PYPL Options History — November 2017

In November 2017, PYPL traded between $72.24 and $78.57. ATM implied volatility averaged 22.4%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 4.3% (HV 20d: 26.8%). Max pain ranged from $67.50 to $74.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2017-11-29: Highest Volume — 80,110 contracts
  • 2017-11-29: Largest IV spike — 21.6% change
  • 2017-11-29: Highest IV Rank — 65.6%
  • 2017-11-29: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.26$72.24$78.57$72.38$75.68
Max Pain$72.24$67.50$74.50$67.50$74.50
ATM IV22.4%19.7%27.1%21.0%25.2%
Expected Move6.6%6.0%8.2%6.0%7.5%
HV 20d26.8%22.2%36.5%26.1%36.5%
HV 60d22.0%19.7%27.4%20.5%27.4%
IV Rank39.8%25.2%65.6%32.1%54.9%
IV Percentile48.0%25.8%77.4%31.3%73.0%
Term Structure0.2%-1.8%2.0%0.3%-0.6%
VWIV23.7%21.7%29.3%22.2%26.9%
Skew 25d1.1%-0.1%2.9%1.5%1.1%
Skew 10d2.1%-4.5%7.9%2.7%1.7%
Call IV 25d22.3%19.5%25.9%20.8%25.0%
Put IV 25d23.5%20.6%28.8%22.3%26.0%
Bid-Ask Spread %14.236.0232.9112.4121.09
Gamma HHI0.120.080.160.130.10
Net GEX18.6M11.7M25.6M18.7M17.7M
Net DEX-959.2M-1.27B-630.1M-831.5M-867.8M
Net VEX-2.9M-3.7M-2.3M-2.4M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.260.950.480.66
Total Volume39,394.23818,86980,11035,55150,452
Total OI401,882.762366,651454,611366,651454,611

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$72.38$67.5021.0%6.0%26.1%32.1%22.2%1.5%0.3%18.7M-831.5M-2.4M0.4812.4123,99411,557181,776184,875
2017-11-02$72.24$70.0020.6%6.1%24.8%29.8%21.7%1.4%0.7%17.6M-811.8M-2.4M0.866.0210,1388,731183,386188,147
2017-11-03$73.32$70.0019.7%6.1%25.1%25.2%21.9%1.1%0.7%19.3M-895.6M-2.5M0.6010.5122,53213,475185,049190,605
2017-11-06$74.76$70.0020.4%6.2%25.6%28.6%22.1%1.2%1.0%15.6M-973.2M-2.3M0.799.5424,46519,294180,102189,336
2017-11-07$74.47$72.5021.4%6.5%25.6%34.0%23.2%1.1%1.3%14.5M-941.8M-2.6M0.607.8422,51813,572187,340195,112
2017-11-08$74.73$72.5020.8%6.4%24.5%31.0%23.0%2.5%2.0%16.8M-982.1M-2.5M0.5211.8517,1168,886194,736197,711
2017-11-09$74.14$72.5022.0%6.7%24.5%37.5%24.1%1.4%1.9%14.0M-924.2M-2.7M0.789.9722,49817,598197,116200,036
2017-11-10$74.03$72.5022.6%6.9%24.5%40.7%24.1%1.6%1.5%21.1M-942.5M-2.8M0.769.0917,88313,531206,721207,053
2017-11-13$74.00$72.5022.5%6.5%22.9%40.4%23.2%1.0%0.0%16.4M-937.7M-2.8M0.956.8210,88710,328204,614201,583
2017-11-14$74.50$72.5023.1%6.7%22.2%43.7%23.8%1.0%-0.1%17.4M-968.1M-2.9M0.3227.5726,2078,371208,073205,409
2017-11-15$73.31$72.5023.2%6.7%23.5%44.1%23.9%1.0%0.2%16.2M-897.5M-2.9M0.637.7918,48211,698218,047207,128
2017-11-16$77.87$72.5022.4%6.4%30.7%39.7%23.0%0.9%-0.5%20.2M-1.27B-2.9M0.2622.3452,93513,600224,073207,809
2017-11-17$76.40$72.5023.4%6.9%27.1%45.2%24.4%-0.1%-1.8%18.2M-1.18B-2.9M0.3925.2439,40815,419227,246209,678
2017-11-20$75.92$72.5022.7%6.4%26.5%41.3%22.8%1.7%-0.8%18.8M-892.3M-3.0M0.5719.8018,50210,522197,216173,971
2017-11-21$77.66$72.5022.8%6.5%27.3%41.9%23.0%0.7%-0.7%23.5M-1.03B-3.0M0.4932.9134,55616,870204,217177,660
2017-11-22$77.62$72.5022.5%6.7%27.2%40.0%23.6%1.0%-0.2%22.9M-1.02B-3.2M0.9114.5920,34418,476210,340184,469
2017-11-24$78.57$73.0022.7%6.8%27.4%41.5%24.1%0.5%-0.9%25.6M-1.10B-3.3M0.5013.0418,5549,346218,261190,870
2017-11-27$77.91$73.5022.4%6.7%27.6%39.9%23.7%-0.1%0.4%20.9M-1.03B-3.2M0.587.6323,59813,794212,790186,080
2017-11-28$77.69$74.0022.3%6.7%27.7%39.2%23.6%0.3%0.2%23.0M-1.03B-3.4M0.4811.2825,09311,939225,128192,599
2017-11-29$73.31$74.5027.1%8.2%34.8%65.6%29.3%2.9%-0.9%11.7M-630.1M-3.6M0.6711.4547,97632,134230,802197,763
2017-11-30$75.68$74.5025.2%7.5%36.5%54.9%26.9%1.1%-0.6%17.7M-867.8M-3.7M0.6621.0930,46719,985244,720209,891