PYPL Options History — June 2017

In June 2017, PYPL traded between $51.82 and $54.34. ATM implied volatility averaged 23.5%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.7% (HV 20d: 18.8%). Max pain ranged from $44.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.99.

Notable Days

2017-06-05: Highest Volume — 39,053 contracts
2017-06-12: Largest IV spike — 13.7% change
2017-06-29: Highest IV Rank — 65.4%
2017-06-15: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.19	$51.82	$54.34	$53.03	$53.89
Max Pain	$45.39	$44.00	$48.00	$48.00	$47.00
ATM IV	23.5%	18.6%	29.9%	19.6%	29.2%
Expected Move	6.9%	5.6%	7.5%	5.8%	7.1%
HV 20d	18.8%	15.4%	22.1%	15.5%	21.7%
HV 60d	19.3%	18.0%	20.8%	18.2%	20.8%
IV Rank	37.0%	15.2%	65.4%	20.0%	62.2%
IV Percentile	52.6%	20.6%	84.5%	24.2%	82.1%
Term Structure	1.3%	-1.6%	4.1%	-0.4%	0.3%
VWIV	25.1%	20.6%	27.1%	20.6%	25.5%
Skew 25d	1.9%	0.8%	3.1%	1.4%	1.3%
Skew 10d	4.4%	1.9%	7.1%	2.6%	3.7%
Call IV 25d	23.0%	18.1%	29.2%	19.5%	29.0%
Put IV 25d	24.9%	19.4%	31.4%	20.8%	30.3%
Bid-Ask Spread %	15.89	4.71	43.91	10.32	42.79
Gamma HHI	0.09	0.07	0.17	0.10	0.10
Net GEX	7.9M	4.2M	12.2M	9.9M	6.9M
Net DEX	-470.6M	-565.3M	-392.9M	-508.4M	-489.5M
Net VEX	-1.8M	-2.0M	-1.6M	-1.6M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.34	1.98	0.56	0.95
Total Volume	18,357.591	10,430	39,053	21,567	12,706
Total OI	280,566.545	249,829	305,684	254,179	305,684

Daily Data (22 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
2017-06-01	$53.03	$48.00	19.6%	5.8%	15.5%	20.0%	20.6%	1.4%	-0.4%	9.9M	-508.4M	-1.6M	0.56	10.32	13,826	7,741	141,668	112,511
2017-06-02	$53.35	$48.00	19.8%	5.6%	15.4%	20.5%	21.1%	1.4%	-0.4%	8.2M	-529.4M	-1.6M	0.36	7.24	12,714	4,555	143,028	116,691
2017-06-05	$53.75	$44.00	20.5%	7.2%	15.4%	23.6%	26.7%	1.6%	-0.2%	9.0M	-514.0M	-1.6M	0.43	7.39	27,226	11,827	139,973	109,856
2017-06-06	$53.32	$45.00	19.3%	6.8%	15.8%	18.5%	24.2%	1.2%	0.4%	9.6M	-500.1M	-1.7M	0.34	6.17	14,935	5,099	149,355	117,374
2017-06-07	$53.86	$45.00	19.0%	6.6%	15.9%	17.1%	24.4%	1.2%	0.2%	10.8M	-533.8M	-1.7M	1.09	5.96	5,304	5,773	153,489	118,741
2017-06-08	$54.34	$45.00	18.6%	6.6%	15.9%	15.2%	23.6%	1.3%	0.3%	12.2M	-565.3M	-1.7M	0.95	4.71	7,153	6,772	154,646	120,340
2017-06-09	$53.31	$45.00	20.5%	7.2%	18.0%	23.6%	25.8%	1.4%	1.4%	8.3M	-509.0M	-1.8M	0.64	11.51	15,596	9,928	156,609	122,121
2017-06-12	$52.02	$45.00	23.3%	7.5%	20.3%	36.1%	26.8%	2.3%	2.7%	6.6M	-398.6M	-1.9M	0.88	7.67	12,022	10,609	155,421	123,306
2017-06-13	$52.05	$45.00	22.7%	7.3%	20.2%	33.4%	26.4%	2.1%	2.7%	5.4M	-403.9M	-1.9M	0.76	6.41	10,423	7,964	158,859	128,270
2017-06-14	$51.87	$45.00	23.5%	7.3%	19.9%	37.0%	25.9%	2.2%	2.4%	5.4M	-396.5M	-1.9M	1.06	9.35	6,708	7,099	162,582	130,487
2017-06-15	$52.11	$45.00	23.5%	7.5%	17.7%	37.0%	27.1%	2.3%	3.1%	4.2M	-408.0M	-2.0M	0.88	6.66	9,643	8,473	163,756	133,271
2017-06-16	$51.82	$45.00	23.5%	7.3%	18.0%	37.1%	26.8%	2.4%	3.2%	7.1M	-392.9M	-1.9M	0.53	6.82	9,877	5,244	165,453	135,739
2017-06-19	$52.97	$45.00	23.4%	7.0%	19.2%	36.8%	24.9%	2.4%	3.3%	8.7M	-442.9M	-1.8M	0.87	7.28	10,262	8,921	150,065	116,567
2017-06-20	$52.53	$45.00	24.5%	7.2%	19.6%	41.5%	26.4%	2.5%	2.8%	7.3M	-409.3M	-1.9M	1.28	6.52	4,578	5,852	154,263	122,474
2017-06-21	$53.50	$45.00	23.7%	6.8%	20.4%	38.0%	25.4%	1.9%	3.6%	8.6M	-476.1M	-1.8M	1.35	8.27	6,158	8,306	155,411	124,177
2017-06-22	$53.91	$45.00	23.8%	6.6%	19.5%	38.3%	23.3%	1.7%	4.1%	9.3M	-504.8M	-1.7M	1.27	41.96	8,346	10,600	155,437	127,392
2017-06-23	$54.24	$45.00	24.0%	6.5%	19.5%	39.5%	23.8%	0.8%	3.6%	8.8M	-523.7M	-1.7M	1.83	43.91	6,772	12,383	157,288	132,255
2017-06-26	$53.72	$45.00	27.3%	7.0%	20.0%	54.0%	25.9%	2.7%	-1.1%	8.0M	-481.5M	-1.7M	1.98	38.97	5,599	11,061	154,470	128,122
2017-06-27	$52.81	$45.00	28.9%	7.3%	21.2%	61.1%	26.8%	2.8%	-1.6%	6.0M	-403.3M	-1.8M	1.48	11.77	4,505	6,678	154,905	131,962
2017-06-28	$54.21	$45.00	28.4%	7.0%	22.1%	58.8%	24.7%	3.1%	-1.2%	6.9M	-507.4M	-1.7M	1.14	41.14	10,219	11,636	155,446	134,584
2017-06-29	$53.58	$46.50	29.9%	7.5%	21.7%	65.4%	26.6%	2.0%	-1.4%	5.8M	-455.5M	-1.9M	1.06	16.84	11,038	11,736	159,062	139,354
2017-06-30	$53.89	$47.00	29.2%	7.1%	21.7%	62.2%	25.5%	1.3%	0.3%	6.9M	-489.5M	-1.8M	0.95	42.79	6,512	6,194	162,359	143,325