PYPL Options History — February 2020

In February 2020, PYPL traded between $105.65 and $124.01. ATM implied volatility averaged 27.4%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.6% (HV 20d: 23.8%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2020-02-14: Highest Volume — 80,884 contracts
  • 2020-02-28: Largest IV spike — 20.2% change
  • 2020-02-27: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.57$105.65$124.01$116.72$105.65
Max Pain$110.00$105.00$115.00$115.00$110.00
ATM IV27.4%21.9%47.9%24.4%47.9%
Expected Move7.9%6.2%14.9%6.8%14.9%
HV 20d23.8%19.9%32.6%19.9%32.6%
HV 60d20.1%18.6%23.4%18.6%23.4%
IV Rank44.7%17.3%100.0%32.2%100.0%
IV Percentile48.8%15.1%100.0%37.3%100.0%
Term Structure-0.5%-2.0%0.3%-0.7%-2.0%
VWIV28.2%22.5%50.9%25.9%50.9%
Skew 25d4.4%2.3%12.3%2.5%12.3%
Skew 10d11.0%5.5%20.8%6.2%19.8%
Call IV 25d25.9%21.2%44.2%23.7%44.2%
Put IV 25d30.4%23.9%56.6%26.2%56.6%
Bid-Ask Spread %6.172.4515.362.4515.36
Gamma HHI0.100.060.190.090.06
Net GEX30.5M-17.4M82.2M27.6M-17.4M
Net DEX-629.0M-1.23B398.6M-610.4M398.6M
Net VEX-6.5M-7.8M-6.0M-6.3M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.221.340.801.11
Total Volume37,628.73722,42880,88423,13355,563
Total OI482,755.053453,786517,641453,786513,473

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$116.72$115.0024.4%6.8%19.9%32.2%25.9%2.5%-0.7%27.6M-610.4M-6.3M0.802.4512,81910,314188,929264,857
2020-02-04$119.99$115.0024.2%6.9%21.6%30.7%24.5%3.4%-0.2%43.4M-934.4M-6.1M0.553.7721,96812,148191,071268,574
2020-02-05$119.69$115.0024.4%6.7%21.7%31.8%24.1%2.8%-0.2%40.3M-861.8M-6.2M0.875.1217,93415,619192,265272,427
2020-02-06$119.73$105.0023.1%6.6%20.7%24.6%24.7%2.9%0.1%42.7M-878.9M-6.0M0.765.6013,38310,133193,852277,622
2020-02-07$118.92$105.0023.6%6.7%21.0%27.5%24.4%2.9%-0.3%31.0M-773.0M-6.2M1.346.8711,83415,843198,409283,371
2020-02-10$119.78$105.0023.9%6.8%21.0%29.1%24.3%2.7%-0.1%35.0M-823.2M-6.0M0.385.4316,7436,385187,404276,601
2020-02-11$118.88$110.0023.7%6.7%20.3%27.9%24.0%2.7%-0.3%32.6M-726.6M-6.1M0.563.5623,53313,116190,663279,058
2020-02-12$118.42$110.0022.5%6.4%20.3%20.9%23.1%2.3%-0.5%37.0M-702.4M-6.1M0.975.9011,35811,070197,028282,908
2020-02-13$120.41$110.0022.7%6.5%20.9%22.1%23.2%2.5%0.0%53.4M-927.4M-6.1M0.403.8626,72310,771199,370286,023
2020-02-14$122.76$110.0022.1%6.2%21.8%18.5%22.5%2.7%-0.4%55.2M-1.18B-6.1M0.227.4666,10814,776204,748289,593
2020-02-18$122.31$110.0023.4%6.7%21.9%26.4%24.6%3.3%-0.4%63.4M-1.05B-6.2M0.777.5414,66511,279206,108286,072
2020-02-19$124.01$110.0021.9%6.3%22.2%17.3%22.8%3.4%0.3%82.2M-1.23B-6.1M0.405.8833,74313,569207,916290,535
2020-02-20$122.18$110.0024.6%7.1%23.0%33.0%25.2%3.7%-0.6%46.3M-976.2M-6.3M0.407.3538,10215,156208,829293,444
2020-02-21$119.26$110.0026.6%7.6%24.2%44.5%27.9%4.5%0.0%26.0M-700.1M-6.6M0.796.1016,43812,927216,988300,653
2020-02-24$116.33$110.0031.1%9.1%25.7%70.6%32.5%5.4%-1.0%12.0M-375.5M-6.9M1.052.9714,54615,340189,204271,910
2020-02-25$110.38$110.0035.8%10.4%31.4%97.8%34.8%8.7%-1.6%-7.4M70.3M-7.0M0.877.0527,38323,922191,042279,975
2020-02-26$109.35$110.0035.2%10.3%30.9%94.3%34.7%7.0%-1.2%-11.5M157.1M-7.0M0.806.0020,34016,349200,416288,798
2020-02-27$109.15$110.0039.8%11.9%30.9%100.0%41.9%8.5%-1.3%-11.5M168.0M-7.5M0.908.9222,71420,332206,882295,328
2020-02-28$105.65$110.0047.9%14.9%32.6%100.0%50.9%12.3%-2.0%-17.4M398.6M-7.8M1.1115.3626,35429,209213,259300,214