PYPL Options History — September 2019

In September 2019, PYPL traded between $101.78 and $111.31. ATM implied volatility averaged 28.8%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.5% (HV 20d: 30.3%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2019-09-10: Highest Volume — 89,647 contracts
  • 2019-09-09: Largest IV spike — 14.7% change
  • 2019-09-27: Highest IV Rank — 47.8%
  • 2019-09-24: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.76$101.78$111.31$106.84$103.56
Max Pain$107.50$105.00$110.00$110.00$105.00
ATM IV28.8%23.1%33.9%27.9%33.1%
Expected Move8.4%7.3%9.1%8.1%8.7%
HV 20d30.3%27.7%33.2%27.7%31.1%
HV 60d27.5%24.9%28.7%24.9%28.7%
IV Rank30.0%9.9%47.8%26.9%45.1%
IV Percentile52.2%13.1%81.0%46.0%77.8%
Term Structure0.9%-1.1%3.9%0.1%-0.8%
VWIV29.0%24.7%31.2%28.3%30.7%
Skew 25d4.3%3.5%5.3%4.9%4.6%
Skew 10d9.0%7.1%11.4%10.1%10.1%
Call IV 25d26.9%21.1%32.2%26.3%30.7%
Put IV 25d31.2%25.2%36.3%31.2%35.3%
Bid-Ask Spread %8.592.5815.913.749.46
Gamma HHI0.100.060.360.070.07
Net GEX6.5M-56.8M49.8M13.1M-3.1M
Net DEX-123.3M-731.4M320.1M-196.8M28.2M
Net VEX-6.6M-6.8M-6.2M-6.8M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.231.230.710.23
Total Volume35,125.613,86489,64718,75446,181
Total OI516,905.3476,032568,124476,335517,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$106.84$110.0027.9%8.1%27.7%26.9%28.3%4.9%0.1%13.1M-196.8M-6.8M0.713.7410,9547,800236,800239,535
2019-09-04$108.94$110.0026.1%7.3%28.2%20.5%26.5%4.8%0.5%23.8M-446.7M-6.6M0.552.588,9364,928239,620240,529
2019-09-05$111.31$110.0024.0%7.8%28.4%13.1%28.0%4.5%-0.1%35.4M-731.4M-6.5M0.807.8913,15210,500241,373241,325
2019-09-06$110.02$110.0023.1%7.6%28.7%9.9%24.7%4.1%0.5%49.8M-572.4M-6.4M0.382.9318,4336,961242,473244,269
2019-09-09$105.05$110.0026.5%8.6%33.2%21.9%29.1%4.6%3.4%2.6M27.6M-6.3M0.918.2737,76934,352241,921240,147
2019-09-10$102.26$110.0027.5%8.9%33.1%25.2%29.8%4.4%3.4%-10.6M320.1M-6.2M0.5910.1356,52233,125258,016255,807
2019-09-11$103.74$110.0025.4%8.1%31.2%17.9%27.6%4.2%2.9%3.1M121.2M-6.6M0.8215.7817,24114,104275,443263,459
2019-09-12$107.33$110.0025.3%8.1%31.8%17.6%27.7%3.9%3.9%29.1M-373.0M-6.8M0.459.0231,16613,905279,799266,622
2019-09-13$106.78$105.0026.0%8.1%31.0%20.1%27.5%3.5%3.5%17.7M-276.1M-6.6M0.6611.4222,53414,838281,899269,256
2019-09-16$106.52$110.0028.9%8.5%30.9%30.3%29.4%4.0%0.6%9.1M-171.6M-6.5M0.8815.918,6937,663265,123266,009
2019-09-17$107.38$110.0029.6%8.6%30.6%32.8%30.5%3.8%1.2%15.4M-267.4M-6.5M1.234.8012,19314,980266,920268,323
2019-09-18$105.38$105.0030.6%8.8%31.3%36.4%31.2%4.0%-0.6%-1.9M19.9M-6.5M1.0411.1716,19716,787270,184274,859
2019-09-19$105.83$105.0029.1%8.3%30.4%31.2%28.3%3.5%1.9%427.5K-47.7M-6.4M0.8710.8421,24018,397275,689279,476
2019-09-20$105.05$105.0029.8%8.3%30.4%33.5%29.3%3.6%2.1%-56.8M56.0M-6.5M0.6113.1919,34911,885282,536285,588
2019-09-23$105.10$105.0030.9%8.3%29.2%37.2%29.2%5.1%-0.5%9.8M-123.7M-6.4M0.593.9119,19411,412231,515244,517
2019-09-24$103.44$105.0033.3%9.1%29.4%45.8%31.2%4.8%-0.7%1.2M31.9M-6.6M1.156.6819,12122,054240,782251,154
2019-09-25$104.26$105.0032.7%8.8%29.6%43.8%31.1%4.6%-0.9%4.4M-41.8M-6.7M0.975.6213,17012,827248,027262,469
2019-09-26$104.56$105.0032.3%8.4%29.6%42.2%30.0%5.3%-1.1%6.2M-75.5M-6.7M0.744.5313,75510,165252,513268,252
2019-09-27$101.78$105.0033.9%9.0%30.3%47.8%30.9%4.0%-0.6%-18.4M253.8M-6.8M0.7813.9816,90413,125254,087274,110
2019-09-30$103.56$105.0033.1%8.7%31.1%45.1%30.7%4.6%-0.8%-3.1M28.2M-6.7M0.239.4637,4868,695246,577271,103