PYPL Options History — January 2020

In January 2020, PYPL traded between $108.94 and $117.67. ATM implied volatility averaged 29.2%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 11.5% (HV 20d: 17.8%). Max pain ranged from $104.00 to $115.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2020-01-30: Highest Volume — 89,534 contracts
  • 2020-01-30: Largest IV drop — 23.2% change
  • 2020-01-27: Highest IV Rank — 87.3%
  • 2020-01-27: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.25$108.94$117.67$110.76$113.77
Max Pain$109.95$104.00$115.00$104.00$115.00
ATM IV29.2%24.2%34.0%28.7%26.9%
Expected Move8.0%6.1%10.2%6.1%7.4%
HV 20d17.8%16.5%19.3%16.6%19.3%
HV 60d23.6%17.8%27.2%27.1%18.4%
IV Rank54.8%30.7%87.3%37.2%46.2%
IV Percentile74.1%34.5%96.8%70.2%54.8%
Term Structure-1.0%-1.7%0.9%-0.4%-0.6%
VWIV28.3%21.5%35.8%21.5%25.8%
Skew 25d2.2%0.5%3.8%3.7%2.0%
Skew 10d5.3%1.0%9.8%9.7%6.2%
Call IV 25d28.5%22.8%32.5%27.8%26.5%
Put IV 25d30.7%26.2%35.2%31.5%28.6%
Bid-Ask Spread %4.241.689.944.149.94
Gamma HHI0.160.070.420.190.07
Net GEX67.7M-2.5M149.6M91.3M-2.5M
Net DEX-1.00B-1.73B-336.2M-1.02B-336.2M
Net VEX-6.1M-6.5M-5.7M-6.2M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.270.880.280.56
Total Volume46,83829,22589,53450,85249,769
Total OI563,178.286416,471672,935622,102510,638

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$110.76$104.0028.7%6.1%16.6%37.2%21.5%3.7%-0.4%91.3M-1.02B-6.2M0.284.1439,76711,085290,507331,595
2020-01-03$108.94$105.0029.4%6.3%17.7%39.9%22.2%1.3%-0.5%82.8M-668.4M-6.2M0.505.9421,27910,682288,984335,374
2020-01-06$109.81$110.0029.6%7.8%17.8%48.6%29.3%3.8%-1.0%57.9M-780.5M-6.0M0.693.9817,99212,474278,002328,993
2020-01-07$109.82$105.0029.6%7.8%17.7%48.5%27.6%3.8%-1.2%61.5M-798.5M-6.0M0.323.9636,86111,944282,858334,685
2020-01-08$112.28$105.0029.5%8.0%18.7%50.2%27.8%3.5%-0.9%95.7M-1.21B-6.2M0.287.4365,21318,214300,116339,485
2020-01-09$112.33$105.0029.5%8.0%18.5%50.8%27.2%3.0%-1.1%100.7M-1.22B-6.2M0.543.2629,71116,017306,487342,884
2020-01-10$112.96$110.0028.9%7.6%17.6%50.4%28.4%2.8%-1.3%113.1M-1.33B-6.1M0.652.6130,52419,907313,264351,279
2020-01-13$115.27$110.0029.2%7.8%18.6%55.8%27.8%2.5%-1.5%116.7M-1.60B-6.0M0.342.0035,63012,138301,912348,717
2020-01-14$114.88$110.0028.9%7.8%18.0%53.7%27.6%1.7%-1.7%117.7M-1.51B-5.9M0.553.0921,26411,709301,475352,720
2020-01-15$114.72$110.0028.8%7.8%17.3%57.2%28.5%1.8%-1.5%123.7M-1.49B-5.8M0.573.8723,59413,443305,773357,454
2020-01-16$115.34$110.0027.8%7.6%16.7%51.6%26.6%1.7%-1.5%149.6M-1.60B-5.8M0.335.4822,4477,326306,843364,121
2020-01-17$115.94$110.0027.6%7.6%16.6%50.3%26.5%1.3%-1.5%61.2M-1.73B-5.7M0.275.2252,20414,167306,280366,655
2020-01-21$116.15$110.0029.2%8.3%16.5%59.6%29.1%0.9%-1.4%38.2M-779.4M-5.8M0.791.6816,29612,929180,073236,398
2020-01-22$115.60$110.0028.8%8.3%16.7%57.4%29.1%0.5%-1.3%39.6M-732.2M-5.9M0.873.5017,32415,017184,670242,923
2020-01-23$117.67$110.0029.3%8.5%17.3%60.3%30.4%1.0%-1.7%40.0M-910.3M-5.9M0.544.0627,40214,823185,883250,727
2020-01-24$116.91$111.0030.9%9.0%17.7%69.4%31.3%1.5%-1.4%40.0M-806.4M-6.2M0.593.9930,25217,948190,938257,908
2020-01-27$115.26$115.0034.0%10.2%18.7%87.3%35.8%2.6%-0.5%15.4M-524.5M-6.4M0.824.1516,79813,807179,646253,892
2020-01-28$116.88$114.0031.5%9.5%19.1%73.1%33.5%2.4%-1.3%22.1M-664.5M-6.4M0.853.4319,63316,710185,086261,311
2020-01-29$117.01$115.0031.5%9.7%18.0%73.2%34.0%1.7%-0.7%21.5M-671.1M-6.5M0.882.8237,04032,724190,288270,719
2020-01-30$116.85$115.0024.2%6.7%18.0%30.7%23.8%3.4%0.9%36.4M-683.0M-6.2M0.714.4052,49337,041217,866291,315
2020-01-31$113.77$115.0026.9%7.4%19.3%46.2%25.8%2.0%-0.6%-2.5M-336.2M-6.5M0.569.9431,91517,854218,390292,248