PFE Options History — July 2013

In July 2013, PFE traded between $26.23 and $28.15. ATM implied volatility averaged 17.4%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.4% (HV 20d: 14.9%). Max pain ranged from $27.51 to $33.21. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2013-07-30: Highest Volume — 302,740 contracts
  • 2013-07-29: Largest IV spike — 20.3% change
  • 2013-07-08: Highest IV Rank — 31.4%
  • 2013-07-05: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.27$26.23$28.15$26.36$27.73
Max Pain$28.42$27.51$33.21$33.21$27.99
ATM IV17.4%15.4%20.1%19.1%15.9%
Expected Move5.0%4.4%5.7%5.2%4.6%
HV 20d14.9%10.7%18.4%18.4%12.4%
HV 60d20.2%17.9%22.0%22.0%18.1%
IV Rank22.1%15.6%31.4%27.9%17.2%
IV Percentile63.4%44.4%87.3%78.6%53.2%
Term Structure0.0%-1.6%2.2%1.6%-0.1%
VWIV17.7%15.6%20.6%18.5%15.8%
Skew 25d2.6%1.4%4.3%1.4%2.5%
Skew 10d5.4%3.0%10.0%3.0%5.2%
Call IV 25d16.6%14.7%18.4%18.3%14.7%
Put IV 25d19.2%16.9%22.6%19.7%17.2%
Bid-Ask Spread %4.092.368.962.757.45
Gamma HHI0.190.110.270.120.27
Net GEX22.8M-875.3K60.0M8.7M18.5M
Net DEX1.66B-535.5M3.02B3.02B-188.8M
Net VEX-4.8M-5.1M-4.5M-5.1M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.141.291.290.82
Total Volume57,768.13611,663302,74034,88937,765
Total OI2,722,200.2271,176,1163,592,0783,576,3841,287,766

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$26.36$33.2119.1%5.2%18.4%27.9%18.5%1.4%1.6%8.7M3.02B-5.1M1.292.7515,23119,6581,820,3721,756,012
2013-07-02$26.28$33.2117.5%5.0%18.3%22.7%18.3%1.9%2.1%5.7M3.02B-5.0M1.182.3627,94632,9741,815,2391,754,552
2013-07-03$26.23$33.2118.5%5.1%18.2%25.9%18.3%2.8%2.2%4.5M3.02B-5.0M0.622.607,1824,4811,826,0751,750,523
2013-07-05$26.54$27.5117.3%5.7%16.7%21.7%20.5%4.3%-0.4%-875.3K2.96B-5.0M0.654.9924,22515,6271,818,1891,750,215
2013-07-08$26.69$27.5120.1%5.7%16.8%31.4%20.6%3.9%-0.4%14.4M2.89B-4.9M0.973.7143,40842,1371,816,5471,744,469
2013-07-09$26.90$27.5118.9%5.6%16.9%27.2%18.4%3.0%-0.9%18.3M2.85B-4.8M0.323.1727,2988,7961,827,3901,750,287
2013-07-10$26.98$27.5117.0%5.5%17.0%20.7%18.4%3.1%-0.8%16.9M2.85B-4.8M0.613.6715,5609,5601,824,4421,747,583
2013-07-11$27.30$27.5117.8%5.1%17.5%23.7%18.3%2.8%-0.5%25.2M2.73B-4.9M0.513.3427,87214,2661,828,2641,749,037
2013-07-12$27.33$27.5117.9%5.1%15.4%23.8%18.8%2.5%-0.6%23.9M2.72B-4.9M0.963.509,8649,4601,835,4651,753,757
2013-07-15$27.31$27.5117.8%5.1%15.4%23.6%18.2%2.7%-0.5%25.1M2.72B-4.7M0.692.818,9906,2341,832,4421,751,293
2013-07-16$27.21$27.5117.8%5.1%15.4%23.7%18.0%2.9%-0.3%22.5M2.75B-4.6M0.983.4412,26212,0491,835,6761,750,376
2013-07-17$27.21$27.5117.3%4.9%15.1%21.8%18.4%3.2%0.2%21.7M2.77B-4.6M0.743.8112,7599,4141,837,9451,754,133
2013-07-18$27.03$27.5117.8%5.1%14.8%23.7%17.0%2.4%-0.5%14.7M2.70B-4.5M0.353.2119,0656,7431,804,0621,709,081
2013-07-19$27.60$27.5116.8%4.8%15.6%20.1%16.6%2.1%-0.2%32.7M2.47B-4.6M0.352.7455,28719,5121,800,6331,705,525
2013-07-22$27.85$27.5116.1%4.6%15.7%17.8%16.5%2.4%0.3%29.4M-340.1M-4.5M0.742.7033,32724,577595,693580,423
2013-07-23$27.91$27.5116.4%4.7%11.6%19.0%16.0%2.0%-0.0%32.7M-379.1M-4.5M0.603.2814,5628,732609,919585,790
2013-07-24$27.78$27.5115.9%4.5%11.6%17.0%15.6%2.1%0.5%31.9M-336.0M-4.5M0.313.8632,58810,056614,340588,958
2013-07-25$27.69$0.0016.1%4.6%11.7%17.7%16.1%2.1%0.1%32.9M-313.4M-4.6M0.564.7623,47713,064635,268595,724
2013-07-26$27.87$27.9915.7%4.5%11.8%16.6%16.4%2.5%0.1%31.7M-354.1M-4.6M0.726.5126,26018,839636,015600,221
2013-07-29$28.03$27.9918.9%5.4%11.5%27.3%19.3%2.7%-1.6%32.1M-410.6M-4.7M0.308.96159,48047,572643,431607,442
2013-07-30$28.15$27.9915.4%4.4%10.7%15.6%16.3%2.1%-0.2%60.0M-535.5M-4.8M0.146.32266,09836,642720,856636,975
2013-07-31$27.73$27.9915.9%4.6%12.4%17.2%15.8%2.5%-0.1%18.5M-188.8M-4.9M0.827.4520,74317,022639,781647,985