PYPL Options History — September 2021

In September 2021, PYPL traded between $259.22 and $293.16. ATM implied volatility averaged 26.8%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 1.4% (HV 20d: 25.4%). Max pain ranged from $270.00 to $277.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2021-09-08: Highest Volume — 188,045 contracts
  • 2021-09-20: Largest IV spike — 21.9% change
  • 2021-09-29: Highest IV Rank — 29.5%
  • 2021-09-20: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$278.15$259.22$293.16$286.62$260.81
Max Pain$270.36$270.00$277.50$277.50$270.00
ATM IV26.8%24.1%32.5%24.8%32.2%
Expected Move7.6%6.4%9.0%6.4%8.7%
HV 20d25.4%21.9%28.2%22.4%27.6%
HV 60d25.7%24.9%27.2%25.2%27.1%
IV Rank12.3%3.9%29.5%6.2%28.5%
IV Percentile11.2%0.8%29.8%2.8%29.0%
Term Structure1.2%-0.2%4.5%0.6%2.4%
VWIV27.2%23.6%31.7%23.6%31.5%
Skew 25d4.4%0.8%8.7%0.8%7.1%
Skew 10d9.8%3.1%16.7%3.1%14.5%
Call IV 25d25.8%22.5%30.0%25.3%29.8%
Put IV 25d30.2%25.4%37.0%26.1%36.9%
Bid-Ask Spread %10.092.6920.368.695.20
Gamma HHI0.110.060.650.100.07
Net GEX50.8M-115.5M753.5M135.5M-66.5M
Net DEX-1.67B-3.73B613.8M-3.03B437.0M
Net VEX-23.3M-24.5M-22.3M-24.4M-23.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.211.030.210.71
Total Volume70,839.47634,854188,04594,39840,755
Total OI696,247.905590,358773,790728,225682,268

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$286.62$277.5024.8%6.4%22.4%6.2%23.6%0.8%0.6%135.5M-3.03B-24.4M0.218.6978,26216,136350,389377,836
2021-09-02$285.68$270.0024.7%7.3%21.9%5.9%26.3%0.9%0.8%134.1M-2.86B-24.5M0.3917.6255,01221,633375,287391,533
2021-09-03$289.93$270.0024.1%7.2%22.4%3.9%25.7%1.3%0.8%753.5M-3.73B-24.2M0.3416.7175,64026,064378,733394,178
2021-09-07$293.16$270.0025.9%7.6%22.5%9.5%27.6%2.1%0.6%124.0M-3.71B-23.9M0.2120.36129,37927,411337,865375,872
2021-09-08$284.41$270.0027.0%7.9%24.6%12.9%28.1%2.1%0.5%29.3M-2.36B-23.9M0.2612.60148,79839,247344,258380,525
2021-09-09$287.57$270.0026.1%7.5%24.7%9.9%27.4%2.0%0.4%72.1M-2.86B-24.1M0.4015.8251,53220,714358,704386,752
2021-09-10$284.25$270.0026.7%7.8%25.0%11.8%28.0%2.8%1.0%-17.7M-2.22B-24.3M0.5710.2643,59624,685381,643392,147
2021-09-13$279.84$270.0026.8%7.7%25.8%12.3%27.6%4.5%0.5%-868.3K-1.65B-23.4M0.5913.7237,03421,908341,394371,582
2021-09-14$281.66$270.0026.5%7.6%25.6%11.3%26.9%5.0%0.5%8.5M-1.91B-23.0M0.6817.2726,03517,771343,105374,728
2021-09-15$283.03$270.0025.3%7.3%23.4%7.7%25.8%4.0%-0.2%31.0M-2.29B-22.3M0.6119.9325,23815,518347,179378,738
2021-09-16$282.97$270.0024.8%7.1%23.4%6.1%25.6%4.8%0.1%20.6M-2.16B-22.8M0.6911.3822,79115,752348,738384,932
2021-09-17$277.21$270.0025.3%7.1%24.7%7.5%25.7%5.6%1.6%-115.5M-1.14B-22.5M0.914.3240,37836,690350,072388,252
2021-09-20$268.07$270.0030.8%9.0%27.5%24.3%31.7%8.7%1.3%-22.2M-485.2M-22.3M0.934.8235,96633,452277,900312,458
2021-09-21$270.18$270.0028.4%8.0%26.9%17.1%27.9%7.8%1.6%-28.5M-558.1M-22.6M0.464.9828,91713,437290,655323,733
2021-09-22$273.07$270.0025.8%7.3%27.1%9.1%25.9%6.2%1.3%-10.8M-860.1M-22.9M0.816.8329,21923,547298,769333,671
2021-09-23$278.95$270.0024.1%6.7%28.2%3.9%24.2%3.6%1.4%48.5M-1.72B-23.1M0.552.6940,95022,424306,086338,012
2021-09-24$277.77$270.0024.3%6.6%27.8%4.7%24.3%4.4%1.9%78.2M-1.59B-23.3M1.033.4219,42520,049311,714347,976
2021-09-27$273.92$270.0026.1%6.9%27.7%10.1%25.2%4.6%4.5%3.1M-1.11B-22.8M0.782.9319,60615,248300,280334,093
2021-09-28$262.78$270.0031.3%8.9%27.1%25.8%30.7%6.8%2.0%-46.0M127.9M-22.7M0.837.3940,76533,986303,984344,502
2021-09-29$259.22$270.0032.5%8.7%27.3%29.5%30.4%7.0%2.2%-63.5M613.8M-22.4M0.834.9628,75223,907309,312351,351
2021-09-30$260.81$270.0032.2%8.7%27.6%28.5%31.5%7.1%2.4%-66.5M437.0M-23.0M0.715.2023,82616,929320,036362,232