PAYO Options History — September 2021

In September 2021, PAYO traded between $8.45 and $10.73. ATM implied volatility averaged 56.3%. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 4.3% (HV 20d: 60.6%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2021-09-03: Highest Volume — 9,757 contracts
  • 2021-09-03: Largest IV spike — 61.1% change
  • 2021-09-03: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.62$8.45$10.73$10.30$8.51
Max Pain$9.88$7.50$10.00$7.50$10.00
ATM IV56.3%46.7%78.1%46.7%58.3%
Expected Move15.8%13.4%18.2%13.4%16.7%
HV 20d60.6%39.4%73.1%39.4%73.1%
HV 60d54.9%50.3%56.2%50.3%55.7%
Term Structure-0.2%-28.2%6.7%4.5%0.7%
VWIV56.1%46.5%67.1%46.5%67.1%
Skew 25d1.8%-38.0%68.7%9.4%-5.3%
Skew 10d3.9%-31.6%99.9%12.9%-3.6%
Call IV 25d59.2%37.5%70.7%37.5%65.2%
Put IV 25d61.1%32.1%112.9%46.9%59.9%
Bid-Ask Spread %35.5014.7870.1861.3426.88
Gamma HHI0.420.300.690.330.35
Net GEX354.5K178.2K918.9K227.1K178.2K
Net DEX-9.7M-13.9M-3.5M-10.3M-3.5M
Net VEX-50.6K-58.9K-38.1K-49.6K-38.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.600.010.82
Total Volume1,435.286419,7571,511443
Total OI46,087.09539,24852,38639,24845,846

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$10.30$7.5046.7%13.4%39.4%0.0%46.5%9.4%4.5%227.1K-10.3M-49.6K0.0161.34N/AN/A1,4981333,2575,991
2021-09-02$10.43$10.0048.5%14.7%39.5%0.0%51.7%-5.5%0.6%249.2K-11.7M-54.0K0.1226.65N/AN/A1481833,4085,990
2021-09-03$10.73$10.0078.1%18.2%40.3%0.0%63.9%-14.7%-3.6%275.6K-13.9M-58.7K0.0070.18N/AN/A9,7124534,6555,992
2021-09-07$9.56$10.0077.1%17.5%57.1%0.0%61.2%3.7%-5.1%227.4K-8.8M-51.3K0.1358.35N/AN/A3,81450834,6175,992
2021-09-08$9.81$10.0062.4%17.9%57.5%0.0%61.6%-2.7%-4.8%351.3K-11.3M-54.5K0.0545.81N/AN/A4792542,1046,029
2021-09-09$9.99$10.0058.9%16.9%57.9%0.0%59.7%-9.6%-2.5%408.7K-13.7M-58.9K0.0039.17N/AN/A1,116343,0526,231
2021-09-10$9.85$10.0051.9%14.9%57.6%0.0%57.9%1.8%3.6%430.6K-12.1M-55.3K0.0538.35N/AN/A7713943,1496,228
2021-09-13$9.53$10.0053.4%15.3%58.0%0.0%53.5%3.2%2.5%387.9K-10.6M-53.6K0.0141.37N/AN/A273243,6526,249
2021-09-14$9.49$10.0060.9%17.5%57.9%0.0%61.0%3.5%-3.7%393.0K-10.1M-51.8K0.0935.17N/AN/A64644,2096,285
2021-09-15$10.10$10.0056.4%16.2%58.8%0.0%56.4%-11.8%-1.0%523.5K-13.4M-51.0K0.0127.62N/AN/A2,3192144,2506,285
2021-09-16$9.97$10.0053.4%15.3%58.0%0.0%53.7%-13.1%2.3%533.3K-12.8M-52.8K0.0919.17N/AN/A7467044,2286,283
2021-09-17$9.97$10.0050.6%14.5%58.0%0.0%51.0%35.3%6.4%918.9K-13.7M-54.4K0.1036.32N/AN/A2,27022746,1056,281
2021-09-20$8.93$10.0056.6%16.2%70.4%0.0%57.4%3.1%-0.6%248.8K-6.3M-44.0K1.6050.67N/AN/A7911,26538,0655,382
2021-09-21$9.27$10.0052.9%15.2%69.3%0.0%55.3%-14.0%6.5%290.4K-7.3M-47.1K0.0122.26N/AN/A249238,2365,496
2021-09-22$9.43$10.0051.1%14.7%69.3%0.0%51.7%-12.8%6.6%313.3K-8.0M-50.8K0.0231.07N/AN/A397738,8106,608
2021-09-23$9.59$10.0049.4%14.2%69.4%0.0%51.2%52.5%6.2%337.3K-8.6M-51.1K0.2521.86N/AN/A2175538,9596,609
2021-09-24$9.62$10.0048.5%13.9%69.3%0.0%48.6%68.7%6.7%353.0K-8.9M-51.6K0.0322.10N/AN/A40139,1476,615
2021-09-27$9.43$10.0052.4%15.0%69.5%0.0%52.3%-4.9%1.9%327.8K-8.1M-48.5K0.0428.56N/AN/A2531139,1756,638
2021-09-28$9.11$10.0057.5%16.5%70.1%0.0%57.4%-10.2%-2.8%283.3K-6.9M-47.5K0.5714.78N/AN/A1367839,1666,639
2021-09-29$8.45$10.0057.4%16.5%73.1%0.0%59.8%-38.0%-28.2%186.2K-3.8M-38.1K0.2827.70N/AN/A1,57443539,2676,649
2021-09-30$8.51$10.0058.3%16.7%73.1%0.0%67.1%-5.3%0.7%178.2K-3.5M-38.4K0.8226.88N/AN/A24320039,1706,676