PYPL Options History — September 2017

In September 2017, PYPL traded between $61.19 and $65.07. ATM implied volatility averaged 24.8%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 8.2% (HV 20d: 16.6%). Max pain ranged from $52.50 to $60.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2017-09-25: Highest Volume — 54,089 contracts
  • 2017-09-25: Largest IV spike — 16.0% change
  • 2017-09-28: Highest IV Rank — 83.7%
  • 2017-09-29: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.89$61.19$65.07$61.53$64.05
Max Pain$55.95$52.50$60.50$59.50$60.50
ATM IV24.8%21.7%30.4%21.7%30.1%
Expected Move7.1%5.7%7.8%5.7%7.8%
HV 20d16.6%13.5%18.0%18.0%17.2%
HV 60d20.7%18.6%21.9%21.9%18.6%
IV Rank52.6%36.0%83.7%36.0%81.9%
IV Percentile59.3%34.9%90.1%34.9%87.3%
Term Structure1.1%-1.6%4.4%0.1%-1.6%
VWIV25.6%21.0%28.8%21.0%27.2%
Skew 25d2.7%2.0%3.7%2.5%3.5%
Skew 10d5.9%3.6%8.7%4.7%7.5%
Call IV 25d23.9%20.8%29.7%21.0%29.4%
Put IV 25d26.7%23.2%32.9%23.5%32.9%
Bid-Ask Spread %8.933.0822.455.738.94
Gamma HHI0.160.080.620.130.13
Net GEX12.5M-2.0M50.1M14.7M3.0M
Net DEX-605.1M-737.5M-500.9M-573.8M-639.9M
Net VEX-2.2M-2.5M-1.9M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.703.590.711.26
Total Volume23,026.9515,15454,08917,04226,086
Total OI352,895.5318,745420,088332,044420,088

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$61.53$59.5021.7%5.7%18.0%36.0%21.0%2.5%0.1%14.7M-573.8M-2.2M0.715.739,9927,050167,204164,840
2017-09-05$61.28$52.5022.8%7.3%17.6%41.8%26.7%2.5%0.3%13.0M-531.7M-2.1M0.707.798,9226,232163,209161,996
2017-09-06$61.23$52.5023.1%7.5%17.5%43.6%25.9%2.6%0.4%14.1M-539.7M-2.1M1.0010.148,1768,162164,227163,165
2017-09-07$61.98$52.5022.8%7.2%17.9%41.7%25.4%2.6%0.3%16.2M-595.7M-2.0M0.933.089,7329,095164,262165,457
2017-09-08$61.19$52.5022.8%7.3%15.9%41.9%25.9%2.5%0.1%13.7M-530.0M-2.0M1.368.808,08911,033166,334167,816
2017-09-11$62.60$52.5022.0%7.0%17.4%37.4%25.0%2.6%2.4%16.9M-632.9M-2.0M1.108.4414,59416,085162,959167,311
2017-09-12$62.53$52.5022.2%7.0%16.9%38.5%24.4%2.6%2.2%16.5M-617.1M-2.1M1.475.2210,41815,320165,887173,997
2017-09-13$61.98$55.0022.0%6.8%17.0%37.7%25.1%2.0%1.6%16.0M-576.5M-2.2M1.697.836,25210,596172,610181,426
2017-09-14$62.27$55.0021.9%6.9%16.9%36.8%24.7%2.4%2.6%20.8M-602.4M-2.1M1.703.885,6179,561173,104182,785
2017-09-15$62.49$55.0023.3%6.8%16.1%44.7%24.7%3.5%1.0%50.1M-616.5M-2.2M1.2922.459,15511,813174,487184,641
2017-09-18$62.96$55.0023.3%6.9%16.2%44.6%24.8%2.6%2.7%8.0M-589.9M-2.0M1.235.8910,74113,247154,134164,611
2017-09-19$63.78$55.0023.6%6.9%16.3%46.3%24.7%2.7%2.8%8.6M-648.8M-1.9M0.728.0114,68510,550156,820169,132
2017-09-20$64.77$55.0024.1%6.9%14.9%48.8%24.4%2.8%3.6%11.3M-723.8M-1.9M0.7910.1620,45516,142165,262172,140
2017-09-21$64.63$57.5024.6%6.8%13.6%51.8%24.9%2.6%4.4%11.0M-705.2M-2.2M1.3315.006,6098,804175,423181,375
2017-09-22$65.07$57.5025.3%6.9%13.5%55.4%25.3%2.6%3.9%11.4M-737.5M-2.2M1.388.187,30510,047176,324182,799
2017-09-25$63.51$57.5029.3%7.8%16.8%77.5%28.8%2.1%-0.9%8.6M-602.1M-2.1M3.599.5311,78442,305172,737180,512
2017-09-26$62.88$60.5029.8%7.7%17.4%79.9%28.5%3.6%-1.4%-2.0M-500.9M-2.3M1.1116.099,26610,279176,723215,438
2017-09-27$63.43$60.5030.3%7.6%17.2%83.0%27.6%3.7%-1.2%-1.5M-555.9M-2.3M1.037.6211,86112,172179,634218,447
2017-09-28$63.68$60.5030.4%7.7%17.1%83.7%26.6%2.6%-1.4%381.8K-580.8M-2.5M1.105.7310,63111,676185,507223,087
2017-09-29$64.05$60.5030.1%7.8%17.2%81.9%27.2%3.5%-1.6%3.0M-639.9M-2.4M1.268.9411,54314,543192,459227,629