PYPL Options History — April 2017

In April 2017, PYPL traded between $42.51 and $47.58. ATM implied volatility averaged 23.3%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 11.1% (HV 20d: 12.2%). Max pain ranged from $42.00 to $43.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-04-26: Highest Volume — 59,468 contracts
  • 2017-04-27: Largest IV drop — 24.6% change
  • 2017-04-18: Highest IV Rank — 41.0%
  • 2017-04-17: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.69$42.51$47.58$42.67$47.58
Max Pain$42.87$42.00$43.50$42.00$43.50
ATM IV23.3%16.6%25.9%24.2%16.6%
Expected Move6.3%4.7%7.3%5.1%4.7%
HV 20d12.2%9.1%24.4%12.0%24.4%
HV 60d14.2%12.6%17.8%14.0%17.4%
IV Rank31.0%6.3%41.0%33.4%6.3%
IV Percentile40.3%2.0%57.9%44.0%2.0%
Term Structure-1.0%-2.3%0.2%-1.3%0.1%
VWIV22.1%17.1%25.8%18.1%17.1%
Skew 25d2.4%1.5%3.4%2.3%1.6%
Skew 10d4.8%1.1%7.8%1.1%3.8%
Call IV 25d22.5%16.4%24.9%22.4%16.4%
Put IV 25d24.9%17.9%27.5%24.6%17.9%
Bid-Ask Spread %15.146.2936.1836.1816.57
Gamma HHI0.140.100.360.100.12
Net GEX12.9M6.8M39.5M8.2M10.7M
Net DEX-178.6M-382.5M-88.5M-103.7M-382.5M
Net VEX-1.6M-1.6M-1.4M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.361.310.570.52
Total Volume20,297.78910,17559,46814,62215,920
Total OI247,717.053191,958284,572239,854241,458

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$42.67$42.0024.2%5.1%12.0%33.4%18.1%2.3%-1.3%8.2M-103.7M-1.6M0.5736.189,2905,332132,100107,754
2017-04-04$42.68$42.0023.2%5.0%12.0%29.7%18.5%1.9%-1.2%8.1M-102.1M-1.6M0.959.456,0645,747133,869109,642
2017-04-05$42.88$42.0023.1%4.9%12.1%29.1%17.6%3.4%-0.9%9.4M-124.4M-1.6M0.4325.908,0213,478133,879111,483
2017-04-06$42.89$43.0022.5%6.1%12.1%27.1%21.5%2.1%-1.1%9.6M-126.2M-1.6M0.777.996,7525,209136,052112,177
2017-04-07$43.01$43.0023.2%6.2%12.1%29.6%21.7%1.9%-0.4%12.0M-146.5M-1.6M1.2210.214,5745,601136,824112,762
2017-04-10$43.05$43.0022.9%6.3%11.6%28.7%21.6%2.7%-0.8%11.6M-141.3M-1.6M0.4810.288,5754,114133,200112,183
2017-04-11$42.66$43.0024.7%6.4%11.2%35.1%22.6%3.3%-2.3%7.9M-96.1M-1.6M0.366.2916,9206,097133,978112,958
2017-04-12$42.51$43.0025.5%6.8%10.9%38.2%23.8%3.2%-2.0%6.8M-88.5M-1.6M1.3110.8915,75520,644139,885112,739
2017-04-13$42.71$43.0025.3%6.9%11.0%37.5%24.3%2.5%-1.7%8.3M-110.8M-1.6M0.479.759,3484,399150,930122,002
2017-04-17$42.74$43.0025.9%7.3%9.3%40.6%25.8%2.9%-0.9%10.0M-125.4M-1.6M0.6329.409,6696,120151,202121,729
2017-04-18$43.15$43.0025.5%7.2%9.9%41.0%25.4%2.4%-1.1%14.6M-172.4M-1.6M0.5111.8512,9716,590152,603122,635
2017-04-19$43.29$43.0024.9%7.1%9.1%38.6%24.9%2.7%-1.7%21.1M-203.6M-1.6M0.8513.196,2215,315155,490122,728
2017-04-20$43.79$43.0024.2%6.9%9.2%35.6%24.1%2.5%-0.5%30.1M-270.4M-1.6M0.4113.1610,3294,228157,195124,429
2017-04-21$43.86$43.0024.1%7.0%9.2%35.6%24.6%2.4%0.1%39.5M-275.3M-1.5M0.3720.7711,0364,079159,798124,774
2017-04-24$44.26$43.0023.7%6.8%9.6%33.9%23.7%1.5%-1.3%7.2M-158.8M-1.5M0.3912.0910,2933,979101,86090,098
2017-04-25$44.76$43.0022.7%7.0%10.2%29.8%24.1%1.9%-1.0%9.1M-204.3M-1.5M0.4617.9213,1576,046108,51991,079
2017-04-26$44.41$43.0022.7%6.8%10.8%31.4%23.9%2.1%-1.0%10.2M-185.7M-1.6M1.0813.9228,63430,834116,18595,162
2017-04-27$47.30$43.0017.1%4.9%24.4%8.6%17.5%1.8%0.2%11.6M-375.0M-1.4M0.6411.8433,06221,255120,758104,505
2017-04-28$47.58$43.5016.6%4.7%24.4%6.3%17.1%1.6%0.1%10.7M-382.5M-1.5M0.5216.5710,4625,458128,725112,733