PFE Options History — August 2013

In August 2013, PFE traded between $26.57 and $27.87. ATM implied volatility averaged 15.0%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.4% (HV 20d: 11.6%). Max pain ranged from $26.57 to $28.46. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2013-08-19: Highest Volume — 70,175 contracts
  • 2013-08-21: Largest IV spike — 15.5% change
  • 2013-08-30: Highest IV Rank — 23.5%
  • 2013-08-30: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.24$26.57$27.87$27.62$26.76
Max Pain$27.54$26.57$28.46$27.99$27.04
ATM IV15.0%13.6%17.8%15.5%17.8%
Expected Move4.3%3.9%5.1%4.5%5.1%
HV 20d11.6%10.1%12.6%12.5%10.1%
HV 60d16.6%13.4%18.0%18.0%13.4%
IV Rank14.1%9.2%23.5%15.7%23.5%
IV Percentile38.4%15.9%69.8%44.8%69.8%
Term Structure0.5%-0.3%1.3%-0.3%-0.2%
VWIV15.1%13.7%17.6%15.0%17.6%
Skew 25d2.3%1.7%3.1%2.5%3.1%
Skew 10d5.0%3.7%6.1%5.0%6.1%
Call IV 25d14.2%13.0%16.3%14.6%16.3%
Put IV 25d16.5%15.1%19.4%17.1%19.4%
Bid-Ask Spread %5.162.996.666.665.68
Gamma HHI0.240.170.340.270.19
Net GEX19.5M12.5M30.6M15.3M20.4M
Net DEX-82.1M-265.1M93.3M-134.2M19.7M
Net VEX-4.7M-4.9M-4.4M-4.8M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.321.850.911.01
Total Volume32,479.77314,22770,17523,82437,856
Total OI1,283,815.8641,191,3311,340,2401,295,3551,330,276

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$27.62$27.9915.5%4.5%12.5%15.7%15.0%2.5%-0.3%15.3M-134.2M-4.8M0.916.6612,45711,367645,814649,541
2013-08-02$27.87$27.9914.4%4.1%12.3%12.3%15.1%1.7%-0.0%30.4M-233.8M-4.9M0.576.5616,8729,592650,549651,584
2013-08-05$27.69$27.5114.8%4.2%12.6%13.5%14.3%1.9%0.3%23.7M-205.4M-4.7M0.594.8410,9976,498633,862634,248
2013-08-06$27.84$27.5114.3%4.1%12.5%11.8%15.2%2.0%1.0%30.6M-265.1M-4.8M0.325.1918,3525,896638,124636,369
2013-08-07$27.76$27.5114.3%4.1%12.5%11.8%14.9%1.8%1.2%27.4M-230.8M-4.8M1.295.3510,93014,105645,211638,086
2013-08-08$27.64$27.5114.4%4.1%12.1%12.3%14.6%1.8%0.5%20.9M-193.4M-4.6M1.084.8614,63015,840648,527637,732
2013-08-09$27.71$27.5114.0%4.0%12.1%10.7%14.6%2.1%0.5%21.3M-216.5M-4.6M0.435.7730,95213,180651,531638,836
2013-08-12$27.69$27.5114.4%4.1%12.1%12.2%14.4%1.9%0.4%21.7M-233.1M-4.6M1.855.909,38017,360649,111636,112
2013-08-13$27.77$27.5113.6%3.9%12.0%9.2%15.8%1.7%1.3%27.0M-253.5M-4.6M0.515.4017,1338,821651,726638,530
2013-08-14$27.54$26.5713.7%3.9%12.5%9.6%13.7%2.1%0.6%16.1M-166.4M-4.5M0.446.2625,43711,245658,022641,617
2013-08-15$27.32$0.0014.0%4.0%12.6%10.8%14.6%2.1%0.5%14.7M-79.3M-4.5M1.253.7422,98228,740669,329643,548
2013-08-16$26.92$28.4614.3%4.0%11.3%11.7%13.7%2.4%1.2%12.5M68.4M-4.5M0.795.4624,11919,141679,961660,279
2013-08-19$27.00$27.5114.9%4.4%10.8%13.8%14.9%2.7%0.5%14.1M2.6M-4.4M0.682.9941,76228,413608,223583,108
2013-08-20$27.07$27.5113.8%3.9%10.8%10.0%14.4%2.6%1.2%21.3M-51.1M-4.7M0.784.3415,90512,379630,846604,026
2013-08-21$26.79$27.5115.9%4.6%11.2%17.2%15.1%2.7%0.7%16.9M30.6M-4.7M0.475.1626,49512,366636,817609,602
2013-08-22$26.72$27.5115.4%4.4%11.2%15.6%14.9%2.5%0.4%15.4M53.2M-4.7M0.763.5214,91811,317655,786612,796
2013-08-23$26.89$27.5114.7%4.2%11.2%13.2%14.4%2.5%-0.0%18.6M9.4M-4.8M0.733.318,2026,025659,757618,695
2013-08-26$26.58$27.5115.7%4.5%11.3%16.4%15.5%2.5%0.1%13.2M90.1M-4.7M0.675.6112,6648,511654,761615,271
2013-08-27$26.57$27.5116.4%4.7%11.0%18.8%16.5%2.6%0.5%13.0M93.3M-4.7M1.715.6213,17822,510660,071619,491
2013-08-28$26.76$27.5116.7%4.8%10.6%19.9%16.8%2.2%0.2%16.5M30.4M-4.8M0.326.0433,27610,768666,058631,935
2013-08-29$26.66$27.5116.9%4.8%10.6%20.7%17.0%2.7%0.2%17.3M57.6M-4.8M1.585.158,50713,477684,847633,334
2013-08-30$26.76$27.0417.8%5.1%10.1%23.5%17.6%3.1%-0.2%20.4M19.7M-4.9M1.015.6818,86718,989689,633640,643