PYPL Options History — September 2015

In September 2015, PYPL traded between $30.67 and $35.32. ATM implied volatility averaged 40.6%. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 4.3% (HV 20d: 36.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-09-16: Highest Volume — 73,724 contracts
  • 2015-09-18: Largest IV spike — 102.3% change
  • 2015-09-04: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.58$30.67$35.32$33.76$31.07
Max Pain$38.57$35.00$40.00$40.00$35.00
ATM IV40.6%19.8%48.3%46.3%48.3%
Expected Move12.1%3.8%21.7%13.6%12.6%
HV 20d36.2%32.7%39.6%32.7%38.6%
HV 60d33.8%32.9%35.1%33.1%35.0%
Term Structure2.0%-24.9%38.7%-1.1%-2.1%
VWIV37.8%13.1%48.3%48.3%45.5%
Skew 25d9.8%3.1%43.1%5.1%7.6%
Skew 10d14.5%5.7%43.1%8.0%14.1%
Call IV 25d37.7%13.2%44.9%44.1%44.9%
Put IV 25d47.5%40.2%64.9%49.1%52.5%
Bid-Ask Spread %24.6416.1335.2627.8321.76
Gamma HHI0.140.110.230.130.14
Net GEX4.8M483.8K13.9M1.0M483.8K
Net DEX126.8M-27.6M228.8M124.8M228.8M
Net VEX-1.0M-1.9M-545.1K-1.2M-751.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.272.560.892.56
Total Volume24,604.0483,64173,72423,46642,215
Total OI459,106.714151,402537,479469,193495,110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$33.76$40.0046.3%13.6%32.7%0.0%48.3%5.1%-1.1%1.0M124.8M-1.2M0.8927.8312,40911,057349,012120,181
2015-09-02$35.00$40.0043.1%12.4%35.7%0.0%42.9%4.8%-1.0%2.8M154.3M-1.2M0.6226.058,4725,243353,247124,880
2015-09-03$35.32$40.0040.4%16.9%36.0%0.0%34.1%4.4%-0.2%3.7M119.7M-1.2M1.3535.106,4428,713355,391126,271
2015-09-04$34.35$40.0041.9%21.7%36.5%0.0%13.1%4.6%-0.0%2.2M118.9M-1.1M0.6330.0510,2166,484355,934128,885
2015-09-08$34.70$35.0040.7%11.7%37.0%0.0%41.1%5.0%0.5%2.0M-13.7M-563.3K0.8516.131,9641,67796,40654,996
2015-09-09$34.40$40.0041.2%10.9%37.0%0.0%30.8%3.9%-20.2%4.4M31.2M-1.9M0.3323.8513,0254,235352,396120,994
2015-09-10$33.44$40.0042.5%11.6%37.6%0.0%30.6%5.6%-24.9%3.6M152.1M-1.1M0.2926.7228,3188,074359,241121,561
2015-09-11$33.51$40.0044.8%12.8%37.6%0.0%38.0%5.6%-7.4%5.0M143.0M-1.1M0.2732.1925,5886,911376,342123,861
2015-09-14$33.71$40.0044.1%12.6%37.2%0.0%47.0%4.1%0.4%5.8M155.2M-1.1M1.0726.099,63410,294373,549123,166
2015-09-15$33.80$35.0041.8%11.9%36.5%0.0%44.0%4.4%0.2%5.5M-27.6M-545.1K0.7718.509,1857,056118,72859,570
2015-09-16$33.78$40.0033.5%9.6%36.3%0.0%35.5%39.9%38.7%7.9M147.9M-907.6K1.2222.6833,21040,514375,470133,770
2015-09-17$33.30$40.0019.8%3.8%36.0%0.0%13.4%43.1%24.0%13.9M142.0M-944.5K1.3235.2613,80418,156388,067144,248
2015-09-18$32.87$40.0040.0%11.5%34.8%0.0%47.6%34.2%26.8%5.4M180.8M-984.6K2.4920.958,35020,814392,561144,918
2015-09-21$34.20$40.0038.0%11.0%34.4%0.0%36.7%3.1%2.0%6.0M116.9M-1.1M0.3626.0123,3158,409353,599121,052
2015-09-22$33.24$40.0039.3%11.2%35.6%0.0%39.7%3.2%2.0%5.7M143.1M-1.1M0.6817.6311,5387,866360,223123,574
2015-09-23$34.18$40.0038.1%10.9%36.2%0.0%43.7%4.1%2.3%7.9M74.8M-1.4M1.4419.819,46313,617362,318124,960
2015-09-24$33.89$40.0038.7%10.8%36.3%0.0%37.4%4.7%1.7%8.3M137.6M-1.1M0.6921.178,3105,718364,893122,131
2015-09-25$33.74$35.0038.9%10.9%33.2%0.0%37.4%5.5%2.9%5.1M156.9M-883.7K0.4622.858,9014,115368,042122,750
2015-09-28$32.29$35.0043.5%12.1%35.9%0.0%40.8%5.0%-1.1%3.6M175.6M-886.5K0.3524.0810,3783,674357,103114,876
2015-09-29$30.67$35.0047.2%13.3%39.6%0.0%45.6%7.0%-2.0%1.4M200.1M-825.5K1.9122.6510,07019,251360,900116,065
2015-09-30$31.07$35.0048.3%12.6%38.6%0.0%45.5%7.6%-2.1%483.8K228.8M-751.7K2.5621.7611,84930,366363,433131,677