PYPL Options History — January 2016

In January 2016, PYPL traded between $31.25 and $36.14. ATM implied volatility averaged 41.7%, placing in the 73.2% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 10.5% (HV 20d: 31.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.80.

Notable Days

  • 2016-01-05: Highest Volume — 36,717 contracts
  • 2016-01-28: Largest IV drop — 19.4% change
  • 2016-01-20: Highest IV Rank — 80.9%
  • 2016-01-15: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.86$31.25$36.14$34.70$36.14
Max Pain$31.74$30.00$35.00$35.00$31.00
ATM IV41.7%32.8%45.6%40.0%32.8%
Expected Move11.7%9.2%13.6%10.9%9.2%
HV 20d31.1%26.6%46.0%33.8%46.0%
HV 60d31.2%29.5%35.5%31.3%35.5%
IV Rank73.2%56.6%80.9%76.1%56.6%
IV Percentile62.8%11.9%81.9%73.0%11.9%
Term Structure-1.0%-4.2%4.0%-0.5%0.5%
VWIV41.2%32.7%45.5%39.3%33.5%
Skew 25d6.5%4.5%7.8%5.7%6.8%
Skew 10d13.0%9.6%26.0%11.7%26.0%
Call IV 25d39.0%30.2%42.5%38.2%30.2%
Put IV 25d45.5%37.0%49.4%43.9%37.0%
Bid-Ask Spread %26.0816.2132.5520.0331.60
Gamma HHI0.170.110.300.270.18
Net GEX1.7M266.7K7.1M3.2M7.1M
Net DEX-8.1M-170.8M31.5M-39.7M-170.8M
Net VEX-699.8K-891.7K-610.0K-658.5K-891.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.151.650.380.15
Total Volume17,290.4747,57636,71715,85323,884
Total OI174,543.684136,710203,186157,189185,272

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$34.70$35.0040.0%10.9%33.8%0.0%39.3%5.7%-0.5%3.2M-39.7M-658.5K0.3820.0311,4734,380110,57846,611
2016-01-05$34.39$35.0039.8%10.6%30.8%0.0%40.5%5.2%-0.5%2.3M-24.0M-638.3K1.2619.6616,25020,467107,18848,246
2016-01-06$33.92$35.0040.5%10.9%30.9%0.0%39.0%6.1%-0.6%1.2M-4.0M-706.1K0.7216.214,6633,376119,24065,772
2016-01-07$33.27$35.0042.7%11.4%30.9%0.0%40.2%6.2%-0.9%518.9K13.6M-699.9K0.2527.6412,4013,056120,23766,332
2016-01-08$32.64$35.0042.9%11.1%31.0%0.0%39.2%4.5%-1.8%355.6K28.0M-672.7K1.3029.203,7244,855122,22366,633
2016-01-11$33.08$35.0041.9%11.1%31.2%0.0%40.7%6.1%-2.5%531.0K20.3M-652.9K0.3327.1515,2415,011119,64264,788
2016-01-12$33.10$30.0041.5%10.8%30.4%0.0%43.3%6.2%-3.9%1.5M9.7M-685.8K0.5531.367,3033,996131,89066,174
2016-01-13$32.16$30.0043.2%12.9%31.5%0.0%42.7%7.6%2.1%266.7K31.5M-648.7K0.7132.484,7463,374132,38667,107
2016-01-14$32.87$30.0040.5%10.7%29.0%0.0%38.3%5.7%-4.2%1.8M17.0M-667.2K0.8324.896,9695,817133,70067,427
2016-01-15$32.43$30.0045.1%13.6%29.1%0.0%45.5%7.8%4.0%1.4M28.2M-649.2K0.8228.908,6677,140134,43668,750
2016-01-19$32.31$30.0043.0%12.3%29.0%76.1%41.9%6.6%-0.8%1.2M3.7M-654.9K0.5332.557,7484,11388,79247,918
2016-01-20$31.25$30.0045.6%13.1%30.5%80.9%45.4%7.0%-1.4%879.9K21.0M-610.0K0.7226.159,6316,95593,50847,737
2016-01-21$31.29$30.0044.6%12.9%27.7%79.1%44.8%7.0%-1.6%968.8K20.3M-635.0K1.0223.864,9375,04597,18350,660
2016-01-22$31.70$30.0043.1%12.5%27.2%76.3%42.9%7.2%-1.5%1.5M12.9M-647.4K0.7621.3217,14712,99997,66951,736
2016-01-25$31.50$30.5044.6%13.3%26.6%79.1%45.5%7.8%-2.1%865.6K-3.3M-759.8K1.0620.377,2537,680101,76258,400
2016-01-26$31.86$30.0043.6%13.0%27.3%77.3%44.0%7.3%-2.0%1.3M-13.1M-786.0K1.4822.843,0584,518107,11063,526
2016-01-27$31.53$30.5042.3%13.2%27.2%74.7%43.7%6.5%-1.9%526.5K-3.4M-769.5K1.6528.379,98016,437107,14065,713
2016-01-28$34.20$31.0034.1%9.7%41.3%59.1%32.7%6.9%0.1%5.6M-101.1M-861.8K0.6930.8520,27713,948113,15779,687
2016-01-29$36.14$31.0032.8%9.2%46.0%56.6%33.5%6.8%0.5%7.1M-170.8M-891.7K0.1531.6020,8493,035109,22576,047