PYPL Options History — September 2018

In September 2018, PYPL traded between $87.73 and $93.33. ATM implied volatility averaged 26.7%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.4% (HV 20d: 25.3%). Max pain ranged from $80.00 to $87.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2018-09-04: Highest Volume — 78,495 contracts
  • 2018-09-17: Largest IV spike — 18.0% change
  • 2018-09-28: Highest IV Rank — 49.8%
  • 2018-09-25: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.19$87.73$93.33$93.33$87.73
Max Pain$83.42$80.00$87.50$87.50$85.00
ATM IV26.7%22.9%31.3%22.9%31.3%
Expected Move7.8%6.5%8.7%6.5%8.2%
HV 20d25.3%17.6%27.5%17.6%25.5%
HV 60d24.9%23.1%25.8%23.1%24.9%
IV Rank29.9%13.4%49.8%13.4%49.8%
IV Percentile47.2%23.4%75.8%23.4%75.8%
Term Structure1.4%-2.0%4.7%0.3%-2.0%
VWIV27.3%22.7%30.5%22.7%28.6%
Skew 25d2.6%1.9%3.2%2.1%2.5%
Skew 10d5.4%4.1%7.1%4.1%4.5%
Call IV 25d25.6%21.8%30.5%22.4%30.3%
Put IV 25d28.2%24.0%32.8%24.5%32.8%
Bid-Ask Spread %7.932.9023.023.294.55
Gamma HHI0.130.100.190.190.10
Net GEX43.9M18.8M68.2M64.7M18.8M
Net DEX-971.1M-1.46B-538.9M-1.46B-538.9M
Net VEX-4.5M-4.8M-4.2M-4.5M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.371.380.490.90
Total Volume42,064.78928,03078,49578,49538,827
Total OI516,473.421414,163573,554500,247476,842

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$93.33$87.5022.9%6.5%17.6%13.4%22.7%2.1%0.3%64.7M-1.46B-4.5M0.493.2952,69525,800284,729215,518
2018-09-05$89.19$87.5026.0%7.5%24.8%26.9%25.4%2.8%-0.2%41.9M-857.5M-4.8M0.695.1535,11224,338300,122221,386
2018-09-06$89.26$80.0025.7%8.4%24.7%25.7%28.8%3.1%0.1%38.2M-844.4M-4.8M0.627.2228,78017,919299,806229,804
2018-09-07$88.70$82.5025.9%8.4%24.9%26.3%29.4%3.2%-0.1%36.7M-769.4M-4.8M1.236.4917,31621,244304,207232,688
2018-09-10$89.79$82.5025.2%8.2%25.2%23.4%28.5%3.0%3.3%45.5M-957.3M-4.7M1.153.4913,91716,066297,315230,373
2018-09-11$91.41$82.5024.5%7.8%25.9%20.3%27.4%3.0%2.9%59.5M-1.20B-4.7M0.963.9021,33520,451298,782232,128
2018-09-12$92.37$82.5024.0%7.8%26.0%18.1%27.8%3.2%3.1%68.2M-1.36B-4.5M0.934.5018,48217,279303,055237,003
2018-09-13$92.27$82.5023.6%7.4%23.3%16.8%25.9%2.9%2.7%68.0M-1.36B-4.4M0.684.7925,84217,463302,806240,789
2018-09-14$90.99$82.5023.7%7.4%24.1%17.1%25.8%2.2%3.2%56.2M-1.13B-4.4M1.194.1618,20521,735306,522242,809
2018-09-17$88.51$82.5028.0%8.3%26.5%35.4%28.1%3.0%1.8%25.8M-693.9M-4.4M0.4714.2640,89419,366302,138237,813
2018-09-18$89.99$82.5026.2%7.6%27.0%27.9%26.5%2.4%3.3%44.6M-978.5M-4.5M0.852.9015,12412,906322,975244,946
2018-09-19$89.26$82.5025.7%7.4%27.2%25.5%25.8%2.4%4.4%35.0M-851.9M-4.4M0.853.1315,54613,264322,279245,509
2018-09-20$90.61$82.5026.2%7.3%27.5%27.8%25.7%2.4%3.4%55.1M-1.12B-4.3M0.754.8522,41416,816324,716246,548
2018-09-21$90.94$82.5025.6%6.9%27.5%25.3%23.9%2.3%4.7%59.6M-1.21B-4.2M0.536.7025,59813,645326,410247,144
2018-09-24$89.65$82.5030.0%8.5%26.1%44.3%30.0%2.2%-0.9%29.0M-767.9M-4.3M1.1121.9718,71420,724224,344189,819
2018-09-25$90.11$85.0030.7%8.7%26.2%46.9%30.5%2.0%-1.0%31.7M-822.7M-4.3M1.3823.0212,54017,363231,718197,661
2018-09-26$90.29$85.0031.1%8.4%26.0%48.9%29.2%2.2%-1.1%31.6M-832.5M-4.3M1.0721.9115,74916,785234,928204,195
2018-09-27$89.13$85.0031.2%8.3%25.0%49.3%28.5%1.9%-1.1%24.3M-696.1M-4.4M0.374.3035,81213,165242,332210,836
2018-09-28$87.73$85.0031.3%8.2%25.5%49.8%28.6%2.5%-2.0%18.8M-538.9M-4.5M0.904.5520,43218,395262,936213,906