PFE Options History — March 2013

In March 2013, PFE traded between $25.99 and $27.38. ATM implied volatility averaged 13.1%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.5% (HV 20d: 13.5%). Max pain ranged from $24.67 to $25.62. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2013-03-15: Highest Volume — 49,669 contracts
  • 2013-03-14: Largest IV spike — 17.6% change
  • 2013-03-04: Highest IV Rank — 16.9%
  • 2013-03-01: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.71$25.99$27.38$25.99$27.38
Max Pain$25.57$24.67$25.62$25.62$25.62
ATM IV13.1%10.8%16.1%13.7%12.7%
Expected Move3.9%3.5%4.3%4.3%3.6%
HV 20d13.5%11.2%16.2%16.2%11.3%
HV 60d16.1%15.7%16.5%16.4%15.8%
IV Rank7.2%0.0%16.9%8.8%6.5%
IV Percentile12.7%0.0%54.8%19.8%6.3%
Term Structure1.9%0.5%2.7%0.5%2.7%
VWIV14.0%12.9%15.6%14.0%13.9%
Skew 25d2.4%1.7%3.3%2.9%1.7%
Skew 10d6.1%3.9%9.2%4.2%5.3%
Call IV 25d12.9%11.9%14.3%13.4%12.6%
Put IV 25d15.2%14.1%17.5%16.4%14.3%
Bid-Ask Spread %3.552.366.886.883.35
Gamma HHI0.310.180.690.270.19
Net GEX37.3M21.1M105.8M29.0M24.8M
Net DEX-401.0M-502.1M-274.0M-274.0M-495.9M
Net VEX-4.0M-4.1M-3.9M-4.1M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.250.830.830.37
Total Volume24,607.258,90849,6698,90838,117
Total OI936,596.7836,4531,022,547974,350897,410

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$25.99$25.6213.7%4.3%16.2%8.8%14.0%2.9%0.5%29.0M-274.0M-4.1M0.836.884,8684,040473,831500,519
2013-03-04$26.27$24.6716.1%4.3%16.0%16.9%15.6%3.3%1.1%33.6M-337.8M-4.1M0.474.9918,4038,664471,241494,878
2013-03-05$26.63$25.6215.0%4.3%15.4%13.1%15.1%2.7%1.4%36.6M-445.1M-4.1M0.353.7032,54911,496477,024501,503
2013-03-06$26.68$25.6213.2%4.2%14.8%7.1%14.8%2.6%1.4%36.1M-448.9M-4.1M0.264.4812,3913,178480,065504,814
2013-03-07$26.82$25.6212.4%4.2%14.6%4.1%15.5%3.0%1.3%35.5M-499.8M-4.0M0.523.3510,4395,379483,578505,331
2013-03-08$26.75$25.6212.3%4.2%13.6%3.9%14.6%2.9%1.2%38.0M-473.8M-4.0M0.802.367,1845,761485,610507,113
2013-03-11$26.80$25.6212.8%4.0%13.4%5.5%14.4%2.3%1.8%43.1M-502.1M-4.0M0.513.1228,59614,670486,572506,631
2013-03-12$26.51$25.6212.0%3.9%14.0%2.9%14.1%2.5%2.0%53.0M-388.5M-4.0M0.422.8719,0398,026492,584514,609
2013-03-13$26.58$25.6210.8%3.7%13.7%0.0%13.4%1.8%2.2%59.3M-410.2M-3.9M0.813.2712,0969,818493,003516,949
2013-03-14$26.67$25.6212.7%3.6%13.7%6.4%12.9%2.3%1.9%68.8M-451.0M-3.9M0.743.7114,03710,337492,461518,512
2013-03-15$26.58$25.6212.7%3.6%13.9%6.2%13.0%2.1%2.2%105.8M-404.0M-4.0M0.573.5731,57518,094495,450527,097
2013-03-18$26.60$25.6213.2%3.8%13.6%8.1%13.6%2.0%2.1%21.3M-295.1M-3.9M0.683.759,1506,248426,274410,179
2013-03-19$26.56$25.6213.5%3.9%12.6%9.2%13.7%2.2%1.6%21.1M-290.7M-3.9M0.253.7226,1466,453429,639413,522
2013-03-20$26.84$25.6213.2%3.8%12.9%8.0%13.3%2.6%2.2%23.6M-367.8M-4.0M0.293.0014,3344,214442,004416,665
2013-03-21$26.67$25.6213.5%3.9%13.0%9.0%13.4%2.2%2.3%23.2M-329.6M-4.0M0.743.835,7474,281446,526418,162
2013-03-22$26.93$25.6213.5%3.9%13.3%9.2%13.6%2.5%2.4%23.9M-384.1M-4.0M0.563.308,6914,899448,187420,013
2013-03-25$26.72$25.6213.2%3.8%11.2%8.0%13.5%2.2%2.6%23.5M-337.6M-4.0M0.722.6016,83912,075445,098418,146
2013-03-26$27.13$25.6212.5%3.6%12.0%5.6%13.1%1.7%2.0%22.5M-434.2M-4.0M0.602.7220,17412,028452,857425,526
2013-03-27$27.17$25.6212.3%3.5%11.3%4.9%14.7%1.8%2.5%23.1M-449.4M-3.9M0.592.407,6054,504462,757429,594
2013-03-28$27.38$25.6212.7%3.6%11.3%6.5%13.9%1.7%2.7%24.8M-495.9M-3.9M0.373.3527,74210,375466,703430,707