PYPL Options History — March 2017

In March 2017, PYPL traded between $42.09 and $43.56. ATM implied volatility averaged 18.4%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.5% (HV 20d: 12.9%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-03-31: Highest Volume — 25,727 contracts
  • 2017-03-27: Largest IV spike — 20.3% change
  • 2017-03-31: Highest IV Rank — 31.3%
  • 2017-03-14: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.91$42.09$43.56$42.48$43.12
Max Pain$41.39$41.00$42.00$41.00$42.00
ATM IV18.4%15.1%23.6%18.3%23.6%
Expected Move4.7%4.1%5.1%4.9%5.0%
HV 20d12.9%10.9%15.8%15.8%11.4%
HV 60d14.9%13.9%15.3%15.1%13.9%
IV Rank8.6%0.0%31.3%4.4%31.3%
IV Percentile9.9%0.0%41.3%5.6%41.3%
Term Structure1.3%-1.2%7.1%0.1%-1.2%
VWIV16.8%15.4%18.2%17.3%17.4%
Skew 25d1.8%1.3%3.5%1.6%3.5%
Skew 10d4.0%2.4%5.4%4.8%5.4%
Call IV 25d17.7%14.8%23.4%18.2%22.5%
Put IV 25d19.6%16.2%26.1%19.8%26.0%
Bid-Ask Spread %10.675.4219.4512.0111.80
Gamma HHI0.160.110.330.130.12
Net GEX12.4M8.5M23.6M12.0M8.5M
Net DEX-157.7M-216.6M-101.9M-147.3M-139.1M
Net VEX-1.6M-1.6M-1.5M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.332.281.070.37
Total Volume14,103.7838,32525,72710,53425,727
Total OI216,657.522199,686236,064206,814236,064

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$42.48$41.0018.3%4.9%15.8%4.4%17.3%1.6%0.1%12.0M-147.3M-1.6M1.0712.015,0985,436115,43391,381
2017-03-02$42.77$41.0017.9%4.5%14.5%3.0%15.7%1.6%0.2%13.9M-172.5M-1.6M0.7910.997,3525,799116,04692,573
2017-03-03$43.01$41.0017.7%4.5%14.3%2.1%15.9%1.7%0.6%13.0M-191.1M-1.6M0.958.815,1254,852117,68194,232
2017-03-06$42.92$41.0017.7%5.1%14.4%2.3%18.2%1.3%0.4%12.2M-174.4M-1.6M1.338.005,0976,759114,55792,586
2017-03-07$42.87$41.0017.5%5.1%14.5%1.3%18.2%2.1%-0.1%12.3M-169.5M-1.6M0.997.224,9114,849115,51194,311
2017-03-08$42.85$41.0017.3%5.0%14.6%0.9%17.9%1.6%-0.2%12.6M-166.9M-1.6M1.055.424,5974,824115,83694,920
2017-03-09$42.94$41.0016.9%4.8%12.1%0.0%17.0%1.5%0.2%13.8M-175.1M-1.6M0.818.386,1004,944116,72895,741
2017-03-10$42.99$41.0016.2%4.8%12.0%0.0%17.4%1.7%0.8%16.2M-181.6M-1.6M0.617.449,7685,972118,09596,492
2017-03-13$42.59$41.0016.7%4.9%12.4%1.9%16.9%2.0%0.1%14.0M-142.8M-1.5M0.857.885,6124,773119,22495,755
2017-03-14$42.09$41.0017.3%5.1%12.2%4.2%18.0%1.7%0.4%10.7M-101.9M-1.5M1.4215.635,2357,434121,32696,396
2017-03-15$42.47$41.0016.8%5.0%12.3%2.4%17.1%2.1%0.9%10.8M-124.3M-1.5M0.8919.459,9738,898121,26798,479
2017-03-16$42.49$41.0016.5%4.8%12.1%1.2%16.7%2.5%0.2%12.7M-135.8M-1.6M0.776.799,1727,020128,368100,844
2017-03-17$43.18$41.0016.1%4.8%13.2%0.0%18.0%1.3%0.9%23.6M-216.6M-1.6M0.7110.5210,6147,507130,493101,747
2017-03-20$43.06$41.0015.1%4.3%13.2%0.0%15.4%1.4%6.4%11.9M-157.5M-1.5M1.3511.298,13611,023113,83385,853
2017-03-21$42.61$42.0017.2%4.9%12.9%7.5%17.5%1.4%4.8%9.0M-118.1M-1.6M1.1916.085,7196,811118,66193,182
2017-03-22$43.09$42.0016.5%4.7%13.4%4.9%16.1%1.7%7.1%10.6M-151.1M-1.6M0.9712.156,1495,986120,52294,967
2017-03-23$43.12$42.0017.6%4.7%13.4%9.0%16.2%1.6%5.7%10.7M-156.9M-1.6M0.339.1912,5984,197123,41798,001
2017-03-24$43.16$42.0018.5%4.6%12.7%12.0%15.9%1.5%6.6%9.3M-155.3M-1.6M0.8513.447,5136,349120,27498,777
2017-03-27$43.14$42.0022.2%4.7%12.3%25.5%16.4%2.8%-0.4%10.4M-148.2M-1.6M1.4812.113,3564,969119,14498,180
2017-03-28$43.21$42.0022.4%4.4%11.3%26.1%15.5%1.5%-0.8%11.5M-155.4M-1.6M2.288.383,3887,732119,56798,579
2017-03-29$43.27$42.0023.6%4.1%10.9%30.5%16.5%1.4%-1.2%11.6M-156.2M-1.6M0.837.587,4716,204120,487102,722
2017-03-30$43.56$42.0022.8%4.4%10.9%28.0%15.5%2.6%-0.6%13.9M-190.2M-1.6M1.3314.7510,01013,328121,715103,156
2017-03-31$43.12$42.0023.6%5.0%11.4%31.3%17.4%3.5%-1.2%8.5M-139.1M-1.6M0.3711.8018,8236,904126,454109,610