PYPL Options History — July 2017

In July 2017, PYPL traded between $52.87 and $59.60. ATM implied volatility averaged 30.0%, placing in the 69.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.2% (HV 20d: 26.8%). Max pain ranged from $47.00 to $57.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-07-26: Highest Volume — 77,097 contracts
  • 2017-07-27: Largest IV drop — 23.8% change
  • 2017-07-26: Highest IV Rank — 89.3%
  • 2017-07-26: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.11$52.87$59.60$52.87$58.75
Max Pain$54.17$47.00$57.50$47.00$57.50
ATM IV30.0%23.8%33.4%29.5%24.3%
Expected Move8.4%6.7%9.9%7.7%7.0%
HV 20d26.8%22.6%28.4%22.6%25.9%
HV 60d22.9%21.1%24.6%21.3%21.3%
IV Rank69.7%47.4%89.3%63.7%50.3%
IV Percentile87.2%61.1%99.6%84.1%65.5%
Term Structure-0.9%-2.2%0.0%-0.7%-0.3%
VWIV29.8%23.6%34.9%27.3%24.9%
Skew 25d1.4%0.2%2.3%1.7%1.2%
Skew 10d2.7%0.1%6.1%4.1%2.5%
Call IV 25d30.1%24.0%33.5%29.4%24.2%
Put IV 25d31.4%24.7%34.7%31.0%25.4%
Bid-Ask Spread %10.072.3449.8649.866.35
Gamma HHI0.170.090.360.090.22
Net GEX12.2M-6.5M21.0M5.0M10.4M
Net DEX-604.2M-849.1M-399.1M-399.1M-439.9M
Net VEX-1.9M-2.0M-1.8M-1.9M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.291.230.900.90
Total Volume30,773.1511,40177,09711,40116,826
Total OI320,128.15268,086369,514294,393286,039

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$52.87$47.0029.5%7.7%22.6%63.7%27.3%1.7%-0.7%5.0M-399.1M-1.9M0.9049.865,9985,403157,491136,902
2017-07-05$54.56$47.0030.8%8.1%25.1%69.3%29.2%1.7%-1.2%6.7M-518.8M-1.8M0.8249.319,1797,561159,535138,691
2017-07-06$53.40$55.0032.2%8.8%26.1%75.7%30.6%1.8%-1.1%4.2M-430.0M-1.9M1.047.077,9438,225161,916141,778
2017-07-07$54.02$52.5031.9%8.6%26.3%74.3%30.2%2.3%-1.3%-6.5M-486.8M-1.9M0.922.889,4528,719164,367144,428
2017-07-10$55.08$52.5032.3%8.8%26.2%76.1%30.9%2.2%-1.2%9.8M-549.4M-1.8M0.872.6017,34015,148163,145141,177
2017-07-11$54.68$55.0031.9%8.6%24.5%74.2%31.1%1.8%-1.4%9.7M-518.6M-1.9M0.902.3415,00513,552166,349147,745
2017-07-12$56.82$55.0032.1%8.7%27.6%75.1%30.7%1.6%-1.7%12.9M-669.0M-1.8M0.397.2338,09815,026172,766150,452
2017-07-13$57.84$55.0033.4%9.1%27.9%81.1%31.8%1.4%-2.1%17.4M-764.4M-1.8M0.455.1223,33510,411186,467154,930
2017-07-14$57.26$55.0032.4%8.9%28.4%76.6%31.7%0.6%-2.2%21.0M-724.2M-1.9M0.453.8521,7049,684191,152158,612
2017-07-17$57.44$55.0031.9%9.0%28.1%74.1%31.8%0.2%-0.3%17.3M-720.6M-1.9M0.613.658,5135,202190,193152,397
2017-07-18$58.82$55.0031.0%8.8%28.3%70.3%31.0%0.4%-0.2%19.5M-822.4M-1.8M0.675.6126,91718,159192,409153,426
2017-07-19$58.39$55.0030.3%8.7%28.2%67.1%30.7%0.5%-0.2%18.4M-782.0M-1.9M0.294.6417,9185,215200,251163,679
2017-07-20$59.06$55.0029.3%8.4%27.9%62.8%29.7%0.7%-0.1%19.4M-849.1M-1.8M0.493.8714,2126,999203,029165,024
2017-07-21$58.73$55.0029.2%8.4%28.1%62.4%29.7%1.0%-0.4%19.4M-818.7M-1.8M0.753.2313,68810,268203,548165,966
2017-07-24$58.65$55.0029.1%8.5%28.2%76.1%29.6%1.7%-1.3%9.6M-483.6M-1.9M1.003.498,4928,465144,958123,128
2017-07-25$58.38$55.0029.8%9.1%27.9%80.3%32.0%1.9%-1.2%9.3M-465.1M-2.0M1.233.426,5168,017149,452129,083
2017-07-26$58.72$55.0031.5%9.9%26.8%89.3%34.9%2.2%-1.3%8.8M-480.7M-2.0M0.548.3650,02827,069151,752134,057
2017-07-27$59.60$56.0024.0%7.3%25.9%48.4%25.4%1.3%-0.5%19.1M-607.0M-2.0M0.4915.7746,94023,237176,627149,075
2017-07-28$59.13$56.0023.8%6.7%25.6%47.4%23.6%0.8%0.0%13.6M-554.4M-2.0M0.5512.7733,00917,990176,567154,000
2017-07-31$58.75$57.5024.3%7.0%25.9%50.3%24.9%1.2%-0.3%10.4M-439.9M-2.0M0.906.358,8357,991148,893137,146