PPL Options History — January 2021

In January 2021, PPL traded between $27.62 and $28.55. ATM implied volatility averaged 24.9%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.4% (HV 20d: 19.6%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.34.

Notable Days

  • 2021-01-19: Highest Volume — 10,577 contracts
  • 2021-01-11: Largest IV spike — 21.6% change
  • 2021-01-11: Highest IV Rank — 17.3%
  • 2021-01-04: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.99$27.62$28.55$27.62$27.62
Max Pain$27.47$27.00$28.00$27.00$28.00
ATM IV24.9%22.1%29.1%28.0%27.2%
Expected Move7.1%6.3%8.3%8.3%7.8%
HV 20d19.6%15.8%23.4%22.7%18.0%
HV 60d28.0%26.7%28.7%28.5%26.9%
IV Rank12.3%9.2%17.3%17.0%13.0%
IV Percentile29.1%11.1%52.8%49.6%43.3%
Term Structure0.8%-4.8%3.2%-1.0%0.9%
VWIV24.3%21.3%29.9%29.9%27.2%
Skew 25d4.1%2.6%6.6%4.1%3.6%
Skew 10d7.3%-21.9%15.4%7.0%8.5%
Call IV 25d23.0%20.1%27.5%27.5%25.6%
Put IV 25d27.1%24.0%31.6%31.6%29.1%
Bid-Ask Spread %67.8254.7089.9261.7666.79
Gamma HHI0.280.230.400.240.24
Net GEX4.1M2.9M5.3M3.0M4.2M
Net DEX-25.6M-40.1M-9.8M-10.9M-26.4M
Net VEX-260.1K-317.6K-216.1K-229.1K-301.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.071.310.430.52
Total Volume3,441.94795010,5772,610950
Total OI85,154.78954,468102,51793,51977,484

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$27.62$27.0028.0%8.3%22.7%17.0%29.9%4.1%-1.0%3.0M-10.9M-229.1K0.4361.76N/AN/A1,82778368,47425,045
2021-01-05$27.62$27.0025.8%7.7%22.6%14.4%24.9%6.6%0.5%3.2M-9.8M-229.0K1.3171.56N/AN/A1,3111,72468,88125,366
2021-01-06$28.13$27.0023.8%7.4%23.4%12.2%25.0%5.3%0.3%4.3M-20.8M-242.2K0.1258.54N/AN/A2,12024869,30526,746
2021-01-07$27.84$27.0022.9%7.0%23.3%11.1%25.5%2.8%0.9%3.6M-13.5M-228.4K0.6864.24N/AN/A87359770,48526,732
2021-01-08$27.86$27.0023.9%7.1%23.3%11.3%24.0%4.7%1.0%3.7M-14.7M-230.0K0.2758.96N/AN/A99726970,77526,726
2021-01-11$27.78$27.0029.1%7.4%21.6%17.3%25.7%3.0%-0.0%3.6M-13.1M-221.9K0.3167.87N/AN/A74823271,36826,878
2021-01-12$27.85$27.0028.4%7.1%21.6%16.4%24.0%3.9%0.1%3.9M-14.0M-216.1K0.0765.63N/AN/A4,06026471,66226,813
2021-01-13$28.12$27.0023.8%6.8%20.6%11.1%22.5%3.9%1.1%5.0M-23.5M-227.7K0.0770.66N/AN/A4,48832872,18626,905
2021-01-14$28.36$27.0024.0%6.9%20.5%11.4%23.6%3.7%-0.0%4.7M-34.7M-237.9K0.1070.78N/AN/A4,22241874,69427,023
2021-01-15$28.55$27.0022.6%6.5%18.9%9.8%23.3%4.6%2.4%2.9M-39.9M-243.4K0.0873.10N/AN/A7,52757975,49927,018
2021-01-19$28.21$28.0023.9%6.9%19.5%11.3%22.0%3.6%1.4%3.4M-29.5M-245.3K0.1368.84N/AN/A9,3701,20741,58312,885
2021-01-20$28.06$28.0022.2%6.4%17.1%9.3%22.1%3.1%3.2%3.9M-28.4M-271.8K0.0767.89N/AN/A7,33852949,89513,897
2021-01-21$27.78$28.0022.1%6.3%17.5%9.2%22.2%3.1%2.5%4.3M-28.0M-290.0K0.4960.37N/AN/A87142557,58114,397
2021-01-22$27.90$28.0022.2%6.4%16.7%9.2%21.3%4.1%2.2%4.5M-29.5M-293.0K0.0954.70N/AN/A1,48013657,76914,684
2021-01-25$28.16$28.0025.9%7.4%15.8%12.4%25.0%2.6%0.8%4.9M-38.5M-307.5K0.1660.24N/AN/A3,38953258,56114,779
2021-01-26$28.30$28.0024.3%7.0%15.8%10.6%23.5%3.5%1.6%5.3M-40.1M-317.6K0.3089.92N/AN/A96028959,59715,158
2021-01-27$27.88$28.0025.8%7.4%16.3%12.4%25.6%5.9%1.3%4.6M-32.1M-298.2K0.9277.74N/AN/A50046260,05515,224
2021-01-28$28.20$28.0028.0%8.0%16.6%14.8%24.9%5.3%-4.8%5.1M-39.0M-312.2K0.3679.01N/AN/A2,46787760,30115,510
2021-01-29$27.62$28.0027.2%7.8%18.0%13.0%27.2%3.6%0.9%4.2M-26.4M-301.5K0.5266.79N/AN/A62432661,41016,074