PYPL Options History — November 2015

In November 2015, PYPL traded between $34.63 and $38.15. ATM implied volatility averaged 34.1%. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.4% (HV 20d: 32.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-11-02: Highest Volume — 18,131 contracts
  • 2015-11-12: Largest IV spike — 9.8% change
  • 2015-11-12: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.18$34.63$38.15$36.99$35.26
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV34.1%31.3%36.9%34.0%32.1%
Expected Move10.0%9.0%10.7%10.1%9.6%
HV 20d32.7%30.3%37.2%31.5%30.6%
HV 60d36.6%34.4%37.8%36.7%34.4%
Term Structure-0.1%-2.5%3.7%-0.0%0.4%
VWIV34.9%32.1%39.4%36.7%37.6%
Skew 25d5.0%3.1%6.6%3.1%5.1%
Skew 10d10.9%5.9%17.3%9.4%11.9%
Call IV 25d32.4%29.8%35.1%33.1%30.7%
Put IV 25d37.4%34.1%41.7%36.2%35.8%
Bid-Ask Spread %23.5213.1235.9235.9221.58
Gamma HHI0.270.180.430.180.25
Net GEX5.5M2.7M10.6M8.7M3.4M
Net DEX-98.9M-175.3M-45.1M-87.0M-60.5M
Net VEX-856.3K-1.5M-710.6K-1.4M-710.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.152.040.480.47
Total Volume9,993.35,13718,13118,1316,066
Total OI174,514.2131,300346,542342,109138,560

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$36.99$35.0034.0%10.1%31.5%0.0%36.7%3.1%-0.0%8.7M-87.0M-1.4M0.4835.9212,2565,875261,69780,412
2015-11-03$38.15$35.0033.2%9.8%30.3%0.0%37.1%4.2%-0.2%10.6M-149.8M-1.5M0.4927.7311,4365,564264,86381,679
2015-11-04$37.55$35.0032.9%9.8%31.4%0.0%39.4%4.0%0.5%9.4M-175.3M-879.5K0.7725.446,0204,651116,14946,357
2015-11-05$36.70$35.0033.9%10.0%31.5%0.0%33.4%3.4%-0.3%8.0M-141.9M-852.8K1.0835.505,4485,905116,13246,688
2015-11-06$36.24$35.0033.8%10.0%32.2%0.0%33.4%4.3%-0.2%6.4M-122.6M-846.5K0.4328.303,9091,700117,02447,905
2015-11-09$36.60$35.0033.9%10.4%32.0%0.0%33.6%5.3%2.3%7.1M-126.8M-842.7K0.1528.415,407816110,96545,081
2015-11-10$36.82$35.0033.7%10.3%31.6%0.0%34.1%4.7%2.3%7.8M-140.9M-850.4K0.7629.105,6934,346112,78745,583
2015-11-11$37.05$35.0033.1%10.5%30.8%0.0%34.1%5.5%3.7%8.6M-147.7M-857.8K0.8629.715,0144,330114,98147,144
2015-11-12$35.58$35.0036.4%10.7%34.3%0.0%37.6%5.6%0.8%3.7M-80.3M-806.5K0.7027.739,9626,926112,58352,533
2015-11-13$34.63$35.0036.9%10.6%35.7%0.0%36.4%5.1%0.1%2.8M-45.1M-765.4K0.4925.559,0814,495114,75952,497
2015-11-16$35.61$35.0036.1%10.3%36.6%0.0%35.8%6.6%-0.7%4.0M-74.1M-765.2K0.1715.035,108859110,34549,653
2015-11-17$36.30$35.0036.5%10.5%37.2%0.0%36.7%6.3%-2.1%4.9M-100.1M-780.7K0.8213.123,8483,144110,11549,371
2015-11-18$36.19$35.0036.2%10.4%35.6%0.0%32.9%6.6%-1.9%4.7M-94.0M-765.0K2.0415.363,7047,563111,09950,139
2015-11-19$36.24$35.0035.6%10.3%34.3%0.0%35.1%6.4%-2.0%3.4M-93.8M-776.2K1.1714.882,8393,326111,75854,513
2015-11-20$36.35$35.0034.4%10.1%34.3%0.0%32.5%6.6%-2.5%4.0M-97.9M-758.4K0.7414.785,4884,049111,98054,716
2015-11-23$35.56$35.0033.3%9.6%31.6%0.0%34.6%5.8%-0.5%3.2M-64.9M-719.2K0.7221.012,9872,15090,74040,560
2015-11-24$35.12$35.0033.0%9.4%31.4%0.0%32.3%3.6%-1.2%2.7M-52.5M-710.8K0.1819.9311,6022,13292,37242,479
2015-11-25$35.40$35.0031.3%9.0%30.9%0.0%32.1%4.3%0.1%3.3M-63.9M-736.9K1.6120.953,3455,39697,37444,005
2015-11-27$35.18$35.0032.4%9.5%30.6%0.0%33.2%4.4%-0.6%2.9M-58.2M-730.2K1.6620.332,7974,62997,99244,694
2015-11-30$35.26$35.0032.1%9.6%30.6%0.0%37.6%5.1%0.4%3.4M-60.5M-710.6K0.4721.584,1181,94895,78142,779