PYPL Options History — September 2020

In September 2020, PYPL traded between $174.47 and $211.10. ATM implied volatility averaged 45.2%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 5.4% (HV 20d: 39.8%). Max pain ranged from $170.00 to $190.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2020-09-04: Highest Volume — 126,023 contracts
  • 2020-09-02: Largest IV spike — 22.0% change
  • 2020-09-04: Highest IV Rank — 49.3%
  • 2020-09-04: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$189.50$174.47$211.10$208.89$196.43
Max Pain$185.12$170.00$190.00$170.00$185.00
ATM IV45.2%38.0%54.1%38.0%46.4%
Expected Move12.3%10.3%14.7%10.3%10.9%
HV 20d39.8%25.6%47.8%27.3%47.2%
HV 60d35.8%31.6%37.5%31.6%37.5%
IV Rank36.9%26.8%49.3%26.8%38.5%
IV Percentile79.6%69.4%92.9%69.4%81.7%
Term Structure1.3%-0.8%4.6%0.8%1.3%
VWIV43.8%36.8%53.1%36.8%38.5%
Skew 25d5.0%0.7%11.2%3.1%4.0%
Skew 10d10.4%4.1%15.2%11.8%13.4%
Call IV 25d43.5%38.7%51.5%38.9%44.2%
Put IV 25d48.5%42.0%59.2%42.0%48.1%
Bid-Ask Spread %33.587.7458.1311.407.74
Gamma HHI0.100.060.160.160.11
Net GEX22.3M-20.2M77.4M77.4M51.8M
Net DEX-1.50B-3.05B-385.3M-2.98B-2.01B
Net VEX-9.8M-10.3M-8.3M-8.3M-10.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.310.930.310.53
Total Volume54,765.14334,960126,02349,18644,540
Total OI542,376.714463,191625,362493,901505,907

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$208.89$170.0038.0%10.3%27.3%26.8%36.8%3.1%0.8%77.4M-2.98B-8.3M0.3111.4037,43411,752244,133249,768
2020-09-02$211.10$170.0046.4%11.8%25.6%38.5%41.9%0.7%2.4%70.2M-3.05B-8.8M0.3326.6360,76720,147243,118252,571
2020-09-03$203.64$190.0046.9%14.3%29.0%39.3%51.2%11.2%-0.4%47.7M-2.52B-10.1M0.7155.2748,95634,740266,445265,704
2020-09-04$192.61$190.0054.1%14.7%34.6%49.3%53.1%7.7%-0.4%14.6M-1.62B-10.3M0.7253.2473,20452,819275,368276,035
2020-09-08$186.03$190.0050.6%14.4%34.9%44.5%50.9%7.9%-0.7%11.1M-1.25B-9.9M0.9348.0929,51727,525279,603284,347
2020-09-09$194.58$190.0044.1%13.1%38.0%35.4%45.8%2.2%1.0%34.5M-1.93B-9.9M0.3142.3135,75411,217286,793293,578
2020-09-10$190.21$190.0046.0%13.2%38.8%38.0%46.5%4.2%-0.4%22.5M-1.55B-10.2M0.4254.0533,66814,067292,811296,819
2020-09-11$183.78$190.0042.5%12.6%40.4%33.1%44.3%3.1%2.2%-7.1M-1.01B-9.6M0.9127.6633,42130,515300,292300,944
2020-09-14$187.06$190.0040.6%11.5%41.0%30.3%44.1%4.8%-0.8%4.1M-1.31B-9.5M0.7128.8321,44115,172291,375296,686
2020-09-15$184.96$190.0041.1%11.8%39.4%31.2%42.0%4.5%1.9%-3.9M-1.11B-9.9M0.7227.7820,36514,595294,840300,382
2020-09-16$181.59$190.0041.8%12.0%39.6%32.1%41.3%4.9%1.9%-11.0M-877.9M-9.8M0.5258.1328,25414,823302,811299,604
2020-09-17$174.47$190.0044.7%12.6%41.7%36.2%45.1%6.3%3.9%-20.2M-385.3M-9.4M0.6857.3835,72324,143310,766303,231
2020-09-18$175.64$185.0041.7%11.7%39.9%32.0%41.9%5.1%2.5%-11.9M-461.9M-9.4M0.7335.3627,51419,974316,904308,458
2020-09-21$182.70$185.0043.6%12.3%43.1%34.6%44.7%4.3%4.6%15.7M-1.05B-9.7M0.7230.6837,81627,232227,880235,311
2020-09-22$187.85$185.0046.4%12.2%44.4%38.5%42.8%4.0%0.3%27.7M-1.39B-10.1M0.3442.1439,21713,289235,466248,109
2020-09-23$182.40$180.0049.7%12.7%44.8%43.2%43.9%6.4%0.8%18.9M-1.05B-10.0M0.4214.9328,88612,239246,081250,228
2020-09-24$181.42$180.0048.2%12.6%44.5%41.1%44.4%5.5%0.8%19.7M-991.4M-10.1M0.4429.6324,47810,831252,448253,469
2020-09-25$187.13$180.0046.0%11.3%46.1%38.0%40.2%5.2%0.1%25.5M-1.41B-10.2M0.5030.0625,48612,757257,661257,309
2020-09-28$192.25$182.5045.2%11.3%47.5%36.9%40.4%5.3%1.5%38.2M-1.72B-9.9M0.379.4034,18712,817242,796248,056
2020-09-29$194.79$185.0045.8%11.2%47.8%37.6%39.3%5.2%4.2%43.6M-1.88B-10.0M0.4114.4034,49714,289244,282251,522
2020-09-30$196.43$185.0046.4%10.9%47.2%38.5%38.5%4.0%1.3%51.8M-2.01B-10.0M0.537.7429,09815,442250,101255,806