PYPL Options History — December 2015

In December 2015, PYPL traded between $34.25 and $37.07. ATM implied volatility averaged 33.8%. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.6% (HV 20d: 29.2%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2015-12-01: Highest Volume — 42,643 contracts
  • 2015-12-28: Largest IV spike — 14.5% change
  • 2015-12-02: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.79$34.25$37.07$35.17$36.31
Max Pain$34.95$34.00$35.00$35.00$35.00
ATM IV33.8%29.9%37.4%34.2%37.1%
Expected Move9.6%8.7%10.6%10.5%9.0%
HV 20d29.2%25.9%30.9%28.7%30.9%
HV 60d33.6%29.9%35.3%33.9%29.9%
Term Structure1.5%-1.1%5.3%-0.5%-0.4%
VWIV34.1%31.2%38.0%38.0%33.0%
Skew 25d5.1%3.1%8.0%6.0%4.5%
Skew 10d9.8%1.2%17.6%11.4%9.5%
Call IV 25d32.0%28.2%35.8%31.8%35.8%
Put IV 25d37.1%32.1%40.9%37.8%40.3%
Bid-Ask Spread %20.8310.2727.8627.8619.77
Gamma HHI0.250.170.600.270.27
Net GEX6.2M3.3M16.3M3.3M4.5M
Net DEX-98.1M-139.6M-53.2M-60.3M-88.9M
Net VEX-702.9K-760.5K-654.1K-712.1K-654.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.131.070.130.19
Total Volume14,095.5912,44942,64342,64322,007
Total OI159,962.091141,761176,095141,761161,583

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$35.17$35.0034.2%10.5%28.7%0.0%38.0%6.0%-0.5%3.3M-60.3M-712.1K0.1327.8637,8164,82798,10243,659
2015-12-02$35.16$34.0033.6%10.6%25.9%0.0%37.4%4.2%0.6%5.6M-95.2M-760.5K0.2425.5521,6245,115114,40946,783
2015-12-03$34.25$35.0034.7%9.8%26.8%0.0%36.4%5.3%0.5%4.2M-53.2M-711.2K0.3120.7812,9364,010113,26947,166
2015-12-04$35.59$35.0032.0%9.7%29.9%0.0%34.3%3.5%0.4%5.5M-97.9M-736.6K0.8117.147,6566,175110,41847,959
2015-12-07$35.16$35.0033.4%9.9%29.9%0.0%35.1%5.5%1.1%4.9M-82.1M-723.6K1.0011.241,2231,226108,97147,561
2015-12-08$35.66$35.0032.6%9.7%30.1%0.0%33.6%5.8%1.2%5.3M-94.9M-707.5K0.8117.464,2803,449109,47647,713
2015-12-09$35.05$35.0033.3%9.8%30.5%0.0%35.1%4.4%0.6%4.7M-75.7M-691.1K1.0713.274,1654,440109,81848,051
2015-12-10$35.44$35.0032.5%9.6%30.7%0.0%33.4%4.5%1.2%5.6M-97.3M-700.7K0.6512.925,6883,674110,23348,219
2015-12-11$34.65$35.0034.4%10.1%28.3%0.0%35.3%5.4%1.2%5.0M-61.6M-684.4K0.5110.278,6974,445111,80049,132
2015-12-14$34.97$35.0034.9%10.1%26.8%0.0%35.2%6.6%2.4%5.9M-77.0M-661.1K0.7123.254,4703,180111,93646,433
2015-12-15$36.33$35.0034.8%10.1%28.4%0.0%34.8%8.0%0.9%7.0M-130.7M-684.4K0.5618.3015,4068,673112,74047,196
2015-12-16$36.03$35.0033.4%9.6%27.8%0.0%33.2%6.5%3.0%7.3M-123.6M-702.8K0.8027.7711,8949,486119,85952,950
2015-12-17$35.56$35.0034.6%9.8%28.1%0.0%34.2%4.4%2.3%8.0M-120.8M-704.0K0.2117.9611,6982,448119,90154,158
2015-12-18$35.03$35.0034.8%9.7%28.6%0.0%33.9%5.0%2.4%16.3M-90.5M-684.0K0.7723.677,2865,643121,81054,285
2015-12-21$36.08$35.0031.2%9.0%30.6%0.0%32.9%5.0%4.1%4.2M-79.8M-693.9K0.5927.497,2354,24199,66550,047
2015-12-22$36.72$35.0029.9%8.7%30.1%0.0%31.2%4.4%5.0%5.9M-110.3M-705.8K0.7126.215,4353,859103,00350,638
2015-12-23$37.03$35.0030.9%9.1%29.7%0.0%32.5%3.1%4.2%7.0M-134.8M-728.9K0.5327.8210,6565,595104,85350,848
2015-12-24$37.07$35.0031.5%9.1%29.7%0.0%32.4%3.1%5.3%7.5M-139.6M-745.7K0.7626.093,6962,827111,28653,847
2015-12-28$36.59$35.0036.1%9.7%30.0%0.0%33.9%5.3%-1.0%6.0M-105.7M-700.3K0.7721.513,4382,649108,42050,370
2015-12-29$37.04$35.0036.5%9.2%30.3%0.0%32.4%6.0%-1.1%7.1M-130.1M-699.5K0.6520.745,0983,295108,70650,944
2015-12-30$36.51$35.0037.4%9.2%30.8%0.0%32.3%5.1%-0.4%5.6M-107.8M-672.5K0.5921.125,3213,121109,15551,794
2015-12-31$36.31$35.0037.1%9.0%30.9%0.0%33.0%4.5%-0.4%4.5M-88.9M-654.1K0.1919.7718,4563,551109,37152,212