PYPL Options History — December 2019

In December 2019, PYPL traded between $103.45 and $109.62. ATM implied volatility averaged 21.7%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.2% (HV 20d: 18.6%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2019-12-02: Highest Volume — 55,457 contracts
  • 2019-12-30: Largest IV spike — 15.9% change
  • 2019-12-31: Highest IV Rank — 35.2%
  • 2019-12-02: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.06$103.45$109.62$106.38$107.99
Max Pain$100.95$100.00$105.00$105.00$104.00
ATM IV21.7%18.9%28.2%23.5%28.2%
Expected Move6.1%5.4%7.1%7.1%6.1%
HV 20d18.6%14.4%21.2%20.8%14.5%
HV 60d28.2%26.7%31.0%31.0%26.7%
IV Rank7.9%0.0%35.2%11.4%35.2%
IV Percentile13.6%0.0%63.1%24.2%63.1%
Term Structure1.7%-1.2%7.3%0.6%-0.6%
VWIV21.9%19.1%26.9%26.9%21.4%
Skew 25d2.6%1.2%4.6%2.6%4.6%
Skew 10d5.7%2.6%9.5%5.5%9.5%
Call IV 25d20.9%18.4%27.7%22.3%27.4%
Put IV 25d23.5%20.3%32.0%24.9%32.0%
Bid-Ask Spread %4.482.866.423.454.48
Gamma HHI0.140.080.230.090.18
Net GEX45.4M-3.4M95.8M21.7M49.8M
Net DEX-545.6M-953.2M-28.7M-410.1M-571.2M
Net VEX-6.3M-6.5M-6.1M-6.3M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.231.611.611.21
Total Volume36,224.28613,41655,45755,45729,798
Total OI603,096.238531,760652,021531,760606,803

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$106.38$105.0023.5%7.1%20.8%11.4%26.9%2.6%0.6%21.7M-410.1M-6.3M1.613.4521,25334,204235,423296,337
2019-12-03$105.58$105.0023.9%7.1%20.1%12.9%25.5%2.9%0.5%14.2M-295.5M-6.5M0.395.3437,11514,492241,688315,388
2019-12-04$105.02$104.0022.5%6.7%19.1%7.9%24.8%2.9%0.5%17.0M-254.7M-6.5M0.753.7017,23412,908258,359319,611
2019-12-05$104.72$100.0022.3%6.7%18.8%6.9%24.3%2.8%0.6%14.9M-211.8M-6.5M1.485.3012,38418,337266,585325,744
2019-12-06$104.44$100.0020.9%6.3%18.9%2.2%21.5%2.6%1.0%4.3M-161.5M-6.3M0.342.8622,5277,712268,665329,757
2019-12-09$103.92$100.0021.7%6.4%19.0%4.9%23.1%2.7%0.6%1.9M-95.6M-6.3M0.534.8015,5888,326265,023320,746
2019-12-10$103.45$100.0021.9%6.4%18.6%5.5%22.5%2.9%0.1%-3.4M-28.7M-6.2M0.834.7813,06210,794271,006323,474
2019-12-11$105.48$100.0021.4%6.5%19.6%3.9%23.3%3.0%1.2%33.5M-378.6M-6.3M0.525.2626,56113,880274,722330,067
2019-12-12$105.67$100.0021.1%6.4%19.6%2.7%21.9%2.2%1.3%38.4M-405.7M-6.5M0.613.8026,64616,212284,344337,404
2019-12-13$107.67$100.0019.4%5.6%20.2%0.0%20.2%2.7%0.2%57.3M-755.1M-6.4M0.446.4234,51115,232285,655342,742
2019-12-16$109.47$100.0019.0%5.5%20.8%0.0%19.1%2.3%1.1%68.3M-953.2M-6.1M0.293.8038,02211,020275,059338,007
2019-12-17$108.38$100.0019.8%5.7%21.2%2.8%20.1%2.3%1.0%58.2M-744.6M-6.3M0.313.8334,80010,736280,553341,523
2019-12-18$108.01$100.0019.8%5.7%20.4%2.8%20.6%2.1%1.0%64.9M-746.7M-6.4M0.294.6919,4505,625293,657346,070
2019-12-19$108.83$100.0019.7%5.6%19.6%2.5%19.8%2.1%0.4%82.1M-886.1M-6.4M0.305.5229,5088,742297,960347,668
2019-12-20$108.91$100.0018.9%5.4%19.0%0.0%19.9%1.7%0.1%95.8M-893.8M-6.3M0.425.2129,03612,297301,514350,507
2019-12-23$108.44$100.0019.7%5.6%18.4%2.7%20.1%1.2%7.3%61.3M-658.4M-6.3M0.383.6921,5508,218277,818312,688
2019-12-24$108.88$100.0019.7%5.7%16.3%2.6%19.9%2.2%7.1%70.2M-740.2M-6.4M0.453.259,2574,159280,623314,892
2019-12-26$109.62$100.0022.2%5.9%15.2%11.2%21.0%1.3%6.9%88.3M-866.8M-6.3M0.385.1424,5919,407283,280316,774
2019-12-27$109.42$100.0023.5%6.0%14.4%15.8%21.4%2.9%7.0%67.7M-837.2M-6.3M0.234.0728,6876,669290,059320,441
2019-12-30$107.90$102.0027.3%6.2%15.3%31.8%21.9%3.8%-1.2%46.8M-562.1M-6.1M0.274.7931,6848,476280,923315,462
2019-12-31$107.99$104.0028.2%6.1%14.5%35.2%21.4%4.6%-0.6%49.8M-571.2M-6.2M1.214.4813,49016,308287,602319,201