PYPL Options History — May 2016

In May 2016, PYPL traded between $37.55 and $40.10. ATM implied volatility averaged 29.8%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 9.7% (HV 20d: 20.1%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2016-05-13: Highest Volume — 36,537 contracts
  • 2016-05-18: Largest IV drop — 11.9% change
  • 2016-05-17: Highest IV Rank — 57.0%
  • 2016-05-04: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.81$37.55$40.10$38.99$37.83
Max Pain$39.12$39.00$40.00$40.00$39.00
ATM IV29.8%26.3%33.1%32.0%26.8%
Expected Move8.5%7.2%10.0%9.5%7.7%
HV 20d20.1%14.9%22.6%21.9%20.8%
HV 60d24.9%23.6%30.0%30.0%23.9%
IV Rank50.9%44.2%57.0%55.1%45.1%
IV Percentile7.0%0.9%24.9%11.6%1.8%
Term Structure-0.2%-1.7%0.9%0.0%-0.6%
VWIV29.4%24.8%35.2%33.8%26.6%
Skew 25d4.0%2.6%5.5%4.5%4.7%
Skew 10d8.2%5.8%11.4%6.9%9.3%
Call IV 25d28.3%24.7%31.0%29.7%25.2%
Put IV 25d32.3%28.1%35.2%34.2%29.9%
Bid-Ask Spread %20.9315.0134.6117.1416.99
Gamma HHI0.180.150.230.160.18
Net GEX18.5M1.3M32.8M20.5M5.8M
Net DEX-158.3M-315.6M16.5M-197.4M-49.6M
Net VEX-1.2M-1.4M-1.0M-1.4M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.291.950.500.69
Total Volume17,037.4299,02936,53716,34417,226
Total OI267,603.905187,321326,214272,856197,570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$38.99$40.0032.0%9.5%21.9%55.1%33.8%4.5%0.0%20.5M-197.4M-1.4M0.5017.1410,8825,462217,83455,022
2016-05-03$38.39$40.0032.4%9.8%22.6%55.7%33.9%2.6%0.3%18.1M-160.4M-1.3M0.4520.1012,6105,693222,25054,954
2016-05-04$38.35$39.5032.4%10.0%21.8%55.7%35.2%4.2%-0.1%17.3M-149.1M-1.3M0.3916.8912,1194,737223,01056,660
2016-05-05$38.89$39.0032.2%9.0%20.9%55.4%30.2%3.9%0.1%22.4M-202.2M-1.4M0.4819.959,9194,803228,76657,918
2016-05-06$39.48$39.0031.4%9.1%21.5%53.9%30.5%3.8%-0.4%26.1M-247.2M-1.4M0.7418.905,4244,016228,34858,403
2016-05-09$39.61$39.0031.4%8.7%21.3%53.8%30.6%3.9%-0.8%27.8M-258.4M-1.3M0.4816.396,1022,927225,25356,011
2016-05-10$40.10$39.0029.5%8.3%21.2%50.3%28.7%3.8%-0.5%32.1M-315.6M-1.4M0.7321.968,0015,803225,53956,338
2016-05-11$39.76$39.0029.0%8.2%19.8%49.2%28.6%4.4%-0.3%30.7M-266.3M-1.3M0.3315.0112,3474,085227,75057,313
2016-05-12$39.52$39.0029.4%8.2%19.9%50.0%28.7%3.6%-1.2%30.0M-241.1M-1.3M0.4715.4610,2454,778232,56857,854
2016-05-13$39.53$39.0031.6%8.8%19.9%54.3%31.8%4.6%-1.6%32.8M-260.5M-1.3M0.7424.8620,94015,597236,35358,595
2016-05-16$39.32$39.0032.0%9.1%17.7%55.0%30.7%4.0%-0.6%27.3M-211.1M-1.2M0.6420.8011,2137,178239,83066,623
2016-05-17$39.26$39.0033.1%9.5%17.3%57.0%31.2%4.5%-1.7%27.2M-202.6M-1.2M0.9024.957,0376,338243,67169,545
2016-05-18$38.92$39.0029.1%8.3%14.9%49.5%30.2%5.5%0.9%23.3M-138.1M-1.2M0.4034.6120,8858,288245,23271,984
2016-05-19$37.62$39.0030.1%8.6%18.8%51.4%29.3%4.8%0.2%3.6M-3.6M-1.0M1.9530.2511,74222,868246,42174,829
2016-05-20$37.55$39.0028.6%8.2%18.6%48.6%27.8%3.8%0.8%1.3M16.5M-1.0M0.5929.4510,3596,077245,93180,283
2016-05-23$38.03$39.0028.7%8.0%19.0%48.7%26.6%3.6%0.2%6.1M-65.4M-1.0M0.2922.3313,1003,827128,39158,930
2016-05-24$38.94$39.0026.9%7.5%21.1%45.4%26.5%3.8%0.5%10.5M-120.9M-1.1M0.3518.9611,1453,898136,19760,075
2016-05-25$38.76$39.0026.3%7.2%21.0%44.2%24.8%3.5%0.5%10.6M-115.7M-1.1M0.8116.015,3054,320143,35661,421
2016-05-26$38.07$39.0026.9%7.5%21.8%45.3%26.4%3.2%0.6%7.8M-69.6M-1.1M0.5318.856,6983,547143,23362,911
2016-05-27$38.05$39.0026.6%7.4%20.8%44.7%25.3%3.4%0.0%7.5M-66.1M-1.1M1.0319.635,0405,205142,65163,859
2016-05-31$37.83$39.0026.8%7.7%20.8%45.1%26.6%4.7%-0.6%5.8M-49.6M-1.0M0.6916.9910,1957,031134,88362,687