PYPL Options History — July 2016

In July 2016, PYPL traded between $35.91 and $40.12. ATM implied volatility averaged 30.9%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.3% (HV 20d: 30.6%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2016-07-22: Highest Volume — 146,874 contracts
  • 2016-07-22: Largest IV drop — 34.0% change
  • 2016-07-21: Highest IV Rank — 65.9%
  • 2016-07-21: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.03$35.91$40.12$36.39$37.24
Max Pain$37.30$36.00$39.00$36.00$39.00
ATM IV30.9%24.6%37.7%33.0%24.6%
Expected Move8.6%7.0%10.9%8.0%7.0%
HV 20d30.6%25.8%39.4%26.1%33.1%
HV 60d24.0%22.3%27.2%22.3%26.8%
IV Rank44.8%13.4%65.9%57.0%13.4%
IV Percentile24.3%0.4%60.3%32.4%0.4%
Term Structure-0.9%-2.7%0.3%-1.1%0.3%
VWIV30.4%25.2%39.3%29.3%25.2%
Skew 25d3.2%1.8%5.5%2.3%2.3%
Skew 10d6.9%3.1%11.9%4.2%6.5%
Call IV 25d29.8%23.4%37.4%33.4%23.4%
Put IV 25d33.0%25.7%40.0%35.7%25.7%
Bid-Ask Spread %12.627.9121.8018.1210.97
Gamma HHI0.140.080.410.120.15
Net GEX5.4M-9.2M25.8M8.6M-2.5M
Net DEX-61.5M-262.0M190.0M-52.1M54.7M
Net VEX-1.0M-1.2M-823.2K-876.9K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.462.220.710.75
Total Volume35,466.758,588146,87410,02616,923
Total OI252,231.55210,524327,636216,267287,537

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$36.39$36.0033.0%8.0%26.1%57.0%29.3%2.3%-1.1%8.6M-52.1M-876.9K0.7118.125,8754,151147,08769,180
2016-07-05$36.12$36.0036.1%9.6%26.1%62.8%31.7%5.5%-1.3%4.7M-29.4M-855.2K1.2021.803,8984,690142,09468,430
2016-07-06$35.91$36.0035.8%9.5%25.8%62.3%33.1%4.0%-1.9%3.2M-13.1M-823.2K1.4712.334,5986,770142,66969,914
2016-07-07$36.34$36.0034.9%9.5%26.3%60.6%32.1%4.1%-1.3%4.2M-31.5M-838.2K1.7014.674,3937,450142,74273,039
2016-07-08$37.38$36.0032.1%8.7%28.1%55.3%30.4%3.6%-0.3%7.8M-87.2M-835.9K0.7514.9510,3397,796143,07174,013
2016-07-11$38.20$36.0031.8%8.8%28.7%54.6%30.2%4.5%-0.8%11.8M-129.7M-849.8K0.5513.4014,8008,124144,35874,014
2016-07-12$38.77$36.0030.1%8.4%28.9%51.5%32.8%3.3%-0.8%15.7M-169.8M-875.1K1.9711.4819,57938,499147,39674,199
2016-07-13$39.31$37.0032.8%9.1%28.7%56.5%32.9%2.8%-0.8%19.3M-196.1M-994.3K1.4312.7419,17027,470158,294107,150
2016-07-14$40.02$37.0033.0%9.2%28.9%56.9%31.5%3.3%-1.3%25.8M-262.0M-1.0M0.7913.1716,96313,402164,183118,566
2016-07-15$39.08$37.0033.2%9.2%30.6%57.3%32.4%4.0%-1.6%22.4M-164.5M-1.1M1.0812.488,1478,832169,178126,153
2016-07-18$38.94$37.0032.5%9.1%30.6%55.9%32.1%3.3%-0.8%2.0M-78.5M-1.0M1.0012.7912,75812,757107,215105,442
2016-07-19$39.40$37.0032.0%9.1%30.7%55.1%31.0%3.3%-1.2%3.1M-108.0M-1.1M0.469.3319,0668,686114,560111,077
2016-07-20$40.12$37.0031.9%9.1%30.0%54.8%33.1%3.2%-1.5%5.7M-162.5M-1.1M1.1510.9011,87313,672124,709115,717
2016-07-21$40.03$38.0037.7%10.9%29.9%65.9%39.3%2.6%-2.7%3.8M-146.4M-1.1M1.4917.7948,57072,301125,496120,182
2016-07-22$37.37$39.0024.9%7.1%39.4%14.2%26.2%1.8%0.2%-5.9M190.0M-1.0M2.2210.1445,640101,234154,383173,253
2016-07-25$37.77$39.0024.7%7.0%36.5%13.8%27.7%2.9%0.1%-9.2M42.3M-1.2M1.719.2718,36531,387139,555178,143
2016-07-26$37.69$39.0025.4%7.3%34.6%15.6%25.4%2.5%-0.4%-3.1M8.8M-1.1M0.568.7215,5568,656142,881125,904
2016-07-27$37.22$39.0025.6%7.4%34.1%16.2%25.7%2.9%0.0%-4.4M52.4M-1.1M0.897.9111,46610,216148,317129,207
2016-07-28$37.25$39.0025.8%7.2%33.7%16.8%25.3%2.7%-0.5%-4.1M51.8M-1.1M0.719.508,9506,313151,017134,306
2016-07-29$37.24$39.0024.6%7.0%33.1%13.4%25.2%2.3%0.3%-2.5M54.7M-1.1M0.7510.979,6967,227152,172135,365