PYPL Options History — February 2017

In February 2017, PYPL traded between $39.22 and $42.99. ATM implied volatility averaged 18.1%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.0% (HV 20d: 17.0%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.87.

Notable Days

2017-02-14: Highest Volume — 19,700 contracts
2017-02-21: Largest IV spike — 6.0% change
2017-02-28: Highest IV Rank — 6.8%
2017-02-02: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.29	$39.22	$42.99	$39.22	$42.09
Max Pain	$40.89	$40.00	$41.00	$41.00	$41.00
ATM IV	18.1%	17.1%	20.1%	20.1%	18.9%
Expected Move	5.1%	4.8%	5.6%	5.6%	5.1%
HV 20d	17.0%	14.2%	19.0%	16.0%	15.7%
HV 60d	16.6%	15.9%	17.6%	17.3%	16.3%
IV Rank	1.9%	0.0%	6.8%	3.4%	6.8%
IV Percentile	1.9%	0.0%	6.3%	2.4%	6.3%
Term Structure	0.2%	-0.5%	1.2%	0.0%	0.4%
VWIV	18.1%	17.2%	20.1%	19.2%	18.1%
Skew 25d	1.5%	0.9%	2.0%	1.9%	2.0%
Skew 10d	3.7%	2.1%	6.2%	3.5%	2.1%
Call IV 25d	17.6%	16.7%	19.3%	19.3%	18.1%
Put IV 25d	19.1%	18.2%	21.2%	21.2%	20.1%
Bid-Ask Spread %	10.17	5.74	17.26	14.12	10.42
Gamma HHI	0.17	0.10	0.49	0.10	0.13
Net GEX	8.5M	-1.1M	27.6M	-916.5K	10.4M
Net DEX	-89.4M	-192.4M	59.7M	59.7M	-122.1M
Net VEX	-1.4M	-1.6M	-1.2M	-1.2M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.40	1.53	0.40	1.27
Total Volume	15,078.421	8,049	19,700	18,138	14,881
Total OI	218,967.684	190,251	245,359	214,857	201,907

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$39.22	$41.00	20.1%	5.6%	16.0%	3.4%	19.2%	1.9%	0.0%	-916.5K	59.7M	-1.2M	0.40	14.12	12,988	5,150	125,048	89,809
2017-02-02	$39.63	$41.00	19.3%	5.6%	14.7%	0.3%	20.1%	1.8%	0.7%	585.5K	30.0M	-1.3M	0.56	5.74	10,968	6,115	127,594	90,516
2017-02-03	$39.63	$41.00	18.3%	5.4%	14.6%	0.0%	19.1%	1.7%	1.2%	-1.1M	32.4M	-1.3M	0.66	8.17	9,959	6,528	130,820	92,866
2017-02-06	$39.73	$41.00	18.4%	5.3%	14.2%	0.7%	18.8%	2.0%	-0.4%	637.2K	23.6M	-1.3M	0.70	6.67	10,449	7,290	127,210	91,078
2017-02-07	$39.92	$41.00	17.8%	5.1%	14.4%	0.0%	17.7%	1.8%	-0.0%	1.6M	9.1M	-1.4M	1.03	8.17	8,123	8,353	132,852	95,061
2017-02-08	$40.94	$41.00	17.7%	5.1%	17.2%	0.0%	18.0%	1.5%	0.4%	6.6M	-71.0M	-1.4M	0.60	11.73	9,297	5,559	132,245	96,386
2017-02-09	$40.85	$41.00	17.3%	4.9%	17.2%	0.0%	17.6%	1.4%	0.1%	6.2M	-63.8M	-1.4M	0.75	11.96	5,588	4,178	134,983	97,334
2017-02-10	$40.60	$40.00	17.2%	4.8%	17.1%	0.0%	17.2%	1.4%	-0.5%	3.7M	-47.8M	-1.4M	0.90	9.94	7,566	6,840	137,147	97,233
2017-02-13	$41.27	$40.00	17.4%	5.1%	18.2%	0.9%	17.7%	1.1%	0.0%	9.2M	-103.1M	-1.4M	0.58	8.57	10,311	5,960	134,250	95,259
2017-02-14	$41.57	$41.00	17.4%	5.0%	18.3%	0.7%	17.9%	1.3%	0.2%	10.4M	-125.2M	-1.4M	1.05	8.11	9,625	10,075	135,180	96,837
2017-02-15	$41.86	$41.00	17.6%	5.0%	18.4%	1.6%	18.3%	1.5%	-0.1%	14.1M	-156.5M	-1.5M	0.92	8.62	8,853	8,151	138,811	99,790
2017-02-16	$42.09	$41.00	17.4%	5.0%	18.4%	1.0%	17.4%	1.6%	0.5%	18.6M	-180.6M	-1.5M	0.88	7.96	8,682	7,616	140,547	101,487
2017-02-17	$41.94	$41.00	17.1%	4.9%	18.3%	0.0%	17.2%	1.5%	0.3%	27.6M	-159.8M	-1.5M	0.68	12.54	9,322	6,362	140,732	104,627
2017-02-21	$42.55	$41.00	18.2%	5.0%	19.0%	4.0%	17.9%	1.4%	0.4%	9.5M	-157.7M	-1.5M	0.94	9.95	5,826	5,499	107,257	82,994
2017-02-22	$42.44	$41.00	18.0%	5.0%	18.9%	3.3%	17.7%	1.1%	0.2%	9.8M	-155.0M	-1.5M	1.53	9.66	3,184	4,865	109,047	83,802
2017-02-23	$42.47	$41.00	18.1%	5.1%	18.7%	3.6%	18.0%	1.4%	0.7%	10.0M	-158.3M	-1.5M	0.99	8.45	5,704	5,644	109,395	84,254
2017-02-24	$42.99	$41.00	18.1%	4.9%	18.7%	3.9%	17.6%	0.9%	0.1%	12.9M	-192.4M	-1.5M	1.23	17.26	7,129	8,751	111,620	85,278
2017-02-27	$42.63	$41.00	18.6%	5.1%	15.3%	5.8%	17.6%	2.0%	-0.1%	11.7M	-160.5M	-1.6M	0.93	15.20	7,840	7,259	111,655	87,475
2017-02-28	$42.09	$41.00	18.9%	5.1%	15.7%	6.8%	18.1%	2.0%	0.4%	10.4M	-122.1M	-1.6M	1.27	10.42	6,565	8,316	113,609	88,298