PYPL Options History — August 2016

In August 2016, PYPL traded between $36.51 and $38.48. ATM implied volatility averaged 21.6%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 3.0% (HV 20d: 24.6%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-08-11: Highest Volume — 27,619 contracts
  • 2016-08-19: Largest IV drop — 6.9% change
  • 2016-08-02: Highest IV Rank — 12.5%
  • 2016-08-02: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.74$36.51$38.48$37.05$37.21
Max Pain$37.09$36.00$39.00$39.00$37.00
ATM IV21.6%19.8%24.3%23.7%20.8%
Expected Move6.2%5.3%7.1%6.7%5.6%
HV 20d24.6%13.8%33.9%33.2%13.9%
HV 60d26.2%25.3%27.2%26.6%25.3%
IV Rank5.2%0.1%12.5%10.9%2.7%
IV Percentile1.2%0.4%3.6%0.4%3.6%
Term Structure0.3%-0.3%1.8%-0.1%-0.3%
VWIV21.7%19.0%24.6%24.3%20.1%
Skew 25d2.5%1.2%3.5%2.7%2.8%
Skew 10d4.7%0.8%8.3%5.3%3.5%
Call IV 25d20.9%18.7%23.3%22.9%19.5%
Put IV 25d23.4%21.6%26.4%25.6%22.3%
Bid-Ask Spread %15.939.7328.0811.3228.08
Gamma HHI0.140.100.250.160.14
Net GEX332.1K-10.4M6.8M-3.9M893.1K
Net DEX-28.3M-90.8M113.8M47.2M-20.1M
Net VEX-939.0K-1.1M-772.9K-1.0M-782.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.392.462.460.46
Total Volume13,660.4785,66227,61927,2048,230
Total OI252,821.87173,201314,219268,246186,950

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$37.05$39.0023.7%6.7%33.2%10.9%24.3%2.7%-0.1%-3.9M47.2M-1.0M2.4611.327,87219,332144,620123,626
2016-08-02$36.58$39.0024.3%7.1%33.4%12.5%24.6%3.1%-0.0%-8.5M101.9M-1.1M0.8212.4012,45410,176145,958136,644
2016-08-03$36.51$39.0023.6%6.7%33.3%10.8%23.8%3.5%-0.1%-10.4M113.8M-1.1M0.5611.217,3804,117149,329142,302
2016-08-04$37.28$37.0022.8%6.9%33.9%8.5%23.6%2.5%-0.0%-6.6M38.1M-1.1M0.7514.207,9405,976150,516143,168
2016-08-05$38.06$37.0022.2%6.6%33.2%6.9%23.9%2.1%-0.3%-2.0M-43.2M-1.1M0.3914.6312,1114,701152,363141,927
2016-08-08$37.86$36.0022.2%6.5%32.3%6.8%22.6%3.2%0.4%-3.2M-17.6M-1.1M0.7014.106,6224,623147,804137,315
2016-08-09$38.08$36.0022.3%6.7%31.9%6.9%23.8%2.3%1.2%-2.0M-36.2M-1.0M0.4826.0315,0707,216149,177138,375
2016-08-10$38.05$36.0022.4%6.7%31.4%7.3%23.7%1.8%0.9%-61.7K-50.4M-1.0M0.7914.606,1904,879157,749139,438
2016-08-11$38.45$36.0022.1%6.6%30.9%6.5%23.2%1.4%1.2%2.9M-90.8M-1.0M2.389.778,18019,439158,834141,379
2016-08-12$38.48$37.0021.6%6.5%29.8%5.0%22.5%1.8%1.8%1.5M-77.3M-1.0M0.8915.7110,2699,127158,603155,616
2016-08-15$38.47$37.0022.2%6.4%29.8%6.8%22.5%1.2%-0.1%1.5M-81.6M-970.3K0.729.735,2723,814156,787137,248
2016-08-16$38.41$37.0022.2%6.4%29.4%6.9%22.0%1.7%-0.1%3.1M-82.8M-921.9K0.5211.706,2803,276156,969132,507
2016-08-17$38.14$37.0022.3%6.4%28.6%7.1%22.1%2.1%0.1%2.9M-52.2M-915.9K0.5215.174,2622,230157,050132,344
2016-08-18$38.22$37.0021.7%6.2%28.6%5.3%21.7%2.4%0.6%3.6M-60.9M-911.7K0.5210.724,4632,331158,429133,190
2016-08-19$38.09$37.0020.2%5.7%14.4%1.1%19.5%2.2%0.6%-1.9M-56.1M-876.5K0.4010.5913,2925,345158,636133,840
2016-08-22$38.14$37.0019.8%5.4%13.9%0.2%19.2%2.9%0.6%6.8M-66.0M-828.5K0.4413.4510,7854,719111,48961,712
2016-08-23$37.86$37.0019.9%5.5%14.2%0.4%19.4%2.6%0.5%5.5M-54.2M-813.3K0.5913.007,7724,581112,32862,946
2016-08-24$37.52$37.0020.4%5.6%13.8%1.8%19.4%3.4%0.2%4.3M-37.4M-815.5K1.3222.922,4433,219115,23264,203
2016-08-25$37.47$37.0020.6%5.7%13.8%2.2%19.9%2.9%0.3%3.8M-33.0M-815.4K0.4221.266,4732,751115,98865,170
2016-08-26$37.69$37.0019.8%5.5%13.9%0.1%19.5%2.8%0.3%4.7M-45.5M-830.3K0.5926.874,9522,925117,85165,426
2016-08-29$37.31$37.0019.9%5.3%14.3%0.3%19.6%2.8%-0.1%3.8M-32.4M-777.6K0.8822.145,5894,918115,89863,837
2016-08-30$37.00$37.0020.4%5.4%13.9%1.7%19.0%2.9%-0.3%829.7K-14.5M-772.9K0.5416.736,8863,709117,08467,046
2016-08-31$37.21$37.0020.8%5.6%13.9%2.7%20.1%2.8%-0.3%893.1K-20.1M-782.8K0.4628.085,6282,602118,62368,327