PYPL Options History — September 2016

In September 2016, PYPL traded between $36.77 and $41.11. ATM implied volatility averaged 25.0%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.4% (HV 20d: 22.6%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2016-09-13: Highest Volume — 52,996 contracts
  • 2016-09-27: Largest IV spike — 13.7% change
  • 2016-09-29: Highest IV Rank — 36.5%
  • 2016-09-29: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.59$36.77$41.11$36.77$41.00
Max Pain$38.05$37.00$39.00$37.00$39.00
ATM IV25.0%20.2%32.9%21.1%30.0%
Expected Move7.3%5.2%9.9%5.7%9.2%
HV 20d22.6%10.0%27.1%12.5%26.6%
HV 60d26.5%25.3%28.1%25.4%25.8%
IV Rank14.6%1.1%36.5%3.6%28.6%
IV Percentile16.1%2.4%48.0%4.0%32.1%
Term Structure0.6%-1.9%2.7%0.1%-1.3%
VWIV25.9%18.3%34.6%20.0%32.0%
Skew 25d3.6%2.2%5.0%4.1%4.3%
Skew 10d7.2%2.2%11.4%6.1%11.2%
Call IV 25d23.7%19.1%31.2%19.7%28.4%
Put IV 25d27.3%22.1%35.8%23.8%32.8%
Bid-Ask Spread %15.348.2352.2352.2311.73
Gamma HHI0.160.110.320.160.19
Net GEX11.4M-6.5M22.9M-791.1K21.3M
Net DEX-163.6M-302.2M1.3M1.3M-244.5M
Net VEX-916.3K-1.1M-740.6K-749.4K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.181.190.450.54
Total Volume20,970.6677,84852,99610,20014,373
Total OI208,819.143186,372242,529188,305242,529

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$36.77$37.0021.1%5.7%12.5%3.6%20.0%4.1%0.1%-791.1K1.3M-749.4K0.4552.237,0283,172119,49468,811
2016-09-02$36.98$37.0020.2%5.2%10.0%1.1%18.3%2.9%0.1%-5.8M-8.5M-749.1K0.3614.387,7312,755120,62069,309
2016-09-06$37.16$38.0021.0%6.5%10.1%3.4%23.1%2.3%0.5%2.8M-25.5M-740.6K0.5310.8810,2015,424120,29566,077
2016-09-07$38.51$38.0020.8%6.3%16.4%2.8%22.3%2.2%0.6%8.1M-94.5M-801.5K0.4115.8032,95013,653121,25369,156
2016-09-08$39.30$38.0020.7%6.5%17.8%2.6%23.1%2.5%0.8%17.1M-167.1M-866.6K0.4012.6215,7586,370134,03976,068
2016-09-09$38.02$38.0023.5%7.1%21.3%10.4%25.2%3.3%-0.2%-6.5M-70.5M-834.4K1.0215.027,4097,543136,89278,149
2016-09-12$38.78$38.0022.8%6.9%22.5%8.5%25.4%3.3%1.0%14.7M-122.1M-833.0K1.1918.6110,39512,321135,37570,988
2016-09-13$39.66$38.0025.3%7.4%23.8%15.5%25.6%4.4%0.6%16.3M-191.0M-878.2K0.2916.3840,96312,033137,02580,785
2016-09-14$39.93$38.0025.7%7.6%23.9%16.7%27.6%3.7%0.8%16.0M-205.0M-905.3K0.4514.7218,1548,181138,22480,695
2016-09-15$40.98$38.0025.1%7.3%25.0%14.9%26.1%4.3%0.3%19.6M-302.2M-963.4K0.2914.1217,8385,092146,15682,919
2016-09-16$40.73$38.0024.8%7.2%25.3%14.2%26.0%4.2%0.4%22.9M-294.4M-996.0K0.3413.3812,5404,286151,96084,596
2016-09-19$39.96$38.0025.7%7.4%26.4%16.4%25.8%3.1%2.1%11.1M-157.3M-963.2K0.9419.035,5035,179121,17268,484
2016-09-20$39.72$38.0026.0%7.5%26.6%17.3%26.2%2.8%1.8%9.9M-141.9M-962.5K0.7214.394,5633,285122,46770,995
2016-09-21$40.37$38.0024.1%6.9%26.8%11.9%25.1%3.3%2.7%11.9M-175.4M-955.1K1.0416.235,1725,354124,01071,673
2016-09-22$40.50$38.0024.2%6.8%26.4%12.3%24.0%3.2%2.1%13.0M-189.9M-944.2K0.978.235,9795,815125,78474,109
2016-09-23$40.15$38.0024.8%6.9%26.7%13.9%24.5%2.7%2.3%9.8M-166.5M-965.8K0.7011.825,0013,511127,97976,684
2016-09-26$40.36$38.0026.6%7.2%26.7%19.0%25.7%3.7%0.9%12.6M-171.0M-957.8K0.1811.3126,3364,792125,29373,787
2016-09-27$41.11$38.0030.3%9.2%26.7%29.2%31.7%5.0%-1.1%14.9M-258.1M-1.0M0.3411.5123,3507,866139,28375,504
2016-09-28$40.91$39.0029.9%9.0%26.5%28.1%30.7%4.9%-0.9%16.1M-247.3M-1.0M0.268.9524,4596,264146,39279,607
2016-09-29$40.45$39.0032.9%9.9%27.1%36.5%34.6%4.6%-1.9%13.9M-203.3M-1.1M0.8210.8011,9479,838148,11682,448
2016-09-30$41.00$39.0030.0%9.2%26.6%28.6%32.0%4.3%-1.3%21.3M-244.5M-1.1M0.5411.739,3045,069155,90086,629