12-15$27.88$28.0026.1%7.5%27.1%14.8%25.3%2.8%-0.0%2.2M-7.4M-243.3K0.5046.60N/AN/A94647767,63825,237
2020-12-16$27.30$28.0026.5%7.6%26.8%15.3%26.5%1.0%0.7%1.5M2.3M-232.1K0.3758.56N/AN/A1,07439768,05725,324
2020-12-17$27.43$28.0025.9%7.4%27.0%14.5%26.8%1.2%2.6%1.7M306.7K-227.6K0.1653.37N/AN/A4,31067767,63925,239
2020-12-18$26.76$28.0024.6%7.1%28.0%13.1%26.0%-0.0%1.1%839.3K10.5M-212.3K0.4857.30N/AN/A2,3761,13671,01925,511
2020-12-21$26.61$28.0026.7%7.7%28.0%15.5%27.1%2.9%-1.0%1.2M7.7M-201.3K0.3255.14N/AN/A3,00897260,02423,013
2020-12-22$26.30$28.0026.2%7.5%26.3%14.9%26.3%0.2%0.1%762.2K11.9M-196.1K0.0935.83N/AN/A5,60152560,94923,638
2020-12-23$26.80$28.0025.8%7.4%25.4%14.4%24.8%2.4%-0.5%1.7M2.4M-220.3K0.3431.47N/AN/A2,11171764,71923,733
2020-12-24$26.80$28.0024.9%7.1%20.5%13.4%24.0%3.7%-0.2%1.6M3.4M-220.6K0.3323.40N/AN/A3049965,38324,169
2020-12-28$27.21$28.0025.2%7.2%21.7%13.7%25.0%1.2%0.6%2.2M-2.3M-221.4K0.3018.53N/AN/A1,83554465,56124,233
2020-12-29$27.32$28.0024.9%7.1%20.5%13.3%23.5%1.6%1.5%2.5M-5.0M-225.4K0.2133.77N/AN/A1,81238366,26424,326
2020-12-30$27.62$28.0023.5%6.7%21.0%11.8%24.1%4.3%0.7%2.9M-9.4M-231.5K0.4225.30N/AN/A1,12847067,38424,434
2020-12-31$28.10$28.0023.6%6.8%21.9%11.9%22.8%5.2%1.8%3.9M-19.7M-242.0K0.3134.46N/AN/A1,56849367,62424,757