PYPL Options History — January 2021

In January 2021, PYPL traded between $227.11 and $250.50. ATM implied volatility averaged 47.0%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 14.0% (HV 20d: 33.0%). Max pain ranged from $210.00 to $230.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-01-13: Highest Volume — 105,268 contracts
  • 2021-01-27: Largest IV spike — 9.7% change
  • 2021-01-29: Highest IV Rank — 49.2%
  • 2021-01-29: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$240.01$227.11$250.50$231.98$233.44
Max Pain$223.68$210.00$230.00$230.00$230.00
ATM IV47.0%41.9%55.5%44.6%55.5%
Expected Move13.5%11.7%17.0%12.6%17.0%
HV 20d33.0%30.2%39.6%30.4%39.6%
HV 60d45.0%43.5%46.1%45.1%44.0%
IV Rank36.8%29.3%49.2%33.3%49.2%
IV Percentile72.9%57.9%92.5%66.3%92.5%
Term Structure-1.5%-2.5%-0.1%-1.3%-2.2%
VWIV48.3%41.7%60.5%46.0%60.5%
Skew 25d-0.1%-2.5%3.0%2.5%3.0%
Skew 10d-0.0%-6.6%7.6%7.4%4.5%
Call IV 25d48.2%42.7%56.0%45.7%56.0%
Put IV 25d48.1%43.2%58.9%48.1%58.9%
Bid-Ask Spread %12.613.6122.6111.8620.25
Gamma HHI0.130.060.420.100.09
Net GEX84.9M4.0M171.2M71.5M4.0M
Net DEX-3.72B-5.74B-1.38B-4.15B-1.67B
Net VEX-14.2M-15.7M-13.3M-13.6M-15.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.280.870.550.87
Total Volume69,991.05336,484105,26859,61665,608
Total OI588,527.579431,509725,007645,457526,284

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$231.98$230.0044.6%12.6%30.4%33.3%46.0%2.5%-1.3%71.5M-4.15B-13.6M0.5511.8638,47021,146340,767304,690
2021-01-05$234.85$220.0042.3%12.0%30.3%29.8%43.4%2.1%-0.3%81.3M-4.38B-13.6M0.5114.2425,14312,904343,217310,325
2021-01-06$227.11$210.0043.1%12.0%33.1%31.1%43.3%2.2%-0.1%64.6M-3.51B-13.9M0.4620.2847,06621,660347,651314,199
2021-01-07$235.22$210.0041.9%11.7%35.1%29.3%41.7%0.5%-0.4%101.7M-4.58B-13.7M0.6213.2138,80623,998358,366323,834
2021-01-08$242.39$220.0043.0%11.8%33.5%30.8%42.7%0.0%-1.4%110.5M-5.43B-13.3M0.4912.8658,66728,825360,256329,642
2021-01-11$238.26$220.0045.1%12.7%33.7%34.0%44.7%-0.8%-0.6%90.9M-4.75B-13.6M0.6610.4644,86029,533355,472321,915
2021-01-12$238.14$220.0045.5%12.5%33.1%34.6%45.0%-0.8%-1.5%99.4M-4.76B-14.2M0.5510.2623,48313,001367,580331,697
2021-01-13$245.73$220.0045.7%12.7%32.4%34.9%44.8%-1.0%-1.1%119.2M-5.74B-13.7M0.2813.3482,44822,820371,551334,523
2021-01-14$243.58$220.0046.3%12.8%32.7%35.8%45.3%-1.3%-2.2%117.4M-5.36B-13.9M0.6413.1146,54529,694373,187337,226
2021-01-15$239.74$220.0044.8%12.5%30.2%33.5%44.4%-0.7%-1.8%171.2M-4.89B-13.8M0.4712.7750,22323,654374,596350,411
2021-01-19$247.50$220.0046.0%13.1%31.6%35.2%46.2%-1.2%-1.6%80.3M-2.96B-13.6M0.416.6751,12421,219242,595188,914
2021-01-20$245.38$230.0046.2%13.2%31.7%35.5%46.8%-1.5%-2.0%79.2M-2.84B-13.9M0.386.7331,46512,081255,770197,018
2021-01-21$249.79$230.0047.2%13.6%31.5%37.0%47.8%-1.9%-1.8%100.7M-3.27B-13.9M0.338.7071,66623,803262,170200,813
2021-01-22$250.50$230.0047.6%13.9%30.6%37.5%50.2%-2.5%-2.5%143.5M-3.45B-14.3M0.363.6177,11627,384277,096208,053
2021-01-25$247.39$230.0049.6%14.8%30.8%40.6%52.8%-1.9%-1.5%71.1M-2.92B-14.6M0.6310.0842,94826,903266,426203,637
2021-01-26$241.08$230.0050.3%15.1%32.1%41.5%53.5%-0.9%-1.7%49.9M-2.35B-15.1M0.527.1328,31514,770275,475211,553
2021-01-27$229.38$230.0055.1%16.9%36.6%48.6%60.5%1.7%-2.4%17.0M-1.38B-15.2M0.7122.6155,60439,564278,093217,225
2021-01-28$238.65$230.0053.4%16.3%38.7%46.1%57.3%0.2%-2.0%40.2M-2.21B-15.7M0.6321.3735,07022,244289,503230,294
2021-01-29$233.44$230.0055.5%17.0%39.6%49.2%60.5%3.0%-2.2%4.0M-1.67B-15.7M0.8720.2535,16430,444292,090234,194