PYPL Options History — April 2016

In April 2016, PYPL traded between $37.80 and $40.28. ATM implied volatility averaged 39.7%, placing in the 69.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 12.3% (HV 20d: 27.4%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2016-04-28: Highest Volume — 72,186 contracts
  • 2016-04-28: Largest IV drop — 18.7% change
  • 2016-04-14: Highest IV Rank — 74.8%
  • 2016-04-25: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.14$37.80$40.28$39.34$39.19
Max Pain$38.95$37.00$40.00$37.00$40.00
ATM IV39.7%30.9%42.3%40.9%31.8%
Expected Move11.1%8.1%12.3%8.1%9.5%
HV 20d27.4%22.3%30.9%28.7%22.7%
HV 60d34.8%29.7%36.8%36.7%30.0%
IV Rank69.7%52.9%74.8%72.1%54.6%
IV Percentile57.1%5.6%72.6%65.5%10.2%
Term Structure-1.5%-3.1%-0.1%-0.4%-0.8%
VWIV38.2%28.9%42.0%28.9%32.5%
Skew 25d4.4%3.3%5.3%4.3%4.2%
Skew 10d9.2%7.2%11.4%7.6%8.8%
Call IV 25d38.0%29.8%40.8%39.8%30.3%
Put IV 25d42.4%33.1%45.2%44.1%34.5%
Bid-Ask Spread %21.6717.6527.6918.3522.37
Gamma HHI0.180.140.220.180.17
Net GEX15.9M8.1M23.1M16.2M20.2M
Net DEX-246.8M-332.9M-174.4M-267.9M-212.7M
Net VEX-1.3M-1.4M-1.2M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.163.430.580.34
Total Volume23,869.28611,39772,18614,65734,850
Total OI287,573.762217,202345,050325,737301,360

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$39.34$37.0040.9%8.1%28.7%72.1%28.9%4.3%-0.4%16.2M-267.9M-1.4M0.5818.359,2705,387202,465123,272
2016-04-04$38.68$39.0041.3%10.9%29.3%72.8%38.1%4.7%-1.9%12.6M-214.4M-1.3M0.4820.9913,9486,637201,322118,811
2016-04-05$38.53$39.0041.2%10.9%29.3%72.6%37.2%3.5%-1.3%11.5M-202.7M-1.3M0.7222.477,9505,696200,057120,191
2016-04-06$39.12$39.0040.3%10.9%29.0%70.8%36.6%4.3%-0.4%15.0M-246.6M-1.3M0.3217.658,7982,812201,378123,482
2016-04-07$38.25$39.0041.0%11.2%30.0%72.3%38.2%4.4%-1.3%8.1M-174.4M-1.3M0.4822.287,7263,671204,089123,900
2016-04-08$38.37$39.0040.9%11.2%30.0%72.0%38.8%3.5%-1.8%8.9M-183.2M-1.3M0.1623.6428,4924,532203,527125,151
2016-04-11$38.11$39.0041.9%11.7%28.3%74.0%39.3%4.2%-0.9%9.8M-205.9M-1.3M3.4321.2811,52639,583220,773124,277
2016-04-12$37.80$39.0042.2%11.6%28.4%74.5%40.3%4.6%-1.5%14.4M-195.3M-1.2M0.3319.4713,0504,259225,91099,402
2016-04-13$38.78$39.0040.9%11.6%30.0%72.1%38.8%4.7%-0.1%20.8M-269.6M-1.3M0.2320.8816,3783,777229,525100,725
2016-04-14$38.60$39.0042.3%11.7%29.5%74.8%40.6%4.3%-2.1%16.4M-258.0M-1.3M0.6522.967,6604,968237,939101,933
2016-04-15$38.60$39.0041.5%11.3%29.5%73.3%39.6%4.1%-3.1%11.5M-243.2M-1.2M0.1725.1222,2883,801236,798103,910
2016-04-18$39.60$39.0040.4%11.4%30.9%71.0%39.3%4.8%-1.6%17.3M-262.8M-1.3M0.3418.4110,6643,622174,41042,792
2016-04-19$39.15$39.0040.4%11.5%27.6%71.1%39.2%4.0%-1.9%17.2M-231.8M-1.3M0.4320.058,9693,873174,59244,156
2016-04-20$40.13$39.0039.8%11.4%28.9%69.9%39.9%4.5%-2.0%18.6M-298.1M-1.3M0.4422.1814,6446,477177,43845,483
2016-04-21$40.12$39.0039.3%11.4%28.0%69.0%39.3%4.9%-2.0%20.5M-307.5M-1.3M0.2321.2113,6873,124183,83448,551
2016-04-22$40.28$39.0038.6%11.2%23.4%67.6%39.8%4.8%-1.9%17.8M-332.9M-1.4M0.3221.2211,0693,577194,39049,578
2016-04-25$39.74$39.0040.5%12.3%24.0%71.2%42.0%4.9%-2.3%16.8M-260.2M-1.3M0.3720.3110,6533,925182,04146,811
2016-04-26$39.70$39.0039.1%12.0%23.1%68.7%42.0%5.3%-2.1%17.8M-259.7M-1.3M0.3522.6715,6925,428187,73448,181
2016-04-27$39.97$39.0038.0%11.8%22.7%66.5%39.7%4.9%-1.8%19.6M-282.6M-1.3M0.3923.9133,55913,047194,19650,775
2016-04-28$39.98$39.0030.9%9.5%22.3%52.9%31.7%3.3%-1.2%23.1M-273.0M-1.3M0.1727.6961,59110,595204,21959,671
2016-04-29$39.19$40.0031.8%9.5%22.7%54.6%32.5%4.2%-0.8%20.2M-212.7M-1.4M0.3422.3725,9788,872236,49564,865