PYPL Options History — February 2016

In February 2016, PYPL traded between $32.82 and $38.21. ATM implied volatility averaged 38.5%, placing in the 67.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 9.3% (HV 20d: 47.8%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2016-02-29: Highest Volume — 64,024 contracts
  • 2016-02-08: Largest IV spike — 15.3% change
  • 2016-02-09: Highest IV Rank — 80.8%
  • 2016-02-09: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.73$32.82$38.21$37.10$38.21
Max Pain$34.45$31.00$35.00$31.00$35.00
ATM IV38.5%32.4%45.5%32.4%35.8%
Expected Move11.2%9.7%13.0%9.7%11.2%
HV 20d47.8%38.3%51.0%47.0%38.3%
HV 60d37.0%34.9%38.3%35.4%38.3%
IV Rank67.5%55.8%80.8%55.8%62.2%
IV Percentile51.1%8.9%83.0%8.9%39.6%
Term Structure-0.7%-1.6%0.3%-0.1%-0.4%
VWIV39.6%34.6%46.1%34.6%40.4%
Skew 25d7.4%5.1%10.3%5.6%5.9%
Skew 10d16.4%10.0%25.1%10.0%10.8%
Call IV 25d35.5%30.2%41.2%30.2%32.8%
Put IV 25d42.8%35.8%51.5%35.8%38.7%
Bid-Ask Spread %25.2813.2633.2625.7826.53
Gamma HHI0.180.120.250.240.25
Net GEX5.6M964.4K8.5M7.7M7.1M
Net DEX-132.7M-207.1M-6.0M-204.6M-207.1M
Net VEX-1.0M-1.1M-895.9K-942.3K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.292.210.310.67
Total Volume20,141.98,36164,02426,28364,024
Total OI194,699.6164,741224,010164,741193,691

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$37.10$31.0032.4%9.7%47.0%55.8%34.6%5.6%-0.1%7.7M-204.6M-942.3K0.3125.7820,0956,188111,61353,128
2016-02-02$36.81$31.0034.6%10.2%43.8%60.1%35.3%5.3%-0.2%8.4M-193.7M-962.8K0.2930.4814,6594,293118,35850,306
2016-02-03$37.06$32.0034.5%10.3%43.6%59.8%36.9%5.1%-0.4%8.3M-204.2M-965.6K0.4233.2622,0999,227115,95051,161
2016-02-04$37.12$35.0034.9%10.6%43.1%60.7%40.3%5.6%-0.7%8.5M-197.7M-969.8K1.1713.263,8604,501116,42754,369
2016-02-05$35.00$35.0039.2%11.4%48.0%68.7%39.5%7.0%-0.7%5.9M-114.9M-937.8K0.9222.3018,63217,112117,59755,525
2016-02-08$33.60$35.0045.2%12.6%49.9%80.2%43.2%10.2%-1.2%2.8M-41.0M-895.9K2.1625.8018,95840,963114,36661,113
2016-02-09$32.82$35.0045.5%13.0%50.4%80.8%46.1%10.3%0.2%964.4K-6.0M-1.0M1.7629.115,0278,871126,43786,324
2016-02-10$32.91$35.0045.1%12.8%50.5%80.0%42.4%9.3%-0.4%1.1M-16.2M-997.5K0.5023.267,0933,549128,06084,094
2016-02-11$33.56$35.0045.2%12.6%49.7%80.2%42.4%9.0%-1.5%2.0M-38.4M-1.0M0.4729.009,8434,631130,25484,705
2016-02-12$34.31$35.0043.3%12.5%49.8%76.5%42.8%8.7%0.3%4.1M-83.9M-1.1M0.9822.555,5045,394136,85786,205
2016-02-16$35.42$35.0041.9%12.0%50.5%74.0%42.8%8.6%-1.6%5.8M-133.3M-1.1M1.7122.453,0875,279134,88581,870
2016-02-17$36.38$35.0038.8%11.1%51.0%68.1%39.0%6.9%-1.6%8.1M-187.8M-1.1M0.7923.125,3294,184135,50883,012
2016-02-18$36.35$35.0037.7%10.9%48.9%66.0%39.6%7.4%-0.6%8.5M-195.8M-1.0M0.8327.277,3866,127138,28183,652
2016-02-19$35.76$35.0037.9%10.9%49.6%66.3%39.6%9.1%-0.7%4.9M-169.7M-1.0M2.2128.093,4577,624140,12583,885
2016-02-22$36.02$35.0036.8%10.6%49.6%64.1%38.3%7.2%-0.8%5.2M-116.1M-1.0M1.5423.774,2996,609108,32668,660
2016-02-23$35.53$35.0037.2%10.9%49.9%65.0%38.9%6.9%-0.5%4.2M-95.7M-1.0M2.1525.103,9408,453110,75873,735
2016-02-24$36.50$35.0036.1%10.5%50.4%62.9%37.1%5.5%-0.9%4.9M-131.3M-1.1M1.8327.294,4468,130111,80377,151
2016-02-25$36.66$35.0034.9%10.2%50.0%60.6%36.3%6.4%-1.0%6.1M-141.3M-1.1M1.3324.375,4997,309113,76977,300
2016-02-26$37.48$35.0033.5%9.8%42.2%57.9%37.1%7.5%-0.7%6.8M-176.1M-1.1M0.5822.8910,8746,283115,54279,190
2016-02-29$38.21$35.0035.8%11.2%38.3%62.2%40.4%5.9%-0.4%7.1M-207.1M-1.1M0.6726.5338,31825,706115,33578,356