PYPL Options History — October 2016

In October 2016, PYPL traded between $39.20 and $44.00. ATM implied volatility averaged 28.0%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.3% (HV 20d: 25.7%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2016-10-21: Highest Volume — 127,416 contracts
  • 2016-10-21: Largest IV drop — 33.1% change
  • 2016-10-20: Highest IV Rank — 44.9%
  • 2016-10-04: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.82$39.20$44.00$40.60$41.77
Max Pain$40.14$39.00$41.00$39.00$41.00
ATM IV28.0%21.6%32.3%31.1%23.4%
Expected Move8.1%6.2%10.2%10.1%7.2%
HV 20d25.7%15.2%38.0%27.2%37.5%
HV 60d24.5%19.2%27.7%25.3%27.2%
IV Rank26.3%6.8%44.9%31.6%13.8%
IV Percentile26.9%5.6%50.0%35.7%12.3%
Term Structure-1.0%-2.9%0.5%-0.6%-0.1%
VWIV28.4%22.1%37.2%34.8%27.9%
Skew 25d4.2%3.0%5.2%4.9%4.2%
Skew 10d7.6%3.8%14.0%7.0%8.1%
Call IV 25d26.3%20.0%30.8%28.6%22.1%
Put IV 25d30.5%24.1%35.5%33.5%26.3%
Bid-Ask Spread %10.334.2923.9910.6413.43
Gamma HHI0.150.120.400.130.14
Net GEX13.2M8.7M21.2M14.2M13.2M
Net DEX-190.4M-637.9M-86.5M-194.5M-186.5M
Net VEX-967.8K-1.1M-768.9K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.261.521.101.14
Total Volume27,448.0489,175127,41611,74821,318
Total OI244,819.333201,658324,276232,775217,992

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$40.60$39.0031.1%10.1%27.2%31.6%34.8%4.9%-0.6%14.2M-194.5M-1.1M1.1010.645,5846,164149,33483,441
2016-10-04$40.68$39.0031.3%10.2%27.2%32.0%37.2%4.6%-0.9%14.7M-200.5M-1.1M1.249.514,5005,560150,82785,161
2016-10-05$40.47$39.0029.9%9.8%24.7%28.2%33.3%4.6%-0.6%14.7M-184.6M-1.0M0.457.0014,3506,424151,34485,400
2016-10-06$40.20$40.0030.6%8.2%24.0%30.3%28.4%4.7%-0.9%13.9M-164.8M-1.0M0.735.4011,0218,035155,50287,800
2016-10-07$39.85$40.0030.8%8.2%20.7%30.8%29.7%3.8%-0.5%9.7M-132.5M-1.0M1.526.474,5756,960154,35190,492
2016-10-10$39.86$40.0029.9%8.1%19.7%29.0%28.2%4.8%-1.2%13.2M-136.2M-958.9K0.604.385,7203,455153,16388,964
2016-10-11$39.20$40.0031.4%8.5%19.0%33.9%29.8%4.9%-1.2%10.3M-86.5M-932.8K0.547.2415,8688,521153,93489,514
2016-10-12$39.64$40.0031.1%8.2%19.3%34.0%28.7%4.3%-2.9%14.6M-132.5M-948.0K0.578.457,2094,136160,15090,343
2016-10-13$39.23$40.0031.1%8.4%16.9%37.9%29.0%5.2%-2.3%11.6M-92.2M-940.9K0.547.059,4955,161161,12491,090
2016-10-14$39.28$40.0030.6%8.4%16.9%38.3%30.2%3.9%-2.1%13.2M-102.1M-924.4K0.484.2910,0904,826164,33992,405
2016-10-17$39.48$40.0030.1%8.5%15.7%37.1%28.4%4.3%-1.6%11.8M-117.4M-894.3K0.444.919,3574,114161,06691,511
2016-10-18$39.85$40.0029.3%8.4%16.0%34.1%28.5%4.0%-1.6%14.0M-152.9M-890.6K0.495.7623,94411,821163,33192,117
2016-10-19$40.22$40.0029.4%8.4%15.2%34.6%28.7%4.1%-1.7%15.3M-185.3M-920.4K0.579.0612,1686,981166,66197,127
2016-10-20$40.03$40.0032.3%9.4%15.2%44.9%32.4%4.6%-2.3%14.0M-173.2M-943.8K1.0923.9944,23048,194171,46399,804
2016-10-21$44.00$40.0021.6%6.2%36.8%7.0%22.5%3.0%-0.6%21.2M-637.9M-768.9K0.267.89101,24526,171190,085134,191
2016-10-24$43.81$41.0021.6%6.3%36.9%6.8%22.1%4.1%0.0%11.7M-298.7M-885.0K0.4718.7923,00710,818120,50381,155
2016-10-25$43.14$41.0022.6%6.5%37.1%10.6%22.5%3.2%-0.0%12.3M-264.7M-959.1K0.4315.4916,1566,985130,43284,355
2016-10-26$42.46$41.0022.6%6.8%37.6%10.7%23.7%3.7%0.3%12.5M-215.9M-1.1M0.3812.4315,9316,110139,55686,403
2016-10-27$41.70$41.0023.6%6.9%38.0%14.7%24.2%3.2%-0.3%11.7M-168.0M-1.1M0.4518.5714,9436,733144,99487,687
2016-10-28$41.77$41.0023.1%7.0%37.7%12.8%25.8%3.6%0.5%8.7M-172.0M-1.1M0.9316.119,5928,937151,21390,882
2016-10-31$41.77$41.0023.4%7.2%37.5%13.8%27.9%4.2%-0.1%13.2M-186.5M-1.0M1.1413.439,97511,343139,30378,689