PYPL Options History — May 2017

In May 2017, PYPL traded between $47.60 and $52.07. ATM implied volatility averaged 17.6%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 5.4% (HV 20d: 23.1%). Max pain ranged from $43.50 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2017-05-02: Highest Volume — 21,522 contracts
  • 2017-05-17: Largest IV spike — 16.6% change
  • 2017-05-31: Highest IV Rank — 17.3%
  • 2017-05-31: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.74$47.60$52.07$47.60$52.07
Max Pain$46.84$43.50$48.00$43.50$48.00
ATM IV17.6%16.1%19.0%16.7%19.0%
Expected Move5.1%4.6%5.4%4.8%5.4%
HV 20d23.1%14.5%26.3%23.8%14.5%
HV 60d17.6%17.2%18.0%17.4%18.0%
IV Rank11.1%4.3%17.3%6.8%17.3%
IV Percentile11.3%0.4%23.0%2.4%23.0%
Term Structure0.3%-0.7%1.0%0.0%-0.7%
VWIV18.2%16.9%19.5%17.0%19.5%
Skew 25d1.5%0.7%2.1%1.3%1.5%
Skew 10d3.4%2.4%5.7%3.0%3.5%
Call IV 25d17.5%16.1%18.9%16.3%18.7%
Put IV 25d18.9%17.4%20.8%17.6%20.1%
Bid-Ask Spread %6.403.0612.9012.909.41
Gamma HHI0.130.090.190.120.09
Net GEX9.4M783.2K12.9M10.8M10.8M
Net DEX-403.2M-463.2M-314.3M-338.4M-463.2M
Net VEX-1.5M-1.7M-1.4M-1.4M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.362.760.830.38
Total Volume15,105.7739,70221,52212,43515,332
Total OI234,625.227212,918254,884212,918248,798

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$47.60$43.5016.7%4.8%23.8%6.8%17.0%1.3%0.0%10.8M-338.4M-1.4M0.8312.906,7885,647117,58595,333
2017-05-02$48.86$43.5016.8%4.9%24.2%7.3%17.6%1.6%0.7%9.4M-394.3M-1.4M0.3612.6815,8115,711119,98497,259
2017-05-03$49.03$43.5017.4%5.2%24.1%9.9%19.2%1.5%0.4%10.6M-411.5M-1.5M1.0511.316,7417,104127,116101,019
2017-05-04$49.01$47.0017.6%5.1%24.3%10.9%18.0%1.4%0.5%10.4M-414.3M-1.5M0.673.919,1876,139128,290100,472
2017-05-05$49.23$47.0017.4%5.0%24.2%9.9%18.1%1.8%0.7%10.4M-426.4M-1.5M1.228.205,5316,749131,722101,832
2017-05-08$49.06$47.0017.2%5.0%24.4%9.0%18.1%1.4%-0.0%9.6M-404.6M-1.5M1.313.074,2035,499129,07998,953
2017-05-09$49.16$47.0016.6%4.9%24.4%6.3%17.0%1.6%0.6%9.5M-410.9M-1.5M0.986.164,9074,816129,845100,209
2017-05-10$49.63$47.0016.4%4.7%23.7%5.5%17.0%1.4%0.0%9.4M-437.3M-1.5M1.094.966,0586,601130,032100,826
2017-05-11$49.63$47.0016.8%4.8%23.5%7.2%17.2%1.6%-0.1%9.6M-432.8M-1.5M1.796.436,08710,878130,816103,275
2017-05-12$49.29$47.0017.1%5.0%24.0%8.5%18.7%1.5%0.8%6.9M-407.5M-1.5M0.413.9213,3765,423130,628105,806
2017-05-15$49.70$47.0016.4%4.7%23.9%5.8%17.3%0.8%1.0%10.2M-433.8M-1.5M1.393.115,1327,136133,168102,979
2017-05-16$50.28$47.0016.1%4.6%24.0%4.3%16.9%0.7%0.4%10.6M-460.4M-1.5M0.693.367,2985,028133,291105,617
2017-05-17$49.14$47.0018.8%5.4%26.3%16.2%19.5%2.1%0.6%9.5M-392.4M-1.6M2.767.715,40614,945133,418106,398
2017-05-18$49.18$47.0018.3%5.2%26.3%14.2%18.6%2.0%0.7%783.2K-367.3M-1.6M1.583.063,7775,957134,981119,903
2017-05-19$49.35$47.0018.4%5.3%26.2%14.4%18.1%0.8%0.2%4.3M-393.8M-1.6M0.654.9711,7277,570135,899114,769
2017-05-22$49.76$48.0018.3%5.1%26.2%13.9%17.9%1.9%0.2%7.7M-314.3M-1.5M0.673.5610,9187,296116,83698,422
2017-05-23$50.00$48.0018.5%5.2%26.2%14.9%18.8%1.9%-0.1%9.0M-339.2M-1.6M1.025.728,0538,178123,871103,302
2017-05-24$51.01$48.0018.4%5.2%26.1%14.6%19.0%1.6%-0.0%10.8M-395.9M-1.6M0.466.3814,3096,644127,615107,145
2017-05-25$51.01$48.0018.7%5.2%15.7%15.8%18.8%1.3%0.2%11.6M-400.5M-1.7M0.484.7912,2525,906131,698109,431
2017-05-26$51.14$48.0018.6%5.2%15.7%15.2%18.7%1.2%0.0%12.7M-422.5M-1.7M0.787.338,0756,283137,854110,918
2017-05-30$51.09$48.0018.9%5.3%15.7%16.5%18.7%1.6%-0.4%12.9M-410.0M-1.7M0.867.776,3645,485136,352109,009
2017-05-31$52.07$48.0019.0%5.4%14.5%17.3%19.5%1.5%-0.7%10.8M-463.2M-1.7M0.389.4111,1054,227138,109110,689