PYPL Options History — March 2016

In March 2016, PYPL traded between $38.16 and $41.33. ATM implied volatility averaged 33.5%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.5% (HV 20d: 27.9%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2016-03-21: Highest Volume — 77,467 contracts
  • 2016-03-28: Largest IV spike — 17.9% change
  • 2016-03-30: Highest IV Rank — 75.8%
  • 2016-03-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.31$38.16$41.33$39.18$38.64
Max Pain$35.82$35.00$37.00$37.00$37.00
ATM IV33.5%29.2%42.9%32.2%42.0%
Expected Move9.1%8.3%10.3%9.7%8.5%
HV 20d27.9%21.6%38.2%38.2%27.9%
HV 60d37.1%35.9%38.6%38.6%36.6%
IV Rank57.8%49.7%75.8%55.3%74.2%
IV Percentile20.7%1.8%73.7%7.7%69.9%
Term Structure1.2%-3.0%9.7%0.3%-1.8%
VWIV32.0%28.2%36.3%36.3%29.5%
Skew 25d4.5%3.3%5.9%4.5%4.3%
Skew 10d10.0%5.5%24.6%12.8%6.4%
Call IV 25d31.8%27.5%42.5%30.6%40.3%
Put IV 25d36.2%31.3%47.7%35.0%44.6%
Bid-Ask Spread %19.859.6335.6423.3318.67
Gamma HHI0.180.150.220.190.17
Net GEX11.5M4.1M18.0M9.3M11.8M
Net DEX-286.2M-407.6M-199.6M-272.5M-209.4M
Net VEX-1.3M-1.5M-1.2M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.212.601.130.36
Total Volume22,854.2278,65877,46739,99218,712
Total OI287,921.273211,322326,988229,631321,720

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$39.18$37.0032.2%9.7%38.2%55.3%36.3%4.5%0.3%9.3M-272.5M-1.2M1.1323.3318,81921,173135,37394,258
2016-03-02$39.08$37.0033.6%10.3%38.0%58.0%34.7%4.5%0.6%8.8M-285.1M-1.3M0.2524.4027,7087,032149,813109,964
2016-03-03$39.06$35.0033.3%9.7%38.0%57.6%31.8%4.4%0.1%10.5M-297.3M-1.4M0.6018.209,4655,660166,049116,361
2016-03-04$39.07$35.0032.2%9.3%38.0%55.4%32.7%4.3%0.2%8.5M-281.6M-1.3M2.6019.725,83115,139160,602117,365
2016-03-07$38.85$35.0032.0%9.0%30.6%55.0%33.2%4.3%-1.2%6.5M-249.9M-1.3M0.4417.527,0893,112155,075127,541
2016-03-08$38.16$35.0032.3%9.5%26.9%55.5%33.7%4.4%0.7%4.1M-199.6M-1.3M0.7619.856,5875,023156,302127,657
2016-03-09$38.55$35.0031.2%9.0%24.5%53.5%31.6%5.5%0.1%4.6M-222.0M-1.3M0.5115.589,1554,641155,896129,624
2016-03-10$38.42$35.0031.5%9.1%24.8%54.0%33.2%4.8%0.1%5.1M-230.9M-1.3M0.7618.4513,57610,281162,279130,389
2016-03-11$39.47$35.0029.7%8.8%25.4%50.6%28.7%4.1%1.6%11.4M-314.5M-1.2M0.5314.8510,5585,601162,103130,868
2016-03-14$39.31$35.0030.9%8.9%25.1%52.9%29.7%3.9%0.3%11.9M-299.6M-1.2M0.419.636,1262,532163,343126,580
2016-03-15$39.24$35.0031.0%8.9%23.5%53.0%31.2%4.4%0.6%13.0M-300.8M-1.2M0.8211.475,0184,097165,462127,413
2016-03-16$39.82$35.0029.5%8.5%22.4%50.3%28.2%4.5%0.4%16.6M-335.0M-1.2M0.4425.196,7572,958166,328129,004
2016-03-17$39.67$35.0029.2%8.3%22.5%49.7%28.5%3.6%0.6%18.0M-337.4M-1.2M0.5917.936,0103,541169,090129,250
2016-03-18$39.35$35.0029.7%8.6%21.6%50.7%30.0%4.3%-0.6%12.5M-321.5M-1.2M0.8023.275,2724,203175,126129,866
2016-03-21$40.89$35.0029.9%8.5%24.7%51.0%32.2%5.9%5.9%13.0M-332.5M-1.2M0.8925.3641,05736,410141,11970,203
2016-03-22$41.33$37.0030.9%8.9%23.6%52.9%32.9%4.6%9.7%14.8M-407.6M-1.4M0.2121.3627,7475,860172,707104,178
2016-03-23$40.50$37.0032.1%9.1%24.4%55.3%31.7%4.6%7.8%16.1M-371.2M-1.5M0.2120.4126,6895,631188,863106,329
2016-03-24$38.85$37.0035.7%9.7%29.5%62.0%34.0%4.4%8.5%12.2M-237.9M-1.5M0.2735.6432,8378,785193,234109,090
2016-03-28$38.76$37.0042.0%9.5%28.7%74.2%35.1%5.6%-2.7%12.8M-231.6M-1.4M0.8818.1012,07210,618197,606111,790
2016-03-29$39.52$37.0042.7%9.2%28.7%75.6%34.8%3.3%-3.0%15.5M-298.8M-1.5M0.8920.8612,95211,499202,035119,425
2016-03-30$39.03$37.0042.9%8.5%27.7%75.8%29.2%4.5%-2.3%15.2M-259.4M-1.5M0.3316.8414,2884,672206,429120,559
2016-03-31$38.64$37.0042.0%8.5%27.9%74.2%29.5%4.3%-1.8%11.8M-209.4M-1.4M0.3618.6713,7105,002199,730121,990