PYPL Options History — June 2016

In June 2016, PYPL traded between $34.25 and $38.52. ATM implied volatility averaged 29.2%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 9.3% (HV 20d: 19.9%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2016-06-28: Highest Volume — 40,477 contracts
  • 2016-06-24: Largest IV spike — 20.9% change
  • 2016-06-28: Highest IV Rank — 65.9%
  • 2016-06-28: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.78$34.25$38.52$38.26$36.46
Max Pain$37.00$36.00$39.00$39.00$36.00
ATM IV29.2%24.7%37.7%26.1%34.2%
Expected Move8.1%7.0%10.4%7.4%8.7%
HV 20d19.9%14.3%26.1%20.6%26.1%
HV 60d22.3%19.7%24.0%24.0%22.7%
IV Rank49.6%41.1%65.9%43.8%59.3%
IV Percentile15.7%0.9%57.6%0.9%43.3%
Term Structure0.8%-1.5%3.2%-1.3%-0.0%
VWIV28.2%25.1%37.7%25.4%31.7%
Skew 25d4.9%3.2%8.1%3.8%6.8%
Skew 10d9.4%-4.4%36.2%6.5%11.0%
Call IV 25d27.1%23.0%36.5%24.3%31.9%
Put IV 25d32.1%27.0%42.6%28.1%38.7%
Bid-Ask Spread %21.3513.5782.3015.7328.36
Gamma HHI0.160.080.550.190.08
Net GEX2.0M-20.5M10.0M8.4M7.5M
Net DEX-14.0M-92.4M40.9M-78.4M-55.6M
Net VEX-872.1K-1.0M-673.5K-1.0M-905.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.281.690.400.53
Total Volume15,4557,70240,47713,71413,460
Total OI203,080.091168,564237,801198,606212,976

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$38.26$39.0026.1%7.4%20.6%43.8%25.4%3.8%-1.3%8.4M-78.4M-1.0M0.4015.739,8243,890136,95161,655
2016-06-02$38.52$37.0025.1%7.0%20.7%41.8%25.9%3.2%0.2%10.0M-92.4M-1.0M0.4214.417,6993,200139,96062,535
2016-06-03$38.35$37.0025.0%7.4%20.1%41.6%26.8%3.9%0.3%9.1M-81.5M-1.0M1.5115.396,0599,177139,83962,858
2016-06-06$38.06$37.0025.5%7.3%19.3%42.6%25.1%3.6%-0.5%6.4M-57.7M-975.4K0.9814.077,0566,896138,27265,227
2016-06-07$37.53$37.0025.2%7.2%19.7%42.0%25.5%3.7%-0.4%3.3M-22.0M-939.0K1.1416.925,1375,876140,13267,565
2016-06-08$37.56$37.0024.7%7.2%18.9%41.1%25.3%4.3%0.5%2.2M-16.2M-933.6K0.7517.627,4105,556140,97470,373
2016-06-09$37.18$37.0025.5%7.5%19.0%42.6%25.8%3.5%1.1%174.5K6.8M-896.4K0.9113.575,1634,684142,30271,712
2016-06-10$36.74$37.0026.6%7.8%19.2%44.7%26.9%5.3%0.6%-228.6K29.0M-853.1K0.8514.156,8925,849142,73272,331
2016-06-13$36.53$37.0027.9%8.0%19.2%47.2%29.0%5.9%1.8%-2.2M40.0M-841.4K0.8214.3712,61710,288141,85575,360
2016-06-14$37.14$37.0028.9%8.3%20.5%49.1%28.0%6.0%1.3%-981.0K5.1M-889.5K1.6915.799,09815,352148,11177,105
2016-06-15$36.84$37.0028.6%8.2%20.6%48.6%26.8%6.0%2.0%-4.0M26.7M-872.6K0.2824.3811,1613,069149,67983,465
2016-06-16$37.00$37.0029.3%8.4%20.6%49.9%29.6%5.2%0.7%-4.3M10.5M-883.3K0.8719.135,3294,661151,84083,578
2016-06-17$36.96$37.0028.3%8.0%17.0%48.0%28.1%4.2%1.8%-20.5M21.6M-853.8K1.5618.585,6888,902152,81984,982
2016-06-20$36.85$37.0028.5%7.6%17.0%48.4%26.0%4.7%1.6%5.7M-43.7M-859.4K0.4723.5511,2095,265116,24152,323
2016-06-21$36.17$37.0029.4%7.7%17.3%50.0%27.0%4.8%2.9%3.3M-8.3M-774.4K0.4816.6411,3865,438117,90152,842
2016-06-22$36.01$37.0029.3%8.0%14.3%50.0%27.1%5.2%2.4%4.9M-9.0M-767.7K0.7418.044,4333,269124,09754,837
2016-06-23$36.64$37.0027.9%7.4%16.1%47.3%25.5%6.0%3.2%7.2M-29.4M-782.2K0.3221.386,9572,224124,63555,685
2016-06-24$35.22$37.0033.8%9.1%20.1%58.4%31.3%6.4%1.5%1.7M19.8M-732.9K0.6822.238,9496,121125,95455,865
2016-06-27$34.25$37.0037.2%9.8%21.8%64.9%33.2%8.1%-1.5%189.4K40.9M-673.5K1.4921.697,69511,463119,57556,316
2016-06-28$35.20$37.0037.7%10.4%24.7%65.9%37.7%4.2%0.2%1.9M9.9M-810.1K0.3882.3029,24711,230122,31663,586
2016-06-29$35.75$36.0036.7%9.0%25.1%64.1%32.0%3.8%-1.3%5.4M-23.0M-873.3K0.5321.309,8875,244141,02567,376
2016-06-30$36.46$36.0034.2%8.7%26.1%59.3%31.7%6.8%-0.0%7.5M-55.6M-905.6K0.5328.368,7954,665144,52868,448