PYPL Options History — October 2015 In October 2015, PYPL traded between $31.07 and $36.49. ATM implied volatility averaged 46.6%. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 7.0% (HV 20d: 39.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.83.
Notable Days 2015-10-08 : Highest Volume — 53,172 contracts2015-10-29 : Largest IV drop — 22.3% change2015-10-09 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $33.95 $31.07 $36.49 $31.07 $36.01 Max Pain $32.95 $30.00 $35.00 $35.00 $35.00 ATM IV 46.6% 33.8% 55.5% 47.4% 33.8% Expected Move 13.1% 10.1% 15.3% 12.6% 10.1% HV 20d 39.6% 30.7% 43.2% 35.6% 30.7% HV 60d 35.8% 34.6% 36.7% 34.6% 36.3% Term Structure -2.2% -5.3% 0.5% -0.1% 0.5% VWIV 45.5% 35.9% 51.4% 42.9% 36.8% Skew 25d 6.9% 4.5% 9.6% 7.2% 4.5% Skew 10d 14.6% 8.4% 19.4% 13.2% 8.4% Call IV 25d 44.0% 32.2% 52.1% 45.1% 32.8% Put IV 25d 51.0% 36.7% 61.4% 52.3% 37.2% Bid-Ask Spread % 23.37 13.97 33.15 19.81 33.15 Gamma HHI 0.13 0.10 0.32 0.14 0.32 Net GEX 5.7M -250.3K 17.2M -250.3K 17.2M Net DEX 37.8M -155.4M 232.0M 232.0M -155.4M Net VEX -1.1M -1.4M -657.9K -846.9K -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.26 2.23 0.70 0.44 Total Volume 24,036.364 8,085 53,172 12,958 32,132 Total OI 473,396.818 223,587 584,642 519,935 443,440
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-10-01 $31.07 $35.00 47.4% 12.6% 35.6% 0.0% 42.9% 7.2% -0.1% -250.3K 232.0M -846.9K 0.70 19.81 7,600 5,358 371,591 148,344 2015-10-02 $32.80 $35.00 46.0% 11.3% 41.3% 0.0% 40.2% 9.3% -2.2% 3.5M 146.9M -1.0M 1.01 27.47 17,331 17,478 383,265 156,537 2015-10-05 $32.67 $30.00 45.8% 11.9% 40.3% 0.0% 42.2% 7.4% -0.9% 2.5M -12.7M -657.9K 0.30 21.07 6,840 2,083 128,760 94,827 2015-10-06 $31.85 $30.00 47.2% 13.7% 40.8% 0.0% 45.8% 6.9% -1.4% 1.5M 201.5M -927.9K 0.93 27.72 13,374 12,458 378,440 156,836 2015-10-07 $32.35 $30.00 46.1% 13.5% 41.3% 0.0% 42.9% 7.1% -1.3% 2.6M 192.9M -944.8K 2.23 21.65 5,461 12,155 383,922 163,471 2015-10-08 $31.64 $30.00 55.5% 15.2% 40.9% 0.0% 51.3% 9.6% -2.6% 586.4K 214.0M -961.3K 2.05 15.64 17,442 35,730 385,257 164,298 2015-10-09 $32.00 $30.00 54.8% 15.3% 41.2% 0.0% 48.2% 8.6% -3.4% 985.4K 201.1M -1.1M 0.80 23.54 12,024 9,578 394,011 183,707 2015-10-12 $32.60 $30.00 53.9% 13.9% 41.7% 0.0% 50.5% 7.0% -4.4% 2.6M 167.9M -1.1M 1.94 21.52 4,968 9,616 395,429 181,991 2015-10-13 $33.23 $30.00 52.8% 13.5% 42.4% 0.0% 51.4% 7.9% -5.3% 6.6M 111.8M -1.1M 0.52 25.06 18,644 9,761 397,607 182,619 2015-10-14 $34.02 $30.00 49.5% 13.3% 43.2% 0.0% 46.0% 7.8% -3.5% 11.5M 62.5M -1.2M 0.42 26.60 17,716 7,503 398,518 184,258 2015-10-15 $34.53 $30.00 47.9% 13.0% 43.2% 0.0% 45.4% 7.6% -3.0% 16.8M 54.8M -1.1M 1.01 13.97 11,378 11,546 399,091 184,242 2015-10-16 $34.27 $35.00 46.5% 12.8% 43.0% 0.0% 47.9% 8.2% -2.8% 4.0M 69.3M -1.1M 0.44 19.53 22,260 9,712 400,707 183,935 2015-10-19 $34.81 $35.00 46.4% 13.1% 41.0% 0.0% 45.7% 6.3% -2.4% 4.8M -50.5M -1.3M 0.75 20.64 5,824 4,365 251,370 132,764 2015-10-20 $34.73 $35.00 46.9% 13.3% 39.5% 0.0% 45.2% 6.7% -2.3% 5.2M -50.7M -1.2M 1.44 19.52 3,308 4,777 253,491 134,044 2015-10-21 $33.79 $35.00 47.7% 13.7% 39.6% 0.0% 46.9% 7.4% -3.1% 3.5M 10.6M -1.1M 0.78 19.42 9,346 7,249 253,672 134,383 2015-10-22 $34.76 $35.00 45.3% 13.1% 40.8% 0.0% 46.3% 5.3% -2.6% 5.8M -53.3M -1.2M 0.39 24.10 9,654 3,757 256,128 136,511 2015-10-23 $34.94 $35.00 45.1% 13.3% 40.7% 0.0% 46.0% 4.9% -3.2% 7.0M -75.7M -1.2M 0.76 27.63 12,264 9,262 258,357 136,574 2015-10-26 $36.49 $35.00 43.2% 13.2% 39.5% 0.0% 46.3% 6.4% -1.2% 5.7M -91.7M -1.2M 0.40 29.67 18,395 7,409 249,669 137,309 2015-10-27 $35.90 $35.00 44.7% 13.8% 34.4% 0.0% 48.4% 6.3% -1.7% 5.8M -98.6M -1.3M 0.33 26.09 17,653 5,746 256,718 140,082 2015-10-28 $36.48 $35.00 43.8% 13.9% 34.5% 0.0% 47.9% 5.6% -1.2% 6.9M -100.4M -1.2M 0.26 24.11 31,657 8,309 266,013 142,208 2015-10-29 $35.94 $35.00 34.0% 10.1% 35.3% 0.0% 35.9% 4.5% 0.2% 10.9M -144.4M -1.3M 0.41 26.19 28,185 11,492 283,500 146,834 2015-10-30 $36.01 $35.00 33.8% 10.1% 30.7% 0.0% 36.8% 4.5% 0.5% 17.2M -155.4M -1.4M 0.44 33.15 22,253 9,879 291,646 151,794
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