PYPL Options History — March 2020

In March 2020, PYPL traded between $84.49 and $114.64. ATM implied volatility averaged 60.4%, placing in the 78.1% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 6.1% (HV 20d: 66.5%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.03.

Notable Days

2020-03-12: Highest Volume — 37,786 contracts
2020-03-05: Largest IV spike — 33.0% change
2020-03-06: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 25.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.58	$84.49	$114.64	$111.22	$96.10
Max Pain	$107.41	$100.00	$110.00	$110.00	$100.00
ATM IV	60.4%	33.9%	90.3%	38.3%	59.3%
Expected Move	17.2%	9.7%	25.9%	11.1%	16.3%
HV 20d	66.5%	35.8%	98.4%	37.1%	96.7%
HV 60d	42.6%	25.6%	60.1%	25.6%	60.0%
IV Rank	78.1%	49.1%	100.0%	67.0%	56.6%
IV Percentile	98.5%	95.2%	100.0%	99.2%	95.2%
Term Structure	-2.0%	-6.8%	3.7%	-1.1%	-2.8%
VWIV	60.5%	37.0%	89.0%	42.7%	55.5%
Skew 25d	16.9%	7.9%	30.6%	10.6%	14.5%
Skew 10d	31.7%	-2.4%	54.5%	18.4%	30.6%
Call IV 25d	51.8%	30.9%	75.4%	33.4%	48.2%
Put IV 25d	68.8%	40.4%	106.0%	44.0%	62.7%
Bid-Ask Spread %	20.70	7.70	47.81	12.22	12.15
Gamma HHI	0.06	0.05	0.12	0.06	0.06
Net GEX	-14.1M	-28.2M	6.8M	-6.7M	-16.9M
Net DEX	510.4M	-331.2M	1.28B	-35.5M	607.3M
Net VEX	-7.5M	-8.3M	-6.1M	-7.6M	-6.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.47	2.07	1.07	0.48
Total Volume	26,965.182	18,282	37,786	25,631	22,692
Total OI	503,474.818	430,038	548,337	509,691	462,040

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-03-02	$111.22	$110.00	38.3%	11.1%	37.1%	67.0%	42.7%	10.6%	-1.1%	-6.7M	-35.5M	-7.6M	1.07	12.22	12,352	13,279	204,755	304,936
2020-03-03	$110.54	$110.00	38.9%	11.9%	35.8%	68.9%	42.2%	11.6%	-1.2%	-7.6M	14.4M	-7.7M	1.05	15.67	13,284	13,928	206,693	305,881
2020-03-04	$114.64	$110.00	33.9%	9.7%	36.9%	51.7%	37.0%	9.5%	-0.4%	6.8M	-331.2M	-7.5M	0.73	7.70	10,993	8,038	209,222	304,211
2020-03-05	$111.92	$110.00	45.1%	12.3%	37.7%	90.3%	46.1%	10.5%	-2.0%	-2.8M	-73.3M	-8.0M	1.26	13.03	11,323	14,240	209,975	308,327
2020-03-06	$110.08	$110.00	51.2%	13.9%	38.0%	100.0%	54.9%	19.2%	3.7%	-9.2M	84.4M	-8.3M	0.92	26.26	15,334	14,059	212,615	311,325
2020-03-09	$103.19	$110.00	58.3%	15.5%	43.6%	100.0%	56.6%	17.9%	-3.1%	-15.7M	523.8M	-8.0M	1.41	18.11	14,405	20,302	205,886	303,633
2020-03-10	$109.51	$110.00	48.0%	13.5%	49.4%	73.9%	47.5%	7.9%	-1.4%	-6.6M	90.8M	-8.2M	1.15	23.27	12,052	13,842	210,991	310,048
2020-03-11	$104.37	$110.00	58.1%	15.3%	51.8%	99.5%	55.8%	15.9%	-6.1%	-15.5M	450.8M	-8.1M	2.07	15.02	6,195	12,793	216,692	314,981
2020-03-12	$99.77	$110.00	68.4%	19.7%	53.6%	100.0%	81.0%	21.8%	0.7%	-18.8M	715.6M	-8.0M	1.86	19.53	13,216	24,570	218,180	319,343
2020-03-13	$105.42	$110.00	60.3%	16.5%	57.6%	83.8%	61.1%	24.0%	-3.7%	-13.8M	416.4M	-8.3M	1.52	19.68	11,942	18,169	220,644	325,449
2020-03-16	$97.80	$110.00	75.0%	21.5%	61.5%	100.0%	71.1%	19.0%	-5.9%	-19.4M	799.6M	-7.8M	1.12	47.81	14,718	16,554	212,274	318,818
2020-03-17	$97.55	$110.00	70.7%	20.1%	61.5%	92.2%	68.3%	25.2%	-3.6%	-22.4M	851.8M	-7.7M	1.02	20.67	13,048	13,353	217,124	321,553
2020-03-18	$87.75	$110.00	90.3%	25.9%	69.2%	100.0%	89.0%	30.6%	-6.0%	-21.9M	1.22B	-6.9M	1.16	17.64	12,589	14,655	219,453	323,880
2020-03-19	$95.79	$110.00	80.1%	23.3%	78.6%	85.8%	72.6%	27.4%	-6.6%	-24.4M	891.0M	-7.5M	0.76	35.42	19,689	15,059	221,080	323,774
2020-03-20	$88.48	$110.00	72.7%	21.4%	82.1%	75.3%	72.2%	19.6%	-6.8%	-28.2M	1.28B	-6.6M	0.86	33.25	20,172	17,254	223,290	325,047
2020-03-23	$84.49	$105.00	74.8%	21.3%	82.8%	78.3%	71.3%	18.5%	1.6%	-16.1M	967.8M	-6.1M	0.82	16.84	14,809	12,153	166,325	263,713
2020-03-24	$96.97	$105.00	63.3%	17.6%	97.9%	62.3%	59.7%	13.8%	0.1%	-14.1M	537.2M	-7.1M	0.58	35.02	19,636	11,379	171,469	265,891
2020-03-25	$97.51	$101.00	63.0%	19.2%	97.9%	61.8%	63.5%	12.8%	1.5%	-12.6M	498.4M	-7.2M	0.47	22.95	12,407	5,875	178,397	270,434
2020-03-26	$98.31	$101.00	53.9%	17.5%	98.1%	49.1%	63.7%	13.8%	3.0%	-12.4M	469.7M	-7.1M	0.99	19.68	9,199	9,117	181,522	271,929
2020-03-27	$94.46	$101.00	63.6%	18.3%	98.4%	62.6%	62.0%	11.7%	2.6%	-17.1M	681.2M	-6.9M	0.54	15.57	13,884	7,498	185,876	278,277
2020-03-30	$96.80	$100.00	61.3%	16.3%	96.7%	59.4%	56.7%	16.9%	-6.2%	-15.5M	560.9M	-6.9M	0.73	7.86	13,417	9,761	177,757	272,736
2020-03-31	$96.10	$100.00	59.3%	16.3%	96.7%	56.6%	55.5%	14.5%	-2.8%	-16.9M	607.3M	-6.9M	0.48	12.15	15,286	7,406	184,498	277,542