PYPL Options History — August 2015

In August 2015, PYPL traded between $33.14 and $39.39. ATM implied volatility averaged 37.3%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 8.2% (HV 20d: 29.2%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2015-08-20: Highest Volume — 54,469 contracts
  • 2015-08-20: Largest IV spike — 44.1% change
  • 2015-08-20: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.98$33.14$39.39$39.39$35.01
Max Pain$40.10$40.00$41.00$40.00$40.00
ATM IV37.3%31.4%49.7%33.7%41.3%
Expected Move10.5%8.5%14.3%9.1%12.0%
HV 20d29.2%26.1%32.0%30.7%30.9%
Term Structure-0.7%-31.1%24.3%-0.8%0.1%
VWIV34.0%7.4%59.7%33.3%45.9%
Skew 25d5.9%0.3%24.0%1.0%4.4%
Skew 10d5.4%-8.7%15.9%2.6%10.1%
Call IV 25d34.9%22.9%45.9%34.3%39.8%
Put IV 25d40.8%33.1%56.5%35.3%44.1%
Bid-Ask Spread %32.588.4196.8419.0623.98
Gamma HHI0.130.090.180.160.14
Net GEX2.6M-688.0K6.2M5.0M2.5M
Net DEX176.8M-69.7M330.3M-69.7M102.6M
Net VEX-923.6K-1.3M-368.0K-368.0K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.181.690.180.66
Total Volume21,993.195,18754,46913,99917,377
Total OI442,282.38199,378545,59199,378461,770

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$39.39$40.0033.7%9.1%0.0%0.0%33.3%1.0%-0.8%5.0M-69.7M-368.0K0.1819.0611,8562,14366,07633,302
2015-08-04$38.93$41.0035.9%9.2%0.0%0.0%32.0%1.6%-0.9%5.7M188.9M-1.0M0.4120.8213,4745,558403,444116,099
2015-08-05$39.32$41.0034.3%9.0%0.0%0.0%31.6%0.9%-0.9%6.2M156.8M-1.2M0.7522.1118,90514,269390,082116,732
2015-08-06$38.85$40.0034.3%9.2%0.0%0.0%23.1%1.2%-1.1%5.3M192.8M-1.0M1.6924.937,85313,247396,025124,967
2015-08-07$39.19$40.0033.6%9.5%0.0%0.0%26.2%0.9%-0.5%4.2M207.7M-1.0M0.7226.2116,43311,819396,249127,402
2015-08-10$39.05$40.0033.0%9.5%30.7%0.0%25.9%0.6%-4.5%4.2M194.4M-1.1M0.9026.5112,15710,915390,116127,029
2015-08-11$38.85$40.0032.6%9.3%29.7%0.0%33.1%0.6%-0.0%3.9M-44.2M-456.3K0.3811.133,7571,43076,95746,194
2015-08-12$38.18$40.0033.2%8.5%29.3%0.0%7.4%0.7%-31.1%3.2M222.0M-913.5K0.6729.289,0126,048387,491125,298
2015-08-13$37.62$40.0032.9%9.6%28.7%0.0%33.7%1.4%0.6%612.1K279.8M-772.6K0.6731.309,3056,252387,860126,390
2015-08-14$38.12$40.0032.0%8.9%28.6%0.0%19.6%2.0%-23.0%2.2M247.5M-810.9K0.8534.236,1325,224387,213128,153
2015-08-17$38.71$40.0031.4%9.0%28.6%0.0%18.1%21.1%14.9%3.2M231.7M-850.5K0.3128.7917,8425,538382,899125,866
2015-08-18$38.00$40.0033.0%9.5%26.9%0.0%33.7%9.6%5.7%1.7M259.0M-744.2K1.4531.338,19411,849381,196127,346
2015-08-19$37.19$40.0033.0%9.4%27.0%0.0%33.1%0.3%-0.1%-688.0K16.5M-423.4K0.368.416,6722,40677,86153,154
2015-08-20$36.02$40.0047.5%14.3%26.1%0.0%47.0%23.3%11.8%50.0K264.1M-897.4K0.4224.8638,29816,171379,979135,798
2015-08-21$34.37$40.0036.5%10.2%30.7%0.0%37.7%24.0%24.3%914.8K330.3M-943.6K1.1837.3011,91714,120401,504144,087
2015-08-24$33.95$40.0049.7%13.5%30.5%0.0%59.7%10.7%-6.0%1.6M184.0M-1.1M0.8396.8421,60918,021315,350110,497
2015-08-25$33.24$40.0046.9%13.7%27.8%0.0%42.7%4.5%-1.7%-470.4K247.3M-935.9K0.4266.0020,1788,379327,380118,614
2015-08-26$33.14$40.0045.9%13.2%27.3%0.0%47.9%5.7%-0.9%870.6K211.2M-977.0K0.6564.2712,8518,339337,934119,789
2015-08-27$34.50$40.0042.5%12.3%31.5%0.0%42.9%5.2%0.2%1.3M157.1M-1.2M0.3329.7317,9795,965342,117120,573
2015-08-28$35.02$40.0040.9%11.6%32.0%0.0%39.3%4.6%-0.4%2.4M132.2M-1.3M0.7327.217,1435,220349,996121,141
2015-08-31$35.01$40.0041.3%12.0%30.9%0.0%45.9%4.4%0.1%2.5M102.6M-1.3M0.6623.9810,4486,929345,459116,311