PYPL Options History — March 2018

In March 2018, PYPL traded between $75.14 and $83.33. ATM implied volatility averaged 28.1%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.9% (HV 20d: 24.1%). Max pain ranged from $77.50 to $80.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2018-03-14: Highest Volume — 112,777 contracts
  • 2018-03-14: Largest IV spike — 19.5% change
  • 2018-03-28: Highest IV Rank — 78.8%
  • 2018-03-28: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.51$75.14$83.33$78.64$76.14
Max Pain$79.76$77.50$80.00$80.00$80.00
ATM IV28.1%23.2%37.3%31.5%35.4%
Expected Move7.8%6.9%9.5%8.9%8.6%
HV 20d24.1%17.5%39.1%39.1%29.4%
HV 60d27.7%26.1%30.6%29.5%30.6%
IV Rank45.8%28.9%78.8%58.6%71.5%
IV Percentile68.3%41.3%98.0%86.5%96.0%
Term Structure1.0%-3.9%7.6%-3.9%-0.2%
VWIV27.4%24.0%32.6%31.1%30.2%
Skew 25d3.3%-1.1%7.4%3.6%-1.1%
Skew 10d7.7%4.6%17.8%7.1%16.9%
Call IV 25d26.5%22.0%34.2%30.8%33.4%
Put IV 25d29.8%24.6%39.7%34.4%32.3%
Bid-Ask Spread %18.4510.5336.9020.0728.01
Gamma HHI0.090.070.200.080.09
Net GEX16.8M-6.9M47.4M13.5M-6.9M
Net DEX-462.9M-937.8M45.5M-391.0M-56.6M
Net VEX-5.2M-5.3M-5.0M-5.1M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.361.610.671.08
Total Volume37,518.71422,168112,77731,00835,005
Total OI455,003.571412,167499,470413,935498,428

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$78.64$80.0031.5%8.9%39.1%58.6%31.1%3.6%-3.9%13.5M-391.0M-5.1M0.6720.0718,52212,486224,560189,375
2018-03-02$78.97$80.0028.9%8.1%28.7%49.5%29.7%3.9%-2.2%15.2M-399.3M-5.1M1.2423.0815,70219,463225,732192,392
2018-03-05$79.18$77.5027.0%7.6%26.1%42.4%27.4%3.3%0.6%11.2M-421.9M-5.0M0.6712.7918,87212,669218,060194,107
2018-03-06$79.12$77.5026.3%7.5%25.3%40.1%26.3%3.2%0.7%12.8M-418.2M-5.0M0.7210.5330,67722,081222,885197,401
2018-03-07$79.52$80.0027.4%7.6%25.2%43.9%26.2%3.9%-0.3%16.7M-460.3M-5.3M0.6422.6717,70611,263237,810210,900
2018-03-08$79.72$80.0025.1%7.3%25.2%35.7%25.5%2.9%0.1%20.5M-494.6M-5.2M1.0620.1315,86416,779241,006213,066
2018-03-09$80.55$80.0023.3%6.9%19.5%29.2%24.3%2.8%0.5%24.7M-613.1M-5.2M0.5612.7820,34811,413242,609218,769
2018-03-12$80.75$80.0023.2%6.9%17.5%28.9%24.0%2.8%0.9%22.5M-603.4M-5.1M0.7611.7919,64014,897237,057211,094
2018-03-13$80.24$80.0023.6%7.1%17.9%30.5%24.3%2.8%0.9%22.9M-556.4M-5.1M0.4536.9020,5249,165245,639216,365
2018-03-14$83.33$80.0028.2%7.4%21.5%47.0%26.3%-0.1%-0.2%31.9M-937.8M-5.1M0.3614.0283,22729,550251,277216,218
2018-03-15$82.59$80.0024.2%7.2%19.7%32.4%25.5%2.9%1.2%43.1M-874.5M-5.2M0.4412.1730,53513,528270,018224,127
2018-03-16$82.40$80.0023.4%6.9%19.6%29.5%24.5%2.6%1.2%47.4M-867.5M-5.2M0.6911.4517,97212,372273,746225,724
2018-03-19$80.46$80.0026.7%7.7%21.7%41.5%27.2%3.2%5.1%19.1M-548.9M-5.2M1.1013.7318,91220,738240,274196,953
2018-03-20$80.86$80.0025.2%7.2%20.6%36.0%25.0%5.8%7.6%20.8M-596.1M-5.3M0.9917.4311,15911,009243,843202,988
2018-03-21$81.18$80.0025.1%7.2%20.3%33.6%25.3%3.4%5.4%21.6M-627.5M-5.2M0.8811.8311,91310,498244,513206,330
2018-03-22$78.69$80.0028.1%7.9%23.1%44.7%29.6%3.5%1.9%9.4M-340.4M-5.2M1.6127.6212,73020,538247,088208,576
2018-03-23$76.68$80.0031.5%8.6%23.2%57.1%29.9%4.0%4.4%1.4M-113.4M-5.2M1.1926.7813,64916,204248,616219,117
2018-03-26$79.07$80.0032.2%8.3%25.9%59.9%29.0%4.0%0.1%8.7M-358.1M-5.3M0.9319.4311,88211,014240,102216,127
2018-03-27$76.39$80.0035.5%9.0%28.5%72.0%31.2%4.5%-1.0%824.5K-87.8M-5.3M1.1511.1316,15018,495243,800218,903
2018-03-28$75.14$80.0037.3%9.5%29.0%78.8%32.6%7.4%-1.4%-4.0M45.5M-5.1M1.2123.0523,86628,876252,519226,961
2018-03-29$76.14$80.0035.4%8.6%29.4%71.5%30.2%-1.1%-0.2%-6.9M-56.6M-5.2M1.0828.0116,83218,173258,707239,721