PFE Options History — April 2013

In April 2013, PFE traded between $27.36 and $29.49. ATM implied volatility averaged 18.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.1% (HV 20d: 15.4%). Max pain ranged from $25.62 to $27.51. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2013-04-30: Highest Volume — 144,569 contracts
  • 2013-04-30: Largest IV drop — 28.6% change
  • 2013-04-29: Highest IV Rank — 69.5%
  • 2013-04-29: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.52$27.36$29.49$27.36$27.58
Max Pain$26.57$25.62$27.51$25.62$27.51
ATM IV18.5%14.0%31.4%14.0%22.4%
Expected Move5.0%3.8%6.1%3.8%5.2%
HV 20d15.4%11.3%24.9%11.4%24.9%
HV 60d15.6%14.4%18.2%14.5%18.2%
IV Rank26.0%10.9%69.5%10.9%39.2%
IV Percentile69.9%27.0%98.8%27.0%93.3%
Term Structure-0.7%-3.2%2.9%2.4%-0.7%
VWIV18.5%14.8%21.3%15.9%19.3%
Skew 25d2.9%1.9%4.1%2.1%1.9%
Skew 10d6.4%1.9%8.5%5.2%1.9%
Call IV 25d16.7%13.0%20.4%13.0%18.3%
Put IV 25d19.6%15.2%22.4%15.2%20.2%
Bid-Ask Spread %4.292.666.165.113.75
Gamma HHI0.200.170.270.200.17
Net GEX27.5M22.8M31.4M26.8M22.8M
Net DEX-727.9M-1.01B-378.2M-536.4M-378.2M
Net VEX-4.1M-4.6M-3.4M-3.5M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.141.250.690.84
Total Volume49,441.77310,488144,56928,722144,569
Total OI1,018,896.318906,7411,108,634906,7411,075,454

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$27.36$25.6214.0%3.8%11.4%10.9%15.9%2.1%2.4%26.8M-536.4M-3.5M0.695.1117,01611,706473,050433,691
2013-04-02$27.73$25.6216.1%4.0%11.7%17.9%14.8%2.3%2.9%28.5M-654.6M-3.4M0.642.8537,61723,947479,272440,355
2013-04-03$27.54$25.6216.2%4.1%11.4%18.3%15.7%2.2%2.2%25.6M-538.9M-3.8M0.633.1636,25122,958487,631454,841
2013-04-04$27.67$25.6215.0%4.2%11.4%14.1%15.4%3.1%2.4%26.2M-586.0M-4.0M0.812.6617,19113,964502,740466,521
2013-04-05$27.61$26.5715.0%4.9%11.4%14.3%17.3%3.6%-1.2%24.8M-553.0M-4.3M0.363.257,7372,751510,001472,568
2013-04-08$27.67$26.5717.4%5.0%11.3%22.4%18.0%3.3%-1.4%26.2M-599.7M-4.1M1.085.767,3597,952507,938471,447
2013-04-09$27.62$26.5717.7%5.0%11.4%23.2%18.5%3.0%-1.4%26.2M-556.2M-4.2M0.894.8613,24511,749510,234474,236
2013-04-10$28.39$26.5715.2%4.9%13.7%14.8%17.9%3.0%-1.3%23.9M-753.0M-4.0M0.155.2176,93711,170514,861479,592
2013-04-11$29.07$26.5717.6%5.1%15.5%23.0%18.8%2.5%-1.1%31.4M-946.8M-3.9M0.364.8883,60730,493553,606483,349
2013-04-12$29.10$26.5717.4%5.0%15.5%22.3%19.2%2.3%-0.9%28.7M-916.8M-4.0M1.253.9027,75634,628561,731494,703
2013-04-15$28.89$26.5719.5%5.6%15.9%29.2%19.4%2.5%-2.3%29.2M-853.1M-4.1M0.435.3328,60512,196563,753492,301
2013-04-16$29.35$26.5718.2%5.2%16.3%24.8%18.5%2.9%-1.4%28.5M-959.4M-4.0M0.443.5841,82918,296569,883497,786
2013-04-17$29.29$26.5718.9%5.4%16.4%27.3%20.0%3.0%-1.3%29.8M-982.7M-4.3M0.583.3914,3408,324597,465511,169
2013-04-18$29.02$26.5719.0%5.5%16.9%27.7%20.8%3.6%-1.2%28.9M-876.2M-4.2M0.475.0625,54311,990579,386510,882
2013-04-19$29.47$26.5717.9%5.1%16.9%24.0%19.6%3.2%-1.0%31.0M-1.01B-4.0M0.144.1239,2795,557583,609518,102
2013-04-22$29.35$26.5718.2%5.2%17.1%25.0%19.0%3.3%-1.5%27.1M-775.0M-4.2M0.653.7814,5049,380530,216464,709
2013-04-23$29.49$26.5717.5%5.0%16.5%22.7%18.2%3.4%-1.1%28.7M-840.7M-4.1M0.454.7821,0599,415536,536469,568
2013-04-24$29.03$26.5718.0%5.2%17.5%24.2%18.1%3.6%-0.8%29.6M-744.1M-4.1M0.614.4216,2269,924545,439473,167
2013-04-25$28.71$27.5119.9%5.7%18.3%30.7%20.7%4.1%-2.1%26.7M-658.4M-4.2M0.454.6833,24015,093547,548477,932
2013-04-26$28.55$27.5124.8%5.5%18.4%47.3%21.0%2.6%-1.7%25.7M-607.6M-4.4M0.573.6743,71124,932556,690486,407
2013-04-29$28.87$27.5131.4%6.1%18.7%69.5%21.3%2.1%-3.2%28.5M-688.9M-4.6M0.516.1628,96714,706566,881488,469
2013-04-30$27.58$27.5122.4%5.2%24.9%39.2%19.3%1.9%-0.7%22.8M-378.2M-4.1M0.843.7578,42266,147580,111495,343