PYPL Options History — November 2016

In November 2016, PYPL traded between $38.80 and $41.63. ATM implied volatility averaged 24.0%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 6.7% (HV 20d: 30.7%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2016-11-18: Highest Volume — 23,898 contracts
  • 2016-11-14: Largest IV spike — 9.5% change
  • 2016-11-14: Highest IV Rank — 29.1%
  • 2016-11-14: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.34$38.80$41.63$41.59$39.43
Max Pain$41.38$41.00$42.00$41.00$41.00
ATM IV24.0%20.9%27.3%25.5%21.3%
Expected Move6.9%6.1%7.8%7.5%6.4%
HV 20d30.7%18.0%40.1%37.6%18.2%
HV 60d28.1%27.2%28.8%27.2%28.7%
IV Rank16.3%4.4%29.1%22.1%5.7%
IV Percentile15.8%4.8%29.8%21.0%6.0%
Term Structure-0.0%-0.6%1.0%0.2%-0.3%
VWIV24.4%21.6%28.1%25.5%23.0%
Skew 25d3.7%2.3%5.2%4.2%3.4%
Skew 10d7.6%3.6%10.9%3.6%4.1%
Call IV 25d22.9%20.0%25.9%23.2%20.5%
Put IV 25d26.6%22.8%30.6%27.4%23.9%
Bid-Ask Spread %14.156.8131.1016.1717.59
Gamma HHI0.150.090.380.140.11
Net GEX5.7M-8.4M14.4M9.9M-549.5K
Net DEX-95.1M-184.0M13.1M-162.3M-43.8M
Net VEX-967.5K-1.1M-864.1K-1.1M-941.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.231.540.290.80
Total Volume15,919.7628,62523,89817,24016,337
Total OI224,309.095191,203251,219232,389214,960

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$41.59$41.0025.5%7.5%37.6%22.1%25.5%4.2%0.2%9.9M-162.3M-1.1M0.2916.1713,3733,867140,78091,609
2016-11-02$41.40$41.0025.4%7.7%37.6%21.5%26.1%4.6%0.1%9.9M-152.9M-1.1M0.3819.1816,1366,070144,25392,289
2016-11-03$41.15$42.0026.0%7.7%37.6%24.1%27.4%4.3%0.1%11.5M-142.4M-1.1M0.696.816,9864,827149,29190,662
2016-11-04$40.96$42.0026.2%7.3%37.4%25.0%24.9%4.5%-0.4%11.2M-130.1M-1.0M0.3910.0910,5264,070150,65591,073
2016-11-07$41.26$42.0024.4%7.1%37.5%17.9%25.6%3.5%0.2%12.6M-153.7M-1.0M0.6415.046,0853,882145,61486,326
2016-11-08$41.63$42.0024.1%6.9%36.9%16.6%24.4%4.0%0.0%14.4M-184.0M-1.0M0.4310.669,0493,918146,45087,009
2016-11-09$41.18$42.0023.0%6.8%37.1%12.4%23.4%4.2%1.0%14.3M-147.2M-995.3K0.3610.5012,5874,474148,46387,942
2016-11-10$40.49$42.0024.9%7.3%37.5%19.9%25.4%5.2%0.2%7.4M-92.2M-991.9K0.5422.2710,7375,798146,77188,420
2016-11-11$40.01$42.0024.9%7.0%37.8%19.9%25.7%4.2%-0.6%4.1M-53.6M-941.1K0.6110.937,7014,681147,33390,090
2016-11-14$38.80$42.0027.3%7.8%39.4%29.1%28.1%4.7%-0.6%214.6K13.1M-864.1K0.6415.7113,3158,525141,55787,400
2016-11-15$39.08$41.0025.9%7.4%39.3%23.5%26.6%3.8%-0.3%-491.8K2.9M-874.6K0.817.396,8885,564141,54790,690
2016-11-16$38.98$41.0025.3%7.2%39.1%21.2%26.1%4.0%0.2%-1.1M11.6M-885.0K0.2331.1018,5584,270143,17391,210
2016-11-17$39.91$41.0023.6%6.7%40.1%14.8%24.3%2.7%0.9%-2.3M-61.5M-917.9K0.7413.3813,52010,068149,93291,710
2016-11-18$40.22$41.0024.0%6.9%19.4%16.4%24.0%3.1%-0.1%-8.4M-97.0M-954.9K0.406.8717,1296,769154,25396,966
2016-11-21$40.50$41.0022.9%6.3%19.8%11.8%22.1%3.4%-0.3%7.2M-118.8M-956.3K0.7813.085,7074,474112,47078,733
2016-11-22$40.35$41.0022.6%6.4%19.3%10.9%22.8%3.4%0.2%7.1M-110.8M-960.4K0.4716.178,9774,201115,13079,485
2016-11-23$40.09$41.0022.4%6.2%18.8%9.8%21.8%2.6%-0.4%6.4M-96.8M-947.0K0.4917.417,0433,467117,01280,509
2016-11-25$40.26$41.0022.0%6.2%18.0%8.3%22.1%3.5%-0.3%7.0M-109.4M-953.9K0.5214.675,6772,948119,35481,042
2016-11-28$40.01$41.0021.8%6.2%18.1%7.5%21.8%2.3%-0.1%7.1M-93.1M-898.4K1.5415.075,5478,531117,13578,304
2016-11-29$39.80$41.0020.9%6.1%18.1%4.4%21.6%2.9%0.2%3.2M-74.4M-896.2K0.576.9514,0018,032119,01683,873
2016-11-30$39.43$41.0021.3%6.4%18.2%5.7%23.0%3.4%-0.3%-549.5K-43.8M-941.8K0.8017.599,0907,247125,63189,329