PYPL Options History — October 2017

In October 2017, PYPL traded between $63.95 and $72.57. ATM implied volatility averaged 25.9%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.7% (HV 20d: 21.3%). Max pain ranged from $60.50 to $67.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-10-20: Highest Volume — 139,756 contracts
  • 2017-10-20: Largest IV drop — 35.8% change
  • 2017-10-19: Highest IV Rank — 87.5%
  • 2017-10-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.10$63.95$72.57$64.12$72.57
Max Pain$64.73$60.50$67.50$60.50$67.50
ATM IV25.9%20.0%31.2%30.3%21.1%
Expected Move7.6%5.9%10.0%10.0%6.2%
HV 20d21.3%16.8%27.1%17.1%26.1%
HV 60d18.6%16.9%20.6%18.5%20.6%
IV Rank59.1%26.5%87.5%83.0%32.5%
IV Percentile63.3%26.2%95.2%89.3%31.3%
Term Structure-0.6%-3.6%0.5%-0.9%0.2%
VWIV26.9%20.9%35.1%35.1%22.4%
Skew 25d2.1%1.3%3.2%3.1%1.5%
Skew 10d4.4%2.5%6.7%6.7%3.3%
Call IV 25d25.4%19.8%30.2%28.8%20.7%
Put IV 25d27.4%21.3%32.0%32.0%22.2%
Bid-Ask Spread %8.753.2323.7611.399.10
Gamma HHI0.150.090.360.130.14
Net GEX15.8M1.8M45.4M4.5M18.6M
Net DEX-822.7M-1.37B-579.7M-598.2M-838.6M
Net VEX-2.3M-2.5M-2.1M-2.5M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.382.021.260.38
Total Volume38,223.54512,703139,75626,31639,519
Total OI422,460.955345,224541,202410,714360,741

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$64.12$60.5030.3%10.0%17.1%83.0%35.1%3.1%-0.9%4.5M-598.2M-2.5M1.2611.3911,62014,696188,897221,817
2017-10-03$64.17$60.5029.0%9.4%17.0%75.8%34.2%2.8%-1.0%4.3M-614.1M-2.4M2.0210.226,06512,268192,816227,673
2017-10-04$63.95$60.5028.8%9.5%17.0%74.5%33.5%3.2%-0.8%1.8M-579.7M-2.4M0.926.416,6016,102193,243234,491
2017-10-05$65.80$62.5028.4%7.9%19.2%72.2%27.7%2.9%-1.1%11.0M-775.0M-2.3M0.556.7216,9119,277194,326235,580
2017-10-06$66.06$62.5028.5%7.9%18.2%73.1%28.6%2.6%-0.9%13.5M-806.1M-2.4M0.964.9611,60411,175197,031237,377
2017-10-09$66.19$62.5028.0%7.9%16.8%70.4%27.0%2.8%-0.3%14.1M-804.8M-2.3M0.933.238,6228,008195,577235,855
2017-10-10$66.01$65.0027.6%7.8%16.9%68.0%28.1%2.6%-0.0%14.5M-786.0M-2.3M1.403.496,8559,615197,430238,177
2017-10-11$67.76$65.0029.0%8.2%18.2%75.8%28.3%1.7%-0.6%11.1M-945.8M-2.2M0.505.4133,21116,555198,606242,468
2017-10-12$68.87$65.0029.4%8.1%18.7%78.1%29.0%2.2%-1.3%13.3M-1.05B-2.2M0.656.5016,87111,018208,910248,444
2017-10-13$68.69$65.0028.6%8.0%18.9%73.7%27.9%2.2%-0.8%14.4M-1.04B-2.2M0.647.0117,73911,295211,930250,031
2017-10-16$67.33$65.0028.3%8.1%20.8%72.1%28.1%1.9%-1.4%9.5M-866.0M-2.1M0.904.5020,06718,017200,239242,694
2017-10-17$66.66$65.0028.5%8.1%21.0%72.9%28.8%1.5%-0.9%8.9M-808.2M-2.2M1.379.6212,51417,145206,491248,876
2017-10-18$67.27$65.0029.7%8.5%20.6%79.7%30.0%2.1%-1.7%7.0M-821.9M-2.3M0.625.0927,70817,248210,078256,051
2017-10-19$67.24$65.0031.2%9.1%20.5%87.5%31.0%1.8%-3.6%8.6M-855.7M-2.3M0.6923.7660,81841,674222,711264,166
2017-10-20$70.83$65.0020.0%5.9%27.1%26.5%20.9%1.4%-1.3%34.6M-1.37B-2.2M0.428.1798,21641,540253,854287,348
2017-10-23$69.84$65.0020.4%6.0%25.9%28.7%21.2%1.8%0.5%20.0M-684.1M-2.3M0.667.2324,94116,512169,136176,088
2017-10-24$70.15$67.5020.5%6.1%25.3%29.3%21.4%1.9%0.5%24.0M-710.9M-2.3M0.595.5518,34010,821178,311183,103
2017-10-25$71.07$67.5021.3%6.3%25.5%33.9%22.3%1.5%0.5%25.2M-794.5M-2.3M0.5621.1725,82414,451179,849187,286
2017-10-26$71.43$67.5020.8%6.1%25.5%31.1%21.5%1.3%0.4%27.9M-829.1M-2.4M0.468.6426,88012,349184,874192,062
2017-10-27$71.06$67.5020.6%6.0%25.7%29.7%21.6%1.5%0.4%45.4M-791.5M-2.3M0.5512.3519,17210,505188,856195,601
2017-10-30$71.20$67.5020.8%6.2%25.7%30.9%22.1%1.6%0.4%16.0M-726.5M-2.4M0.5311.9413,4537,096174,807180,240
2017-10-31$72.57$67.5021.1%6.2%26.1%32.5%22.4%1.5%0.2%18.6M-838.6M-2.4M0.389.1028,71810,801178,637182,104