PFE Options History — June 2013

In June 2013, PFE traded between $26.07 and $27.89. ATM implied volatility averaged 21.3%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.6% (HV 20d: 22.9%). Max pain ranged from $30.36 to $33.21. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2013-06-24: Highest Volume — 2,343,763 contracts
  • 2013-06-20: Largest IV spike — 29.4% change
  • 2013-06-20: Highest IV Rank — 49.5%
  • 2013-06-20: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.92$26.07$27.89$26.33$26.57
Max Pain$32.78$30.36$33.21$33.21$33.21
ATM IV21.3%15.9%25.5%25.0%15.9%
Expected Move5.9%4.9%7.3%5.8%4.9%
HV 20d22.9%19.2%25.0%22.5%19.2%
HV 60d21.3%20.5%22.1%20.5%21.9%
IV Rank35.4%17.2%49.5%47.9%17.2%
IV Percentile87.0%54.8%98.4%98.0%54.8%
Term Structure0.7%-1.7%2.7%-0.7%2.7%
VWIV22.2%16.9%29.3%20.8%16.9%
Skew 25d1.1%-1.9%4.0%0.3%1.9%
Skew 10d1.9%-5.1%5.3%-0.1%3.2%
Call IV 25d20.6%16.7%26.7%21.1%16.7%
Put IV 25d21.7%18.6%26.6%21.4%18.6%
Bid-Ask Spread %6.602.8646.004.313.26
Gamma HHI0.150.100.200.150.20
Net GEX17.2M-4.4M41.2M10.1M-4.4M
Net DEX3.91B1.27B8.73B1.27B3.28B
Net VEX-5.7M-7.2M-5.1M-5.2M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.761.030.990.98
Total Volume676,031.05105,2942,343,763142,612179,647
Total OI4,342,501.42,173,6247,760,1572,173,6243,806,019

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$26.33$33.2125.0%5.8%22.5%47.9%20.8%0.3%-0.7%10.1M1.27B-5.2M0.994.3171,68770,9251,104,3031,069,321
2013-06-04$26.24$30.3625.3%5.7%22.3%48.8%20.6%1.1%-0.2%9.8M1.32B-5.4M0.864.1064,68955,5641,139,4951,113,732
2013-06-05$26.07$30.3625.4%6.1%21.9%49.3%22.0%0.1%-0.5%8.6M1.46B-5.1M0.765.2959,89745,3971,186,1731,160,921
2013-06-06$26.67$30.3618.8%6.1%23.4%27.0%22.0%1.6%0.1%18.4M1.36B-5.7M0.854.2582,24370,2411,238,8261,204,487
2013-06-07$26.81$33.2119.5%5.8%23.5%29.4%20.8%0.4%0.8%16.9M1.44B-5.6M0.865.62151,333130,7041,284,1521,259,460
2013-06-10$26.92$33.2122.5%5.9%23.5%39.5%20.6%1.0%0.8%19.6M1.74B-5.5M0.954.49107,033101,8101,391,8311,368,407
2013-06-11$26.96$33.2124.1%6.0%21.9%44.7%26.1%0.9%1.1%18.1M1.92B-5.8M0.985.12232,682229,0951,466,2241,442,118
2013-06-12$26.97$33.2124.1%6.3%21.9%44.9%21.5%1.7%1.3%21.1M2.38B-5.7M0.965.78268,887257,4511,656,3091,633,090
2013-06-13$27.59$33.2120.1%5.8%23.4%31.2%24.2%1.7%0.9%31.6M2.62B-5.8M0.944.75414,811388,8831,812,5441,794,411
2013-06-14$27.60$33.2120.1%5.8%23.2%31.5%24.8%0.8%1.1%31.4M3.29B-5.9M0.973.91375,619364,6672,053,3482,046,609
2013-06-17$27.67$33.2120.1%5.7%22.9%31.2%19.9%1.9%1.1%32.5M4.14B-5.7M0.985.14371,318365,6082,304,0422,341,208
2013-06-18$27.89$33.2118.6%5.3%22.8%26.2%26.3%-0.4%1.4%41.2M5.00B-5.7M0.983.79713,749701,4252,671,8542,691,717
2013-06-19$27.61$33.2119.7%5.6%23.1%29.9%27.0%-1.9%0.8%30.7M6.37B-6.3M1.027.05458,839469,1903,112,9763,190,181
2013-06-20$27.17$33.2125.5%7.3%22.9%49.5%29.3%-0.1%-1.0%18.6M7.05B-7.2M1.036.16379,344390,9133,396,4613,471,362
2013-06-21$27.00$33.2124.3%7.0%22.9%45.3%24.2%-0.2%-1.7%11.2M8.24B-6.0M0.9846.00557,739549,0193,736,2483,836,048
2013-06-24$26.29$33.2121.1%6.1%24.6%34.9%21.0%4.0%0.5%4.4M8.73B-5.4M1.013.681,168,0271,175,7363,845,3623,914,795
2013-06-25$26.56$33.2119.6%5.6%25.0%29.5%19.7%2.6%1.3%3.6M7.01B-5.5M1.002.86613,219616,0273,162,8543,268,466
2013-06-26$26.66$33.2118.3%5.3%23.4%25.3%18.4%1.7%1.6%9.1M5.44B-5.3M0.983.16148,368144,8592,488,0402,682,273
2013-06-27$26.74$33.2117.9%5.1%23.4%24.0%18.0%2.6%2.0%10.6M4.17B-5.4M1.023.21482,836491,1402,286,0452,218,316
2013-06-28$26.57$33.2115.9%4.9%19.2%17.2%16.9%1.9%2.7%-4.4M3.28B-5.3M0.983.2690,80288,8451,918,2691,887,750