PYPL Options History — December 2020

In December 2020, PYPL traded between $210.54 and $243.03. ATM implied volatility averaged 37.0%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 0.8% (HV 20d: 37.7%). Max pain ranged from $155.00 to $205.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.41.

Notable Days

2020-12-16: Highest Volume — 167,812 contracts
2020-12-22: Largest IV drop — 5.2% change
2020-12-21: Highest IV Rank — 27.5%
2020-12-02: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$225.84	$210.54	$243.03	$217.07	$232.69
Max Pain	$172.50	$155.00	$205.00	$200.00	$180.00
ATM IV	37.0%	35.8%	38.5%	37.1%	38.0%
Expected Move	10.5%	9.7%	10.9%	10.8%	9.7%
HV 20d	37.7%	30.3%	58.2%	58.2%	30.3%
HV 60d	46.1%	45.1%	48.1%	48.1%	45.1%
IV Rank	24.5%	21.2%	27.5%	25.6%	23.6%
IV Percentile	43.7%	35.7%	51.6%	45.6%	48.8%
Term Structure	1.4%	-1.4%	4.7%	0.3%	4.2%
VWIV	37.6%	35.0%	38.7%	38.5%	35.0%
Skew 25d	1.9%	0.0%	3.6%	2.5%	2.8%
Skew 10d	4.0%	1.0%	7.6%	3.7%	6.2%
Call IV 25d	36.5%	34.1%	38.7%	36.5%	37.3%
Put IV 25d	38.4%	36.7%	40.2%	39.1%	40.1%
Bid-Ask Spread %	8.84	1.80	33.67	5.29	2.98
Gamma HHI	0.12	0.09	0.16	0.13	0.09
Net GEX	109.4M	70.0M	144.9M	123.3M	87.7M
Net DEX	-4.73B	-6.54B	-3.33B	-4.53B	-4.29B
Net VEX	-14.2M	-15.0M	-13.5M	-14.9M	-13.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.20	0.69	0.20	0.69
Total Volume	75,039.636	36,636	167,812	141,594	39,089
Total OI	694,171.773	632,037	769,033	686,709	669,191

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
2020-12-01	$217.07	$200.00	37.1%	10.8%	58.2%	25.6%	38.5%	2.5%	0.3%	123.3M	-4.53B	-14.9M	0.20	5.29	118,454	23,140	376,875	309,834
2020-12-02	$212.55	$205.00	37.1%	10.9%	55.9%	25.5%	38.7%	0.9%	0.6%	97.5M	-3.70B	-15.0M	0.35	8.22	48,483	16,929	374,509	316,742
2020-12-03	$214.67	$155.00	36.0%	10.8%	49.4%	24.0%	38.3%	1.2%	1.4%	119.2M	-4.05B	-14.7M	0.41	9.60	36,457	15,085	381,434	321,230
2020-12-04	$217.55	$160.00	36.5%	10.5%	47.0%	24.6%	37.5%	1.0%	2.1%	131.0M	-4.46B	-14.5M	0.39	3.80	57,226	22,592	382,806	325,323
2020-12-07	$217.20	$160.00	36.8%	10.6%	47.0%	25.1%	38.1%	2.0%	0.2%	107.5M	-4.29B	-14.5M	0.40	29.34	31,242	12,576	369,877	314,695
2020-12-08	$217.47	$160.00	37.0%	10.7%	33.8%	25.3%	38.4%	2.9%	0.1%	115.6M	-4.36B	-14.5M	0.36	5.44	39,854	14,160	379,449	319,443
2020-12-09	$210.54	$160.00	36.4%	10.7%	35.5%	24.5%	38.1%	3.6%	1.1%	90.4M	-3.33B	-14.9M	0.37	33.67	61,659	22,842	385,473	325,075
2020-12-10	$216.13	$165.00	36.7%	10.5%	32.7%	24.9%	37.5%	3.6%	0.3%	123.8M	-4.20B	-14.5M	0.33	15.76	44,332	14,673	391,272	331,285
2020-12-11	$213.17	$165.00	36.3%	10.7%	32.2%	24.4%	37.9%	1.8%	1.1%	87.1M	-3.73B	-14.8M	0.69	14.33	33,036	22,903	393,253	333,617
2020-12-14	$221.24	$165.00	37.3%	10.7%	33.8%	25.8%	37.9%	2.7%	-0.8%	115.9M	-4.82B	-14.1M	0.37	10.82	89,129	33,392	377,078	323,209
2020-12-15	$221.07	$170.00	35.8%	10.3%	33.9%	23.7%	36.8%	2.7%	0.5%	118.2M	-4.84B	-14.0M	0.36	10.42	44,331	15,885	385,317	335,333
2020-12-16	$230.72	$170.00	37.0%	10.6%	36.2%	25.4%	38.0%	1.7%	1.0%	131.5M	-6.14B	-13.5M	0.21	7.24	139,170	28,642	393,780	338,855
2020-12-17	$234.64	$170.00	37.1%	10.7%	35.4%	25.5%	38.1%	0.0%	-1.4%	144.9M	-6.54B	-13.6M	0.29	10.80	101,401	29,192	405,986	344,663
2020-12-18	$232.88	$170.00	37.8%	10.7%	35.8%	26.5%	38.7%	1.4%	0.4%	125.3M	-6.24B	-14.2M	0.55	5.25	41,183	22,573	417,169	351,864
2020-12-21	$237.76	$175.00	38.5%	10.8%	36.0%	27.5%	38.2%	2.6%	1.3%	103.4M	-5.17B	-13.7M	0.39	6.40	48,486	18,983	345,902	286,135
2020-12-22	$243.03	$175.00	36.5%	10.3%	35.1%	23.8%	37.2%	1.2%	2.0%	118.4M	-5.68B	-14.0M	0.27	3.07	76,844	20,790	353,940	291,629
2020-12-23	$240.55	$175.00	36.5%	10.4%	35.3%	23.9%	37.2%	1.1%	1.8%	125.3M	-5.45B	-14.1M	0.44	3.76	43,318	19,226	365,943	300,785
2020-12-24	$238.56	$175.00	36.4%	10.2%	32.1%	21.2%	36.3%	1.2%	3.2%	103.3M	-5.15B	-14.5M	0.44	2.47	29,258	12,891	371,778	307,492
2020-12-28	$235.82	$180.00	37.7%	10.2%	30.9%	23.1%	37.0%	1.0%	3.4%	87.1M	-4.72B	-13.8M	0.42	1.84	44,256	18,740	352,893	292,872
2020-12-29	$231.40	$180.00	36.9%	10.4%	31.9%	21.9%	36.9%	0.8%	4.2%	80.2M	-4.22B	-14.1M	0.53	2.27	40,299	21,515	365,166	300,797
2020-12-30	$231.69	$180.00	37.7%	10.1%	31.7%	23.2%	36.4%	2.2%	4.7%	70.0M	-4.18B	-13.8M	0.44	1.80	25,384	11,252	353,746	308,064
2020-12-31	$232.69	$180.00	38.0%	9.7%	30.3%	23.6%	35.0%	2.8%	4.2%	87.7M	-4.29B	-13.6M	0.69	2.98	23,170	15,919	356,493	312,698