PYPL Options History — December 2017

In December 2017, PYPL traded between $70.96 and $75.48. ATM implied volatility averaged 26.8%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 11.1% (HV 20d: 37.9%). Max pain ranged from $57.50 to $74.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2017-12-04: Highest Volume — 86,873 contracts
  • 2017-12-04: Largest IV spike — 28.7% change
  • 2017-12-04: Highest IV Rank — 97.5%
  • 2017-12-04: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.81$70.96$75.48$75.29$73.62
Max Pain$59.35$57.50$74.50$74.50$60.00
ATM IV26.8%23.9%33.0%25.6%28.7%
Expected Move7.4%6.6%9.2%7.7%6.8%
HV 20d37.9%25.8%43.0%36.6%25.8%
HV 60d29.8%27.4%30.2%27.4%29.8%
IV Rank63.7%47.8%97.5%57.3%74.2%
IV Percentile75.4%61.9%99.6%74.6%81.3%
Term Structure2.0%-1.3%5.5%0.4%3.6%
VWIV26.2%23.6%31.9%27.7%23.9%
Skew 25d1.5%-0.1%2.6%1.3%1.6%
Skew 10d3.7%2.3%5.9%3.2%4.5%
Call IV 25d26.5%22.9%34.4%24.8%27.6%
Put IV 25d28.0%24.5%36.2%26.1%29.2%
Bid-Ask Spread %7.593.7119.0519.056.10
Gamma HHI0.110.070.140.100.09
Net GEX20.4M7.7M31.4M16.5M18.3M
Net DEX-743.7M-991.5M-444.1M-824.5M-701.3M
Net VEX-4.0M-4.3M-3.8M-3.8M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.531.670.690.68
Total Volume39,690.326,16086,87342,68927,754
Total OI492,284.1449,655517,667466,452502,039

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$75.29$74.5025.6%7.7%36.6%57.3%27.7%1.3%0.4%16.5M-824.5M-3.8M0.6919.0525,29917,390249,900216,552
2017-12-04$70.96$57.5033.0%9.2%42.2%97.5%31.9%1.8%-0.6%7.7M-444.1M-3.8M0.5310.7056,86430,009243,614206,041
2017-12-05$71.33$57.5030.9%8.6%41.5%85.9%30.4%2.6%-1.3%10.7M-509.4M-4.0M0.558.8932,87018,161264,641216,520
2017-12-06$73.14$57.5029.4%8.3%42.7%78.1%29.3%-0.1%0.2%18.3M-704.9M-4.1M1.224.7117,78421,745276,556221,804
2017-12-07$73.70$57.5027.8%8.1%42.7%69.3%28.3%1.9%0.6%18.9M-749.5M-4.3M1.017.1221,49721,816278,625229,085
2017-12-08$72.83$57.5026.6%7.8%42.9%62.5%27.1%1.2%0.9%22.2M-657.1M-4.1M0.888.4725,14522,144283,535232,829
2017-12-11$73.28$57.5025.7%7.6%42.9%57.5%26.7%1.5%0.9%18.3M-705.7M-4.0M1.394.4612,05216,721277,990228,117
2017-12-12$73.57$57.5026.0%7.7%43.0%59.6%26.8%1.6%0.5%19.3M-742.3M-4.0M1.053.7115,56316,413278,896229,579
2017-12-13$74.06$57.5025.8%7.4%43.0%58.3%26.5%1.8%-0.1%21.4M-796.2M-3.9M0.826.5921,43217,616278,343231,124
2017-12-14$74.33$57.5024.8%7.5%42.6%52.9%26.5%1.8%1.3%24.4M-827.5M-3.9M0.796.9922,03117,375281,446234,227
2017-12-15$75.48$57.5024.1%7.1%36.8%49.1%25.2%2.1%1.3%31.4M-991.5M-3.9M0.9910.6325,14024,818282,629235,038
2017-12-18$75.28$57.5024.2%6.9%36.2%49.3%24.4%1.0%4.4%24.1M-871.6M-3.9M0.875.1124,07120,833246,813204,105
2017-12-19$74.55$60.0025.2%7.2%36.3%55.0%25.8%1.2%3.9%20.5M-797.2M-4.0M0.914.8717,87016,319253,316213,988
2017-12-20$74.00$60.0023.9%6.8%35.3%47.8%24.2%1.2%5.5%16.7M-730.3M-4.0M1.299.7615,74820,355256,287221,244
2017-12-21$74.00$60.0024.1%6.7%35.3%49.1%23.6%1.6%4.8%19.1M-736.3M-4.0M1.676.6311,32518,903263,321231,601
2017-12-22$73.81$60.0025.0%6.7%34.9%54.0%23.7%1.3%4.3%21.2M-714.3M-4.0M1.166.3216,37519,043264,021234,718
2017-12-26$74.22$60.0027.8%6.7%34.9%68.9%23.7%1.6%1.9%24.0M-775.9M-3.9M1.616.9011,94719,191260,054225,977
2017-12-27$74.58$60.0028.7%6.9%35.0%74.2%24.1%2.2%2.9%26.4M-818.0M-3.9M1.345.7111,95816,069263,087229,263
2017-12-28$74.21$60.0028.7%6.6%28.2%74.2%23.6%1.5%3.8%27.6M-775.2M-3.9M1.589.1910,14816,012267,932230,825
2017-12-29$73.62$60.0028.7%6.8%25.8%74.2%23.9%1.6%3.6%18.3M-701.3M-3.9M0.686.1016,56811,186269,097232,942