PYPL Options History — December 2016

In December 2016, PYPL traded between $38.26 and $40.15. ATM implied volatility averaged 23.0%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.1% (HV 20d: 17.9%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2016-12-21: Highest Volume — 27,717 contracts
  • 2016-12-27: Largest IV spike — 15.3% change
  • 2016-12-29: Highest IV Rank — 32.7%
  • 2016-12-01: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.43$38.26$40.15$38.26$39.42
Max Pain$38.81$38.00$41.00$41.00$39.00
ATM IV23.0%20.9%28.2%23.2%27.8%
Expected Move6.4%5.7%7.2%7.2%6.2%
HV 20d17.9%12.7%21.8%20.7%12.7%
HV 60d26.3%25.5%28.4%28.4%25.7%
IV Rank12.4%4.2%32.7%13.2%31.0%
IV Percentile16.5%4.8%42.9%15.5%41.7%
Term Structure1.7%-1.0%5.8%-0.4%4.1%
VWIV22.5%19.8%25.3%25.3%21.6%
Skew 25d3.1%2.4%4.8%3.3%2.5%
Skew 10d5.5%0.0%9.7%4.2%6.7%
Call IV 25d22.0%19.9%28.4%22.4%28.4%
Put IV 25d25.1%22.5%31.4%25.7%30.9%
Bid-Ask Spread %12.996.9236.9327.2711.87
Gamma HHI0.180.110.220.110.22
Net GEX9.8M1.8M19.8M1.8M11.4M
Net DEX-83.4M-139.7M37.3M37.3M-94.5M
Net VEX-975.5K-1.1M-887.6K-887.6K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.231.310.450.64
Total Volume13,103.3818,23727,71714,88710,952
Total OI220,975.571203,630247,148220,827247,148

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$38.26$41.0023.2%7.2%20.7%13.2%25.3%3.3%-0.4%1.8M37.3M-887.6K0.4527.2710,2694,618127,07393,754
2016-12-02$38.58$39.0022.9%6.9%21.1%11.8%24.6%3.8%0.4%4.1M10.1M-918.4K0.7336.935,6334,131131,61293,166
2016-12-05$39.01$38.0021.8%6.6%21.7%7.8%23.7%3.0%-0.0%5.3M-56.0M-908.9K0.5810.236,1073,515126,07281,169
2016-12-06$38.89$38.0021.4%6.8%21.4%6.3%24.4%2.9%0.7%5.0M-50.5M-911.7K0.5310.307,1263,756127,38581,401
2016-12-07$39.41$38.0020.9%6.7%21.8%4.2%24.5%3.0%0.4%6.8M-81.6M-927.5K0.606.925,5603,318127,87681,826
2016-12-08$39.55$38.0021.7%6.7%21.7%7.4%23.0%2.5%0.4%7.5M-93.5M-944.5K0.537.756,0453,225129,04282,310
2016-12-09$39.66$38.0021.2%6.6%21.0%5.3%22.7%2.5%0.5%7.7M-100.7M-934.5K0.366.9812,1134,420129,31282,903
2016-12-12$39.48$38.0021.7%6.8%20.6%7.5%23.0%3.2%2.0%7.8M-94.0M-941.1K0.578.7510,8556,160134,34883,245
2016-12-13$39.53$39.0022.0%6.3%17.3%8.4%22.3%3.1%0.1%8.4M-94.1M-974.8K1.317.644,8016,280138,65385,948
2016-12-14$39.65$39.0021.9%6.4%17.2%7.9%22.4%2.8%0.0%10.4M-106.8M-954.0K0.5512.386,4343,559138,95583,533
2016-12-15$39.60$39.0021.8%6.6%17.1%7.7%23.3%3.8%1.7%10.5M-106.2M-953.2K0.2612.5114,2533,703140,37484,334
2016-12-16$39.28$39.0021.5%6.4%15.1%6.6%21.9%2.4%1.4%9.4M-84.9M-941.4K0.619.796,8864,232146,89185,192
2016-12-19$39.40$39.0022.1%6.4%14.9%9.0%22.1%2.9%3.0%10.0M-88.5M-938.1K0.2911.789,2892,684125,71777,913
2016-12-20$39.65$39.0021.2%6.1%14.8%5.2%21.7%2.9%5.8%13.2M-104.4M-951.8K1.028.036,7836,915128,59778,715
2016-12-21$40.15$39.0021.2%6.1%15.6%5.2%20.7%3.0%5.7%14.4M-139.7M-994.4K0.7715.5715,68012,037130,67883,551
2016-12-22$39.61$39.0022.4%6.1%16.1%10.0%21.0%3.0%5.8%14.7M-100.5M-1.0M0.6212.737,6154,728137,46588,760
2016-12-23$39.53$39.0023.3%6.1%16.0%13.4%21.7%2.4%5.0%19.8M-94.4M-1.1M0.7518.136,1994,647140,28092,371
2016-12-27$39.81$39.0026.8%5.9%16.1%27.2%21.2%4.1%-1.0%12.1M-105.6M-1.1M0.5913.115,1873,050136,34492,151
2016-12-28$39.59$39.0028.0%6.1%16.1%31.9%21.1%3.9%0.2%11.1M-88.9M-1.1M0.439.866,6252,878137,98893,128
2016-12-29$39.98$39.0028.2%5.7%16.1%32.7%19.8%4.8%-0.3%13.9M-114.8M-1.1M0.2314.3118,5594,344139,09994,208
2016-12-30$39.42$39.0027.8%6.2%12.7%31.0%21.6%2.5%4.1%11.4M-94.5M-1.1M0.6411.876,6734,279150,95896,190