PYPL Options History — August 2017

In August 2017, PYPL traded between $58.10 and $61.69. ATM implied volatility averaged 22.8%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.2% (HV 20d: 18.6%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.24.

Notable Days

2017-08-16: Highest Volume — 30,397 contracts
2017-08-14: Largest IV drop — 11.7% change
2017-08-10: Highest IV Rank — 53.0%
2017-08-11: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.72	$58.10	$61.69	$59.34	$61.69
Max Pain	$59.72	$57.50	$60.00	$57.50	$59.50
ATM IV	22.8%	21.2%	24.8%	23.6%	22.3%
Expected Move	6.4%	5.9%	7.1%	6.7%	5.9%
HV 20d	18.6%	15.9%	24.5%	24.5%	17.9%
HV 60d	21.8%	21.3%	22.5%	21.3%	21.9%
IV Rank	41.8%	33.3%	53.0%	46.2%	39.3%
IV Percentile	48.6%	35.3%	67.5%	57.5%	42.5%
Term Structure	0.2%	-0.4%	0.7%	-0.4%	0.4%
VWIV	23.0%	21.3%	25.1%	23.6%	21.5%
Skew 25d	2.1%	1.2%	3.4%	1.3%	2.7%
Skew 10d	4.6%	1.5%	7.9%	2.2%	5.1%
Call IV 25d	22.4%	20.6%	24.2%	23.6%	21.2%
Put IV 25d	24.5%	23.1%	26.6%	24.9%	23.9%
Bid-Ask Spread %	5.86	2.71	29.52	5.58	5.34
Gamma HHI	0.20	0.12	0.38	0.24	0.12
Net GEX	9.8M	-177.1K	18.2M	12.7M	15.8M
Net DEX	-449.3M	-593.4M	-328.1M	-480.9M	-593.4M
Net VEX	-2.1M	-2.2M	-2.0M	-2.0M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.43	2.74	1.22	0.82
Total Volume	19,382.739	12,952	30,397	15,124	18,455
Total OI	309,814.261	286,886	338,256	293,434	328,191

Daily Data (23 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
2017-08-01	$59.34	$57.50	23.6%	6.7%	24.5%	46.2%	23.6%	1.3%	-0.4%	12.7M	-480.9M	-2.0M	1.22	5.58	6,802	8,322	152,898	140,536
2017-08-02	$59.00	$57.50	24.1%	7.0%	22.8%	48.8%	25.1%	1.7%	-0.4%	10.9M	-452.1M	-2.1M	1.31	8.26	7,551	9,917	154,684	144,631
2017-08-03	$58.55	$60.00	23.8%	6.8%	21.2%	47.3%	23.8%	1.4%	-0.4%	10.0M	-411.4M	-2.1M	1.22	6.26	5,840	7,112	156,627	149,414
2017-08-04	$58.68	$60.00	23.1%	6.6%	21.1%	43.7%	23.3%	1.5%	-0.0%	11.9M	-421.4M	-2.1M	1.28	3.91	6,200	7,945	157,481	150,718
2017-08-07	$59.51	$60.00	23.5%	6.7%	20.6%	45.5%	24.0%	1.4%	-0.0%	10.9M	-469.3M	-2.1M	0.80	3.44	8,097	6,452	152,058	148,883
2017-08-08	$59.33	$60.00	23.2%	6.7%	20.4%	43.9%	23.9%	1.2%	0.4%	10.9M	-456.8M	-2.0M	2.74	6.50	5,512	15,078	153,866	150,788
2017-08-09	$59.55	$60.00	23.2%	6.6%	15.9%	44.1%	23.6%	1.5%	-0.4%	8.3M	-457.5M	-2.0M	1.74	3.94	7,861	13,694	154,347	158,059
2017-08-10	$58.10	$60.00	24.8%	7.1%	17.5%	53.0%	24.6%	2.6%	-0.3%	2.5M	-328.1M	-2.1M	1.67	6.01	9,316	15,524	156,526	163,544
2017-08-11	$58.10	$60.00	24.8%	7.1%	17.0%	52.8%	24.6%	2.2%	-0.3%	-177.1K	-333.2M	-2.2M	1.50	5.86	7,324	10,991	158,261	165,203
2017-08-14	$59.01	$60.00	21.9%	6.3%	17.8%	37.0%	23.0%	2.4%	0.6%	8.2M	-404.7M	-2.1M	1.54	4.11	8,028	12,346	154,662	161,875
2017-08-15	$59.75	$60.00	22.3%	6.4%	16.3%	38.9%	22.6%	1.9%	0.3%	12.4M	-467.7M	-2.1M	1.35	2.71	10,048	13,583	156,972	164,732
2017-08-16	$60.23	$60.00	21.9%	6.3%	16.2%	36.8%	22.6%	1.4%	0.1%	15.9M	-520.4M	-2.0M	1.34	3.55	12,976	17,421	159,217	165,241
2017-08-17	$59.51	$60.00	23.1%	6.6%	16.5%	43.7%	23.5%	2.6%	0.5%	10.6M	-430.2M	-2.1M	1.37	3.52	8,766	11,990	161,883	171,378
2017-08-18	$59.71	$60.00	22.4%	6.4%	16.3%	39.6%	23.4%	3.4%	0.5%	18.2M	-435.3M	-2.1M	1.22	4.06	9,979	12,193	163,744	174,512
2017-08-21	$59.39	$60.00	22.3%	6.2%	16.5%	39.1%	22.1%	2.7%	0.7%	5.1M	-385.9M	-2.1M	1.52	5.11	5,523	8,369	138,008	148,878
2017-08-22	$60.91	$60.00	21.2%	5.9%	18.5%	33.3%	21.4%	2.4%	0.3%	8.3M	-482.4M	-2.0M	0.72	4.47	12,370	8,945	139,092	149,874
2017-08-23	$60.05	$60.00	22.3%	6.2%	19.3%	38.8%	21.8%	2.7%	0.1%	7.3M	-425.9M	-2.1M	1.07	3.87	6,721	7,220	143,047	151,432
2017-08-24	$59.97	$60.00	22.4%	6.2%	18.6%	39.6%	22.1%	2.5%	0.6%	7.6M	-422.1M	-2.1M	1.33	4.20	7,023	9,352	144,691	153,071
2017-08-25	$60.06	$60.00	21.9%	6.0%	18.4%	36.9%	21.3%	2.1%	0.3%	7.7M	-430.4M	-2.1M	1.11	3.41	9,118	10,140	146,059	155,885
2017-08-28	$60.44	$60.00	21.9%	6.0%	18.3%	37.0%	21.7%	2.5%	0.5%	7.5M	-448.6M	-2.0M	0.69	3.94	11,086	7,622	143,641	154,787
2017-08-29	$61.10	$60.00	22.3%	6.4%	18.3%	39.2%	23.9%	1.6%	0.3%	9.7M	-511.3M	-2.1M	0.61	29.52	12,334	7,541	150,888	158,142
2017-08-30	$61.59	$59.00	22.0%	6.0%	18.2%	37.4%	22.1%	2.3%	0.6%	12.5M	-563.9M	-2.1M	0.43	7.30	18,917	8,199	156,641	160,661
2017-08-31	$61.69	$59.50	22.3%	5.9%	17.9%	39.3%	21.5%	2.7%	0.4%	15.8M	-593.4M	-2.1M	0.82	5.34	10,158	8,297	165,841	162,350