PYPL Options History — January 2017

In January 2017, PYPL traded between $39.77 and $42.00. ATM implied volatility averaged 27.7%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 12.9% (HV 20d: 14.8%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2017-01-26: Highest Volume — 61,953 contracts
  • 2017-01-27: Largest IV drop — 29.2% change
  • 2017-01-10: Highest IV Rank — 45.6%
  • 2017-01-17: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.15$39.77$42.00$40.17$39.77
Max Pain$40.05$39.00$41.00$39.00$41.00
ATM IV27.7%19.3%31.5%29.3%20.3%
Expected Move7.6%5.5%8.7%6.1%5.7%
HV 20d14.8%13.0%17.5%14.0%16.7%
HV 60d21.8%15.9%26.2%26.0%17.2%
IV Rank31.1%0.0%45.6%36.9%4.1%
IV Percentile42.9%0.0%63.1%47.2%3.2%
Term Structure-1.2%-2.9%0.2%-0.6%-0.1%
VWIV26.6%19.5%30.6%21.2%20.4%
Skew 25d2.5%1.7%3.8%3.6%2.2%
Skew 10d5.7%1.4%8.4%5.3%4.3%
Call IV 25d26.8%18.6%30.2%28.1%19.6%
Put IV 25d29.3%20.5%33.2%31.7%21.8%
Bid-Ask Spread %11.255.9222.4116.4511.14
Gamma HHI0.190.100.290.240.10
Net GEX15.5M-2.5M24.5M16.9M1.3M
Net DEX-177.3M-286.5M30.9M-151.3M23.5M
Net VEX-1.2M-1.3M-1.1M-1.1M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.251.660.830.51
Total Volume20,902.310,59761,95318,53318,564
Total OI241,836.45164,705287,058242,615209,187

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$40.17$39.0029.3%6.1%14.0%36.9%21.2%3.6%-0.6%16.9M-151.3M-1.1M0.8316.4510,1038,430147,59495,021
2017-01-04$40.96$39.0029.5%5.7%15.0%37.8%20.7%2.5%-2.0%20.1M-217.4M-1.1M0.6517.507,8595,102149,32398,889
2017-01-05$41.11$40.0030.1%8.1%14.8%39.9%28.0%2.9%-1.1%22.2M-243.2M-1.2M0.257.4323,7046,020158,226100,799
2017-01-06$41.46$40.0030.3%8.1%14.5%40.7%28.3%2.3%-1.0%23.5M-275.6M-1.2M0.408.2412,1804,888161,125102,941
2017-01-09$41.34$40.0030.9%8.3%14.6%43.0%28.5%1.9%-0.7%22.6M-256.3M-1.2M0.557.847,4484,100159,039103,126
2017-01-10$41.18$40.0031.5%8.3%14.8%45.6%29.3%2.5%-1.7%22.8M-239.3M-1.2M1.1211.086,6177,414159,286103,970
2017-01-11$41.27$40.0031.2%8.3%14.6%44.2%29.1%3.8%-2.0%23.0M-243.0M-1.2M1.669.044,0686,750159,649107,819
2017-01-12$41.55$40.0030.3%8.0%14.6%40.9%28.7%2.7%-2.9%22.6M-258.3M-1.2M1.127.387,2418,129159,957110,593
2017-01-13$41.68$40.0030.2%8.1%14.6%40.3%28.9%1.7%-2.3%24.5M-286.5M-1.2M0.435.9510,6964,649162,080113,315
2017-01-17$41.45$40.0030.5%8.7%14.9%41.6%30.6%2.9%-0.7%24.2M-263.3M-1.2M0.985.925,3605,237163,764113,569
2017-01-18$41.32$40.0029.4%8.4%14.5%37.3%29.3%2.7%-1.1%23.6M-246.6M-1.2M0.868.107,5466,478164,457115,472
2017-01-19$41.29$40.0028.7%8.3%14.5%34.7%28.9%3.0%-1.2%23.1M-241.1M-1.2M0.918.796,8536,266165,454117,994
2017-01-20$41.64$40.0026.7%7.7%14.6%26.6%27.5%2.9%0.0%12.5M-266.9M-1.2M0.5310.3113,5527,173166,444120,614
2017-01-23$41.70$40.0027.0%7.9%14.1%27.9%27.6%2.5%-1.3%6.3M-100.9M-1.2M0.7910.069,7427,70193,14571,560
2017-01-24$42.00$40.0026.1%7.9%13.0%24.5%27.4%2.7%-0.7%7.1M-118.6M-1.2M0.5810.9013,7448,02797,67776,126
2017-01-25$41.78$40.0025.9%8.2%13.2%23.5%28.6%2.6%-1.2%7.7M-116.4M-1.3M0.4910.9616,9808,385106,24580,060
2017-01-26$41.35$40.0027.2%8.5%13.9%28.7%29.7%1.8%-1.9%7.1M-95.0M-1.3M0.6022.4138,70823,245111,90582,347
2017-01-27$40.18$41.0019.3%5.7%17.5%0.0%19.7%1.8%0.2%-2.5M19.5M-1.2M0.8118.2425,32820,638129,98196,197
2017-01-30$39.80$41.0020.1%5.5%17.5%3.0%19.5%1.9%-0.7%804.1K30.9M-1.2M0.3417.3217,2785,843114,79486,985
2017-01-31$39.77$41.0020.3%5.7%16.7%4.1%20.4%2.2%-0.1%1.3M23.5M-1.3M0.5111.1412,2996,265121,30987,878